Results 11 to 20 of about 1,316,614 (311)
International Stock Return Comovements [PDF]
The Journal of Finance, 2005 We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst ...
Geert Bekaert +2 more
core +7 more sources
PENGARUH PROFITABILITAS, LEVERAGE, DAN LIKUIDITAS TERHADAP RETURN SAHAM DENGAN NILAI TUKAR SEBAGAI VARIABEL MODERASI PADA SAHAM LQ-45 [PDF]
Journal of Business & Banking, 2014 The investors’ purpose is to get the stock return so that they should pay attention to the rise and fall of financial performance, macro factors that can affect stock return.
Anis Sutriani
doaj +5 more sources
Weibo sentiments and stock return: A time-frequency view. [PDF]
PLoS ONE, 2017 This study provides new insights into the relationships between social media sentiments and the stock market in China. Based on machine learning, we classify microblogs posted on Sina Weibo, a Twitter's variant in China into five detailed sentiments of ...
Yingying Xu +3 more
doaj +2 more sources
Understanding Stock Return Predictability [PDF]
SSRN Electronic Journal, 2006 Over the period 1927:Q1 to 2005:Q4, the average CAPM-based idiosyncratic variance (IV) and stock market variance jointly forecast stock market returns. This result holds up quite well in a number of robustness checks, and we show that the predictive power of the average IV might come from its close relation with systematic risk omitted from CAPM. First,
Hui Guo, Robert Savickas
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Stock exchange mergers : a dynamic correlation analysis on Euronext [PDF]
, 2020 This article investigates the role of Stock Exchange Mergers on stock market return co- movements. Using a dynamic conditional correlation model proposed by Engle (J Bus Econ Stat 20:339–350, 2002), the Euronext Stock Exchange was analyzed, and findings ...
Espinosa-Méndez, Christian +2 more
core +1 more source
The Asymmetric Effects of Stock Returns on Trading Volume in Tehran Stock Exchange [PDF]
Iranian Journal of Accounting, Auditing & Finance, 2018 Many studies have certified the relationship between stock return and trade capacity, however, the results about the effects of this variable’s volatilities in trade volume have been contradictory (Chen 2001).
Roya Aleemran +2 more
doaj +1 more source
THE EFFECT OF FINANCIAL PERFORMANCE ON STOCK RETURN AT MANUFACTURING COMPANY OF INDONESIA STOCK EXCHANGE [PDF]
Russian Journal of Agricultural and Socio-Economic Sciences, 2020 The purpose of this study is to find out the effect of return on investment, earning per share, operational cash flow, economic value added, and market value added towards the stock return at manufacturing companies in Indonesia Stock Exchange.
Juniarta I W., Purbawangsa I.B.A.
doaj +1 more source
Jackknifing Stock Return Predictions [PDF]
SSRN Electronic Journal, 2008 We show that the general bias reducing technique of jackknifing can be successfully applied to stock return predictability regressions. Compared to standard OLS estimation, the jackknifing procedure delivers virtually unbiased estimates with mean squared errors that generally dominate those of the OLS estimates.
Benjamin Chiquoine, Erik Hjalmarsson
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Heteroskedasticity in Stock Returns [PDF]
The Journal of Finance, 1990 ABSTRACTWe use predictions of aggregate stock return variances from daily data to estimate time‐varying monthly variances for size‐ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time‐varying betas. Implications of heteroskedasticity and time‐varying betas for tests of the
Schwert, G William, Seguin, Paul J
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Motivated Beliefs about Stock Returns
SSRN Electronic Journal, 2021 Does holding a stock bias one’s expectations about its future value? We find experimental evidence that it does. First, in a laboratory experiment we elicit peoples’ price predictions for simulated stocks and compare these with the Bayesian benchmark.
Carlos Cueva, Iñigo Iturbe-Ormaetxe
openaire +1 more source