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Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011
The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...
Persistent link: https://www.econbiz.de/10011114513
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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The Time-Varying Risk and Return Trade Off in Indian Stock Markets
Mohanty, Roshni; P, Srinivasan - Volkswirtschaftliche Fakultät, … - 2014
This paper investigates the relationship between stock market returns and volatility in the Indian stock markets using AR(1)-EGARCH(p, q)-in-Mean model. The study considers daily closing prices of two major indexes of Indian stock exchanges, viz., S&P CNX NIFTY and the BSE-SENSEX of National...
Persistent link: https://www.econbiz.de/10011107467
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Using sentiment surveys to predict GDP growth and stock returns
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008
, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to … power for both GDP growth and excess stock returns, and that the results are robust to the inclusion of information …
Persistent link: https://www.econbiz.de/10009647399
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A comparison of stock market mechanisms
Cespa, Giovanni - Department of Economics and Business, Universitat … - 2001
This paper studies the relationship between the amount of public information that stock market prices incorporate and … vectors of assets accessing multidimensional information under two alternative market structures. In the first (the … want to trade. I show that informed traders’ incentives to exploit multidimensional private information depend on the …
Persistent link: https://www.econbiz.de/10005704851
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Accruals and Aggregate Stock Market Returns
Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong - Volkswirtschaftliche Fakultät, … - 2007
accruals contain information about changes in discount rates, or that firms manage earnings in response to market …
Persistent link: https://www.econbiz.de/10005836004
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Giffen goods and market making
Cespa, Giovanni - Department of Economics and Business, Universitat … - 2002
This paper shows that information effects per se are not responsible for the Giffen goods anomaly affecting competitive … traders’ demands in multi- asset, noisy rational expectations equilibrium models. The role that information plays in traders …
Persistent link: https://www.econbiz.de/10005772353
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Investor Psychology and Asset Pricing
Hirshleifer, David - Volkswirtschaftliche Fakultät, … - 2001
The basic paradigm of asset pricing is in vibrant flux. The purely rational approach is being subsumed by a broader approach based upon the psychology of investors. In this approach, security expected returns are determined by both risk and misvaluation. This survey sketches a framework for...
Persistent link: https://www.econbiz.de/10005619847
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Short-term returns and the predictability of Finnish stock returns
Vaihekoski, Mika - Volkswirtschaftliche Fakultät, … - 1998
conditional asset pricing model where risk premia and risk sensitivities are conditioned on a range of financial information …
Persistent link: https://www.econbiz.de/10005621569
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U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters
Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011
We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...
Persistent link: https://www.econbiz.de/10011109053