Results 51 to 60 of about 28,546 (167)
Energies, 2018 This study examines the Granger-causal relationships between oil price movements and global stock returns by using time-varying Granger-causality tests in mean and in variance.
Emrah İ. Çevik +2 more
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International Journal of Strategic Property Management, 2018 This study is the first to address the exposure of banking industry stock returns to both the commercial and residential real estate markets. The empirical findings show that U.S.
Ming-Te Lee +2 more
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Lagged Effect Of Macroeconomic Variables On Stock Returns: A Case Of Firm Size
JISR Management and Social Sciences & Economics, 2021 The evidence of lagged effect regarding firm size between macroeconomic factors and stock returns is found with GARCH model for the UAE firms. More precisely, the exchange rate significantly affected stock returns irrespective of size group and lag ...
Faisal Khan +2 more
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Stock Market Returns and Consumption [PDF]
The Journal of Finance, 2018 ABSTRACTThis paper employs Swedish data on households' stock holdings to investigate how consumption responds to changes in stock market returns. We instrument the actual capital gains and dividend payments with past portfolio weights. Unrealized capital gains lead to a marginal propensity to consume of 23% for the bottom 50% of the wealth distribution
DI MAGGIO, M, KERMANI, A, MAJLESI, K
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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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International Journal of Financial StudiesThis research investigates the responsiveness of climate and low-carbon (green) stock returns to oil prices and conventional energy stock returns, focusing on both contemporaneous and causal relationships, during an oil crisis. Two methodologies are used:
Minh Thi Hong Dinh
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What Is the Expected Return on a Stock? [PDF]
The Journal of Finance, 2016 ABSTRACTWe derive a formula for the expected return on a stock in terms of the risk‐neutral variance of the market and the stock's excess risk‐neutral variance relative to that of the average stock. These quantities can be computed from index and stock option prices; the formula has no free parameters.
MARTIN, IAN W. R., WAGNER, CHRISTIAN
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Return Saham di Tinjau dari Profitabilitas
I-Finance, 2022 This study aims to determine the impact of profitability on stock returns in companies listed on the Jakarta Islamic Index 70 proxied by stock returns. The total population of companies listed on the JII during the study period was 70 companies.
Rosyada +2 more
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Innovative Efficiency and Stock Returns [PDF]
SSRN Electronic Journal, 2012 We find that innovative efficiency (IE), patents or citations scaled by R&D, is a strong positive predictor of future returns after controlling for firm characteristics and risk. The IE-return relation is associated with the loading on a mispricing factor, and the high Sharpe ratio of the Efficient Minus Inefficient (EMI) portfolio suggests that ...
Li, D, Hsu, PH, Hirshleifer, D
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Cogent Business & ManagementThis study examines the association between a firm’s fundamental factors and stock returns as well as how investor sentiment influences the association between these variables.
Nyanine Chuele Fonou-Dombeu +2 more
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