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Is the Stock Market Just a Side Show? Evidence from a Structural Reform
Campello, Murillo - 2014
The 2005 split-share reform in China mandated the conversion of nontradable stocks into tradable status. This paper …
Persistent link: https://www.econbiz.de/10013053854
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What Does Stock Ownership Breadth Measure?
Choi, James J. - 2010
Using holdings data on a representative sample of all Shanghai Stock Exchange investors, we show that increases in ownership breadth (the fraction of market participants who own a stock) predict low returns: highest change quintile stocks underperform lowest quintile stocks by 23% per year....
Persistent link: https://www.econbiz.de/10013135241
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Financial Constraints and Stock Returns
Lamont, Owen A. - 2008
We test whether the impact of financial constraints on firm value is observable in assetquot; returns. We form portfolios of firms based on observable characteristics related to financialquot; constraints, and test for common covariation in the stock returns of these firms. Using severalquot;...
Persistent link: https://www.econbiz.de/10012774925
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Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market
Lange, Joe - 2008
The paper proposes a new measure, VNET, of market liquidity which directly measures the depth of the market. The measure is constructed from the excess volume of buys or sells during a market event defined by a price movement. As this measure varies over time, it can be forecast and explained....
Persistent link: https://www.econbiz.de/10012774935
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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/10012780226
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The Geography of Stock Market Participation : The Influence of Communities and Local Firms
Brown, Jeffrey R. - 2004
controls, instrumental variables estimation, the inclusion of individual fixed effects, and specification checks to rule out …
Persistent link: https://www.econbiz.de/10012785900
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Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets
Froot, Kenneth - 2004
Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...
Persistent link: https://www.econbiz.de/10012786275
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Comovement
Barberis, Nicholas - 2002
A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded … securities. We distinguish three views of such comovement. The traditional 'fundamentals' view explains the comovement of …. 'Category-based' comovement occurs when investors classify different securities into the same asset class and shift resources in …
Persistent link: https://www.econbiz.de/10012787252
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Why Does the Stock Market Fluctuate?
Barsky, Robert - 2002
Large long-run swings in the United States stock market over the past century correspond to swings in estimates of fundamental values calculated by using a long moving average of past dividend growth to forecast future growth rates. Such a procedure would have been reasonable if investors were...
Persistent link: https://www.econbiz.de/10012787482
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No Contagion, Only Interdependence : Measuring Stock Market Co-Movements
Forbes, Kristin J. - 2001
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure...
Persistent link: https://www.econbiz.de/10012788161