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What Explains the Covid-19 Stock Market?
Cox, Josue - 2020
, however, only a tiny fraction of the credit that the central bank announced it stood ready to provide in early April had been …
Persistent link: https://www.econbiz.de/10012823756
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Acquiring Control in Emerging Markets : Evidence from the Stock Market
Chari, Anusha; Ouimet, Paige; Tesar, Linda L. - 2021
When firms from developed markets acquire firms in emerging markets, market-capitalization-weighted monthly joint returns show a statistically significant increase of 1.8%. Panel data estimations suggest that the value gains from cross-border M&A transactions stem from the transfer of majority...
Persistent link: https://www.econbiz.de/10013212613
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Correlated Beliefs, Returns, and Stock Market Volatility
David, Joel - 2015
Firm-level stock returns exhibit comovement above that in fundamentals, and the gap tends to be higher in developing countries. We investigate whether correlated beliefs among sophisticated, but imperfectly informed, traders can account for the patterns of return correlations across countries....
Persistent link: https://www.econbiz.de/10013017087
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An Event Study of Covid-19 Central Bank Quantitative Easing in Advanced and Emerging Economies
Hartley, Jonathan - 2020
Amid the COVID-19 outbreak and related expected economic downturn, many developed and emerging market central banks around the world engaged in new long-term asset purchase programs, or so-called quantitative easing (QE) interventions. This paper conducts an event-study analysis of 24 COVID-19...
Persistent link: https://www.econbiz.de/10012831837
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Size Anomalies in U.S. Bank Stock Returns : A Fiscal Explanation
Gandhi, Priyank - 2015
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 orthogonal to the standard risk factors, including small-minus-big, which has …
Persistent link: https://www.econbiz.de/10013038431
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The External Impact of China's Exchange Rate Policy : Evidence from Firm Level Data
Eichengreen, Barry - 2011
We examine the impact of renminbi revaluation on firm valuations, considering two surprise announcements of changes in 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...
Persistent link: https://www.econbiz.de/10013118251
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The Effects of Taxes on Market Responses to Dividend Announcements and Payments : What Can We Learn from the 2003 Dividend Tax Cut?
Chetty, Raj - 2009
This paper investigates the effects of capital gains and dividend taxes on excess returns around announcements of dividend increases and ex-dividend days for U.S. corporations. Consistent with standard no-arbitrage conditions, we find that the ex-dividend day premium increased from 2002 to 2004...
Persistent link: https://www.econbiz.de/10012767550
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Risk Preferences and the Macro Announcement Premium
Ai, Hengjie - 2016
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Persistent link: https://www.econbiz.de/10012984765
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What Do We Learn from Stock Price Reactions to China's First Announcement of Anti-Corruption Reforms?
Lin, Chen - 2016
China's markets gained 3.86% around December 4, 2012, when the Party announced anti-corruption reforms. State-owned enterprises (SOEs) with higher past entertainment and travel costs (ETC) gained more. NonSOEs gained in more liberalized provinces, especially those with high past ETC,...
Persistent link: https://www.econbiz.de/10012998417
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Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time
Alfaro, Laura - 2020
We show that unexpected changes in the trajectory of COVID-19 infections predict US stock returns, in real time. Parameter estimates indicate that an unanticipated doubling (halving) of projected infections forecasts next-day decreases (increases) in aggregate US market value of 4 to 11 percent,...
Persistent link: https://www.econbiz.de/10012837801