Results 11 to 20 of about 91,148 (312)
On Stock Market Returns and Returns on Investment [PDF]
The Journal of Finance, 1994 ABSTRACTThis article presents general conditions under which it is possible to obtain asset pricing relations from the intertemporal optimal investment decision of the firm. Under the assumption of linear homogeneous production and adjustment cost functions (the Hayashi (1982) conditions), it is possible to establish, state by state, the equality ...
Restoy, Fernando, Rockinger, G Michael
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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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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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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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REGIME CHANGES IN STOCK RETURNS [PDF]
Journal of Business Finance & Accounting, 1994 This paper studies three sources of instability in parameter estimates of stock return models (1) time‐varying expected mean returns, (2) time‐varying return volatility and (3) changing institutional factors. We model United States stock returns as a function of a constant expected return and financing costs resulting from an institutional feature ...
Nan-Ting Chou, Ramon P. DeGennaro
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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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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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Volatility dynamics of stock returns, liquidity and exchange rates in ASEAN Countries [PDF]
AccountingIn this study, we examined the volatility trend of stock return in eight ASEAN stock markets. These includes the Singapore Exchange (SGX), Bursa Malaysia Stock Exchange (YSX), the Stock Exchange of Thailand (SET), Indonesia stock exchange, the Vietnam ...
David Umoru +3 more
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Profit persistence and stock returns [PDF]
Applied Economics, 2016 This paper attempts to assemble further empirical evidence on the relationship between the product and the financial market. Drawing back on work in industrial organization, we analyse the relationship between profit persistence and factor adjusted stock returns looking at about 2000 listed US firms over the last 34 years.
Gschwandtner, Adelina, Hauser, Michael
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