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Cash Flow Duration and the Term Structure of Equity Returns
Weber, Michael - 2016
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month …
Persistent link: https://www.econbiz.de/10012981605
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10013141185
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Calendar Anomalies in the Ukrainian Stock Market
Caporale, Guglielmo Maria - 2016
This paper is a comprehensive investigation of calendar anomalies in the Ukrainian stock market. It employs various statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) and a trading simulation approach to test...
Persistent link: https://www.econbiz.de/10012991942
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Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2017
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10012953959
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Oil Prices and Stock Markets : What Drives What in the Gulf Corporation Council Countries?
Arouri, Mohamed; Rault, Christophe - 2021
In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in … critical values to study the sensitivity of stock markets to oil prices in GCC (Gulf Corporation Council) countries. Using two … oil price shocks Granger cause stock price changes. Therefore, investors in GCC stock markets should look at the changes …
Persistent link: https://www.econbiz.de/10013316262
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Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models
Ben Cheikh, Nidhaleddine - 2018
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear … markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns' asymmetric …, we find that Oman's and Qatar's stock markets are more sensitive to large oil price changes than to small ones. Our …
Persistent link: https://www.econbiz.de/10012914946
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Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate …
Persistent link: https://www.econbiz.de/10013315674
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Dynamic Trading and Asset Prices : Keynes vs. Hayek
Cespa, Giovanni - 2011
We investigate the dynamics of prices, information and expectations in a competitive, noisy, dynamic asset pricing equilibrium model with long-term investors. We argue that the fact that prices can score worse or better than consensus opinion in predicting the fundamentals is a product of...
Persistent link: https://www.econbiz.de/10013134234
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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach
Caporale, Guglielmo Maria - 2013
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10013095490
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Predictability of Asset Returns and the Efficient Market Hypothesis
Pesaran, M. Hashem - CESifo - 2010
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10008572494