Results 11 to 20 of about 44,427 (315)
The Impact of Stock Overvaluation on Stock’s Abnormal Returns and their Volatility over Time [PDF]
مطالعات تجربی حسابداری مالی, 2015 This study examines the impact of stock overvaluation on abnormal stock returns and their volatility over time in listed companies of Tehran Stock Exchange.
Ali Ghasemi, Mohammad Reza Nikbakht
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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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Market multiples and stock returns among emerging and developed financial markets
Borsa Istanbul Review, 2021 This paper compares the impact of market multiples on stock returns between emerging (ASEAN) and developed (European) financial markets. A t-test, fixed effects, and GMM are applied to a sample of 4725 firms for fifteen years.
Tahir Akhtar
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International Stock Return Comovements [PDF]
The Journal of Finance, 2005 ABSTRACTWe examine international stock return comovements using country‐industry and country‐style portfolios as the base portfolios. We first establish that parsimonious risk‐based factor models capture the data covariance structure better than the popular Heston–Rouwenhorst (1994) model.
Geert Bekaert +2 more
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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
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The Impact of Stock Overvealuation on Abnormal Stock Returns and their Volatility over Time [PDF]
مطالعات تجربی حسابداری مالی, 2015 This study examines the impact of stock overvaluation on abnormal stock returns and their volatility over time in listed companies of Tehran Stock Exchange.
علی قاسمی +1 more
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Comoment Risk and Stock Return [PDF]
SSRN Electronic Journal, 2009 AbstractWe estimate investable comoment equity risk premiums for the US markets. The stock's contribution to the asymmetry and the fat tails of the market portfolio's payoff are priced into a coskewness premium and a cokurtosis premium. We construct zero-investment strategies that are long and short in coskewness and cokurtosis equity risks; we infer ...
Lambert, Marie, Hübner, Georges
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East Asian Economic Review, 2023 This paper analyzes the entire distribution of stock market returns/volatility in five emerging markets (ASEAN5) and figures out the conditional distribution of the CHI_EPU index.
Mohib Ur Rahman, Irfan Ullah, Aurang Zeb
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Jurnal Ilmiah Bisnis dan Ekonomi Asia, 2021 This study aims to examine the effect of operating cash flow and return on assets on stock returns with accounting profit as a moderating variable. The sample technique used purposive sampling on LQ 45 listed companies (IDX) for the period 2016-2018 ...
Retno Wulandari
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Multifrequency News and Stock Returns [PDF]
Journal of Financial Economics, 2005 Recent research documents that aggregate stock prices are driven by shocks with persistence levels ranging from daily intervals to several decades. Building on these insights, we introduce a parsimonious equilibrium model in which regime-shifts of heterogeneous durations affect the volatility of dividend news.
Laurent E. Calvet, Adlai J. Fisher
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