Results 241 to 250 of about 321,980 (303)

Risk Compensation and Market Returns: The Role of Investor Sentiment in the Stock Market

Emerging markets finance & trade, 2018
We investigate the effect of investor risk compensation (IRC) on stock market returns and the role of investor sentiment in influencing the link between IRC and stock returns. Results reveal that current IRC has a significant and positive effect on stock
Zhifang He, Linjie He, Fenghua Wen
semanticscholar   +1 more source

Long-run stock market returns

, 2021
This chapter presents facts and concepts regarding long-run stock market returns. It starts out briefly defining stock returns.The chapter then looks at the historical data, starting with US data and then turning to international data.
Jesper Rangvid
semanticscholar   +1 more source

Predicting Stock Returns in an Efficient Market

The Journal of Finance, 1990
ABSTRACTAn intertemporal general equilibrium model relates financial asset returns to movements in aggregate output. The model is a standard neoclassical growth model with serial correlation in aggregate output. Changes in aggregate output lead to attempts by agents to smooth consumption, which affects the required rate of return on financial assets ...
Balvers, Ronald J, Cosimano, Thomas F, McDonald, Bill   +2 more
openaire   +1 more source

Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS

, 2020
This paper investigates the dynamic dependence and risk spillover between BRICS stock returns and different types of oil shocks, combining the Structural VAR model and time-varying copula-GARCH-based CoVaR approach.
Qiang Ji, Bing-Yue Liu, Wan-Li Zhao, Ying Fan   +3 more
semanticscholar   +1 more source

Market Microstructure and Stock Return Predictions

Review of Financial Studies, 1994
To what extent are the empirical regularities implied by market microstructure theories useful in predicting the short-run behavior of stock returns A two-equation econometric model of quote revisions and transaction returns is developed and used to identify the relative importance of different microstructure theories and to make predictions ...
Huang, Roger D, Stoll, Hans R
openaire   +2 more sources

Oil prices, stock market returns and volatility spillovers: Evidence from Turkey

, 2020
This paper examines the relationship between crude oil prices and stock market returns in Turkey taking into account volatility spillovers that are exemplified by second moment effects.
Nüket Kırcı Çevik, E. Çevik, S. Dibooğlu   +2 more
semanticscholar   +1 more source

The dynamic correlation between policy uncertainty and stock market returns in China

Physica A: Statistical Mechanics and Its Applications, 2016
Zhi-Qiang Jiang
exaly   +2 more sources

Stock Market Returns and Annuitization

SSRN Electronic Journal, 2010
I document a strong negative relationship between stock market returns and annuitization. Using a novel dataset with more than 103,000 actual payout decisions, I find that positive stock market returns decrease the likelihood of employees choosing an annuity over a lump sum, and vice versa.
openaire   +1 more source

Entropy and predictability of stock market returns

Journal of Econometrics, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Maasoumi, Esfandiar, Racine, Jeff
openaire   +1 more source

Asymmetric dependence between economic policy uncertainty and stock market returns in G7 and BRIC: A quantile regression approach

Finance Research Letters, 2017
This paper employs the quantile regression techniques to examine the dependence structure between economic policy uncertainty (EPU) and stock market returns in G7 and BRIC.
Peng Guo, Huiming Zhu, Wanhai You
semanticscholar   +1 more source