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Are share prices still too high?

McMillan, David G. - In: Research in international business and finance 23 (2009) 3, pp. 223-232

Persistent link: https://www.econbiz.de/10003876717

Are UK share prices too high? : fundamental value or new era

McMillan, David G. - In: Bulletin of economic research 61 (2009) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10003800451

Stock return predictability : using the cyclical component of the price ratio

McMillan, David G. - In: Research in international business and finance 48 (2019), pp. 228-242

Persistent link: https://www.econbiz.de/10012135904

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises

Al Rababa'a, Abdel Razzaq - 2018

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

Persistent link: https://www.econbiz.de/10012919223

Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos S - 2021

We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of the stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for the fundamental–based news while...

Persistent link: https://www.econbiz.de/10013322478

Profit Persistence and Stock Returns : Does the Market Care?

McMillan, David G. - 2018

We examine the relation between stock returns and profit persistence. Profit persistence is an indicator of competitive … managerial ability and three different measures of profit, we establish that persistence typically increases in firm size, market …-level results regarding the cash flow and risk premium drivers. Also, for competition policy where results show higher profit …

Persistent link: https://www.econbiz.de/10012914860

Expected profitability, the 52-week high and the idiosyncratic volatility puzzle

Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos - In: The European journal of finance 29 (2023) 14, pp. 1621-1648

Persistent link: https://www.econbiz.de/10014387954

Is Responsible Investment under-proportionally Researched?

Hoepner, Andreas G. F. - 2016

We contribute to the research policy literature by pioneering the development of a sufficiently reliable and generically applicable benchmarking approach for research area output quantity and/or quality. In our development, we overcome substantial structural problems such as the ignorance of...

Persistent link: https://www.econbiz.de/10013009299

Profit persistence revisited : the case of the UK

McMillan, David G.; Wohar, Mark E. - In: The Manchester School 79 (2011) 3, pp. 510-527

Persistent link: https://www.econbiz.de/10009266797

Do firm sizes and profit rates converge? : Evidence on Gibrat's Law and the persistence of profits in the long run

Goddard, John A.; McMillan, David G.; Wilson, John O. S. - In: Applied economics 38 (2006) 3, pp. 267-278

Persistent link: https://www.econbiz.de/10003294001

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