Similar Search Results

Predictable Stock Returns in the United States and Japan : A Study of Long-Term Capital Market Integration

Campbell, John Y. - 1989

This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan during the period 1971:1-1989:3. The paper finds that similar variables, including the dividend-price ratio and interest rate variables, help to...

Persistent link: https://www.econbiz.de/10012475846

Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation

Gandhi, Priyank - 2010

The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is...

Persistent link: https://www.econbiz.de/10012462104

U.S. Stock Market Crash Risk, 1926-2006

Bates, David S. - 2009

This paper applies the Bates (RFS, 2006) methodology to the problem of estimating and filtering time- changed Lévy processes, using daily data on U.S. stock market excess returns over 1926-2006. In contrast to density-based filtration approaches, the methodology recursively updates the...

Persistent link: https://www.econbiz.de/10012463735

The Constrained Asset Share Estimation (CASE) Method : Testing Mean-Variance Efficiency of the U.S. Stock Market

Engel, Charles - 1993

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the stock market. This method allows conditional expected returns to vary in relatively unrestricted ways. The data estimate reasonably the price of risk, and, in some cases, the MVE...

Persistent link: https://www.econbiz.de/10012474666

The Return to Capital in China

Bai, Chong-En - 2006

China's investment rate is one of the highest in the world, which naturally leads one to suspect that the return to … capital in China must be quite low. Using the data from China's national accounts, we estimate the rate of return to capital … in China. We find that the aggregate rate of return to capital averaged 25% during 1978-1993, fell during 1993-1998, and …

Persistent link: https://www.econbiz.de/10012465906

The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data

Eichengreen, Barry - 2011

China's exchange rate policy in 2005 and 2010 and data on 6,050 firms in 44 countries. Renminbi appreciation has a positive … effect on firms exporting to China but little positive or even a negative impact on those providing inputs for China …'s processing exports. Stock prices rise for firms competing with China in their home market while falling for firms importing …

Persistent link: https://www.econbiz.de/10012461061

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

The European Union, the Euro, and Equity Market Integration

Bekaert, Geert - 2010

At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to equity market integration in Europe. We use a simple and essentially model free measure of bilateral market segmentation: two countries are segmented if there is a wide...

Persistent link: https://www.econbiz.de/10012462074

R-Squared Around the World : New Theory and New Tests

Jin, Li - 2004

Morck, Yeung and Yu (MYY, 2000) show that R2 and other measures of stock market synchronicity are higher in countries with less developed financial systems and poorer corporate governance. MYY and Campbell, Lettau, Malkiel and Xu (2001) also find a secular decline in R2 in the United States over...

Persistent link: https://www.econbiz.de/10012468240

Financial Integration : A New Methodology and an Illustration

Flood, Robert P. - 2003

This paper develops a simple new methodology to test for asset integration and applies it within and between American stock markets. Our technique is tightly based on a general intertemporal asset-pricing model, and relies on estimating and comparing expected risk-free rates across assets....

Persistent link: https://www.econbiz.de/10012468817

1
2
3
4
5
6
7
8
9
10
Next
Last