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Fan, Joseph P. H. (contributor); Morck, Randall (contributor) - 2013

Persistent link: https://www.econbiz.de/10009689290

Daily Momentum and New Investors in an Emerging Stock Market

Gao, Zhenyu; Jiang, Wenxi; Xiong, Wei A.; Xiong, Wei - National Bureau of Economic Research - 2023

Despite the dominance of retail investors in the Chinese stock market, there's a conspicuous absence of price momentum in weekly and monthly returns. This study uncovers the presence of price momentum in daily returns and, through a systematic analysis of trading heterogeneity among investors,...

Persistent link: https://www.econbiz.de/10014436970

Comparing Wealth Effects : The Stock Market Versus the Housing Market

Case, Karl E. - 2001

We examine the link between increases in housing wealth, financial wealth, and consumer spending. We rely upon a panel of 14 countries observed annually for various periods during the past 25 years and a panel of U.S. states observed quarterly during the 1980s and 1990s. We impute the aggregate...

Persistent link: https://www.econbiz.de/10012470110

Volatility Dependence and Contagion in Emerging Equity Markets

Edwards, Sebastian - 2001

In this paper we use weekly stock market data for a group of Latin American countries to analyze the behavior of volatility through time. We are particularly interested in understanding whether periods of high volatility are correlated across countries. The analysis uses both on univariate and...

Persistent link: https://www.econbiz.de/10012470212

Short Sale Constraints and Stock Returns

Jones, Charles M. - 2001

Stocks can be overpriced when short sale constraints bind. We study the costs of short selling equities, 1926 …-1933, using the publicly observable market for borrowing stock. Some stocks are sometimes expensive to short, and it appears that … stocks enter the borrowing market when shorting demand is high. We find that stocks that are expensive to short or which …

Persistent link: https://www.econbiz.de/10012470224

Stock Market Driven Acquisitions

Shleifer, Andrei - 2001

We present a model of mergers and acquisitions based on stock market misvaluations of the combining firms. The key ingredients of the model are the relative valuations of the merging firms, the horizons of their respective managers, and the market's perception of the synergies from the...

Persistent link: https://www.econbiz.de/10012470280

Measuring the Reaction of Monetary Policy to the Stock Market

Rigobon, Roberto - 2001

Movements in the stock market can have a significant impact on the macroeconomy and are therefore likely to be an important factor in the determination of monetary policy. However, little is known about the magnitude of the Federal Reserve's reaction to the stock market. One reason is that it is...

Persistent link: https://www.econbiz.de/10012470370

Dynamic Volume-Return Relation of Individual Stocks

Llorente, Guillermo - 2001

We examine the dynamic relation between return and volume of individual stocks. Using a simple model in which investors … prediction by analyzing the relation between daily volume and first-order return autocorrelation for individual stocks listed on …

Persistent link: https://www.econbiz.de/10012470412

Is Disinflation Good for the Stock Market?

Henry, Peter Blair - 2001

When countries attempt to stabilize annual inflation rates that are greater than 40 percent, the domestic stock market appreciates by 24 percent on average. The present value of the long-run benefits to shareholders of reducing high inflation outweighs the present value of the short-run costs....

Persistent link: https://www.econbiz.de/10012470435

The Level and Persistence of Growth Rates

Chan, Louis K.C. - 2001

analyze historical long-term growth rates across a broad cross-section of stocks using several operating performance …

Persistent link: https://www.econbiz.de/10012470442

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