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Who Owns What? A Factor Model for Direct Stock Holding
Balasubramaniam, Vimal; Campbell, John Y.; Ramadorai, Tarun - National Bureau of Economic Research - 2021
We build a cross-sectional factor model for investors' direct stock holdings, by analogy with standard time-series factor models for stock returns. We estimate the model using data from almost 10 million retail accounts in the Indian stock market. We find that stock characteristics such as firm...
Persistent link: https://www.econbiz.de/10012599355
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Indian Equity Markets : Measures of Fundamental Value
Mehra, Rajnish - 2010
In this paper, we take a critical look at the relationship between the value of capital stock in the Indian corporate sector and the valuation of claims to this capital stock in capital markets. We address the question of whether Indian equity valuations over the period 1991- 2008 are consistent...
Persistent link: https://www.econbiz.de/10012462594
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Firm-Specific Information and the Efficiency of Investment
Chari, Anusha - 2006
We use a new firm-level dataset to examine the efficiency of investment in emerging economies. In the three-year period following stock market liberalizations, the growth rate of the typical firm's capital stock exceeds its pre-liberalization mean by an average of 5.4 percentage points....
Persistent link: https://www.econbiz.de/10012466482
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Emerging Equity Markets and Economic Development
Bekaert, Geert - 2000
We provide an analysis of real economic growth prospects in emerging markets after financial liberalizations. In contrast with previous research, we identify the financial liberalization dates and examine the influence of liberalizations while controlling for a number of other macroeconomic and...
Persistent link: https://www.econbiz.de/10012470987
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The Effects of Investing Social Security Funds in the Stock Market When Fixed Costs Prevent Some Households from Holding Stocks
Abel, Andrew B. - 2000
With fixed costs of participating in the stock market, consumers with high income will participate in the stock market, but consumers with lower income will not participate. If a fully-funded defined-contribution social security system tries to exploit the equity premium by selling a dollar of...
Persistent link: https://www.econbiz.de/10012471011
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Institutions, Restructuring, and Macroeconomic Performance
Caballero, Ricardo J. - 2000
A growing body of new research has emphasized the macroeconomic consequences of transactional impediments in factor markets, and their role in the recurrent restructuring requirements of modern economies. We first review the function institutional arrangements play in facilitating transactions...
Persistent link: https://www.econbiz.de/10012471041
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A Century of Global Stock Markets
Jorion, Philippe - 2000
Persistent link: https://www.econbiz.de/10012471210
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Market Efficiency in an Irrational World
Daniel, Kent - 2000
decisions. Our analysis suggests that investor overconfidence can potentially generate stock return momentum and that this … momentum effect is likely to be the strongest in those stocks whose valuation requires the interpretation of ambiguous … information. Consistent with this, we find that momentum effects are stronger for growth stocks than value stocks. A portfolio …
Persistent link: https://www.econbiz.de/10012471287
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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
Chacko, George - 1999
This paper analyzes optimal portfolio choice and consumption with stochastic volatility in incomplete markets. Using the Duffie-Epstein (1992) formulation of recursive utility in continuous time, it shows that the optimal portfolio demand for stocks under stochastic volatility varies strongly...
Persistent link: https://www.econbiz.de/10012471407
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Time-Varying Betas and Asymmetric Effect of News : Empirical Analysis of Blue Chip Stocks
Cho, Young-Hye - 1999
We investigate whether or not a beta increases with bad news and decreases with good news, just as does volatility. Using daily returns for nine stocks in a double beta model with EGARCH specifications, we show that news asymmetrically affects the betas of individual stocks. We find that betas...
Persistent link: https://www.econbiz.de/10012471454