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Do bubbles lead to overinvestment? : a revealed preference approach

Chirinko, Robert S.; Schaller, Huntley - 2011

firms in making their investment decisions. We use a revealed preference approach that relies on the pattern of investment … spending - combined with investment theory - to estimate the discount rates used by managers. The standard story predicts that … firms with high stock prices and good investment opportunities should have discount rates that do not differ systematically …

Persistent link: https://www.econbiz.de/10009153871

Testing for convergence in stock markets : a non-linear factor approach

Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009

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/10003898817

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations …

Persistent link: https://www.econbiz.de/10003965868

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a … in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different-investment …

Persistent link: https://www.econbiz.de/10010515402

A neglected semi-stylized fact of daily stock returns

Davies, Patrick Laurie; Krämer, Walter - 2016

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Persistent link: https://www.econbiz.de/10011444114

Calendar anomalies in the Ukrainian stock market

Caporale, Guglielmo Maria; Plastun, Alex - 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/10011458018

Equity fund flows and stock market returns in the US before and after the global financial crisis : a VAR-GARCH-in-mean Analysis

Babalos, Vassilios; Caporale, Guglielmo Maria; … - 2016

The 2008-2009 global financial crisis has raised new questions about the relationship between equity fund flows and stock market returns. This paper analyses it using US monthly data over the period 2000:1-2015:08. A VAR-GARCH(1,1)-in-mean model with a BEKK representation is estimated, and a...

Persistent link: https://www.econbiz.de/10011482859

Asymmetric connectedness on the US stock market : bad and good volatility spillovers

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility. Using data covering most liquid U.S. stocks in seven sectors, we provide ample evidence of the asymmetric connectedness of stocks at the disaggregate level. Moreover, the...

Persistent link: https://www.econbiz.de/10010509638

Witching days and abnormal profits in the US stock market

Caporale, Guglielmo Maria; Plastun, Alex - 2021

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

Persistent link: https://www.econbiz.de/10012649760

Sustainable stocks and the Russian war on Ukraine : an event study in Europe

Kick, Andreas; Rottmann, Horst - 2022

The popularity of sustainable investments is unbroken and attracts investors and researchers alike. Modelling the properties of such 'green' firms, Pástor, Stambaugh, and Taylor 2021 consider a hedge against climate risks in their theoretical model. Likewise, it could be assumed that companies...

Persistent link: https://www.econbiz.de/10013255954