Narrow search
Showing 1 - 10 of 27,267
Cover Image
Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914)
Annaert, Jan; Mensah, Lord - In: Explorations in Economic History 52 (2014) C, pp. 22-43
We use pre-World War I Brussels Stock Exchange (BSE) data to investigate the relation between average stock returns and market beta, size, momentum, dividend yield and total risk on the cross-section of stock returns. Based on portfolio sorts and Fama–MacBeth regressions, we find no...
Persistent link: https://www.econbiz.de/10011042812
Cover Image
Momentum Trading, Return Chasing, and Predictable Crashes
Ghysels, Eric; Jagannathan, Ravi; Chabot, Benjamin - National Bureau of Economic Research (NBER) - 2014
We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...
Persistent link: https://www.econbiz.de/10011096567
Cover Image
Liquidity Shocks and Stock Market Reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2013
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...
Persistent link: https://www.econbiz.de/10010692947
Cover Image
Financial Econometrics
Lo, Andrew W. - 2007
has grown in size and depth, including techniques such as nonparametric estimation, functional central limit theory …
Persistent link: https://www.econbiz.de/10012776824
Cover Image
Dividend Policy and Signalling by Insurance Companies
Akhigbe, Aigbe - 1999
Given their unique characteristics, insurers that adjust their dividends may create a unique signal. An event study methodology is used to measure the share price response of insurers to dividend increases, and matched control samples of banks and industrial firms are similarly assessed. The...
Persistent link: https://www.econbiz.de/10012789783
Cover Image
Rescate y costos del riesgo financiero
Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014
First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...
Persistent link: https://www.econbiz.de/10011110979
Cover Image
Locus of Control and Savings
Cobb-Clark, Deborah A.; Kassenboehmer, Sonja C.; … - Melbourne Institute of Applied Economic and Social … - 2013
This paper analyzes the relationship between individuals’ locus of control and their savings behavior, i.e. wealth … accumulation, savings rates, and portfolio choices. Locus of control is a psychological concept that captures individuals’ beliefs …-of-control gap in savings rates is largest among rich households, the gap in wealth accumulation is particularly large for poor …
Persistent link: https://www.econbiz.de/10010721322
Cover Image
Locus of Control and Savings
Cobb-Clark, Deborah A.; Kassenboehmer, Sonja C.; … - Rheinisch-Westfälisches Institut für … - 2013
This paper analyzes the relationship between individuals’ locus of control and their savings behavior, i.e. wealth … accumulation, savings rates, and portfolio choices. Locus of control is a psychological concept that captures individuals’ beliefs …-of-control gap in savings rates is largest among rich households, the gap in wealth accumulation is particularly large for poor …
Persistent link: https://www.econbiz.de/10010723153
Cover Image
Locus of Control and Savings
Cobb-Clark, Deborah A.; Kassenboehmer, Sonja C.; … - Institute for the Study of Labor (IZA) - 2013
This paper analyzes the relationship between individuals' locus of control and their savings behavior, i.e. wealth … accumulation, savings rates, and portfolio choices. Locus of control is a psychological concept that captures individuals' beliefs …-of-control gap in savings rates is largest among rich households, the gap in wealth accumulation is particularly large for poor …
Persistent link: https://www.econbiz.de/10011156463
Cover Image
The composition of household wealth between 1997 and 2003.
Girardot, P.; Marionnet, D. - In: Quarterly selection of articles - Bulletin de la Banque … (2008) 12, pp. 79-105
property assets, and their fi nancial savings have been increasingly channelled into risky investments. …
Persistent link: https://www.econbiz.de/10009274756