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New evidence on turn-of-the-month effects
Sharma, Susan Sunila; Narayan, Paresh Kumar - In: Journal of International Financial Markets, … 29 (2014) C, pp. 92-108
In this paper, we test whether the turn-of-the-month (TOM) affects firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence that the TOM affects returns and return volatility of firms. The...
Persistent link: https://www.econbiz.de/10010743660
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Dividend predictability around the world
Rangvid, Jesper; Schmeling, Maik; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2010
The common perception in the literature, mainly based on U.S. data, is that current dividend yields are uninformative about future dividends. We show that this finding changes substantially when looking at a broad international panel of countries, as aggregate dividend growth rates are found to...
Persistent link: https://www.econbiz.de/10008474508
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Australian Coal Company Risk Factors: Coal and Oil Prices
Hasan, M. Zahid; Ratti, Ronald A. - In: The International Journal of Business and Finance Research 8 (2014) 1, pp. 57-67
Examination of panel data on listed coal companies on the Australian exchange over January 1999 to February 2010 suggests that market return, interest rate premium, foreign exchange rate risk, and coal price returns are statistically significant in determining the excess return on coal...
Persistent link: https://www.econbiz.de/10011143938
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Oil Price and Exchange Rate Volatility in Nigeria
Ogundipe, Adeyemi; Ogundipe, Oluwatomisin - Volkswirtschaftliche Fakultät, … - 2013
therefore recommend that the Nigeria government should diversify from the Oil sector to other sectors of the economy so that …
Persistent link: https://www.econbiz.de/10011109692
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The January and turn-of-the-month effect on firm returns and return volatility
Sharma, Susan Sunila; Narayan, Paresh Kumar - Deakin University, Faculty of Business and Law, School … - 2011
In this paper, we test whether January and turn-of-the-month (TOM) affect firm returns and firm return volatility differently depending on their sector and size. We use time series data for 560 firms listed on the NYSE and find evidence of both January and TOM affecting returns and return...
Persistent link: https://www.econbiz.de/10009193288
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Skewness in Stock Returns:Reconciling the Evidence on Firm versus Aggregate Returns
Albuquerque, Rui - C.E.P.R. Discussion Papers - 2010
Aggregate stock market returns display negative skewness. Firm-level stock returns display positive skewness. The large literature that tries to explain the first stylized fact ignores the second. This paper provides a unified theory that reconciles the two facts. I build a stationary asset...
Persistent link: https://www.econbiz.de/10008553065
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Sector Integration and the Benefits of Global Diversification
Ratner, Mitchell; Leal, Ricardo P. C. - In: Multinational Finance Journal 9 (2005) 3-4, pp. 237-269
over time.The results indicate that although the correlation between most foreign sectors and U.S. sectors is increasing … sectors may significantly enhance the return-to-risk performance of international portfolios. …
Persistent link: https://www.econbiz.de/10010937123
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An analysis of price discovery from panel data models of CDS and equity returns
Narayan, Paresh Kumar; Sharma, Susan Sunila; … - In: Journal of Banking & Finance 41 (2014) C, pp. 167-177
sectors while the Credit Default Swap (CDS) market contributes to price discovery in only a few sectors. We discover that in … sectors where both the stock market and the CDS market contribute to price discovery, it is the stock market that dominates …
Persistent link: https://www.econbiz.de/10010744374
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How profitable is the Indian stock market?
Narayan, Paresh Kumar; Ahmed, Huson Ali; Sharma, Susan … - In: Pacific-Basin Finance Journal 30 (2014) C, pp. 44-61
is profitable. We find robust evidence that investing in some sectors is relatively more profitable than investing in … from the market to the sectors. Specifically, we show that while the market predicts returns of sectors, the magnitude of … predictability varies with sectors. Our results are robust to a range of trading strategies. …
Persistent link: https://www.econbiz.de/10011116395
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A Fed szigorodó monetáris politikájának hatása az eszközárakra a feltörekvő piacokon
Szabó, Zsolt - In: Közgazdasági Szemle (Economic Review - monthly of the … LXI (2014) 6, pp. 693-718
Az Egyesült Államok eszközvásárlási programjának 2014 elején indult szigorítása jelentős mértékű globális portfólióátcsoportosításhoz és az eszközárak zuhanásához vezetett a feltörekvő piacokon. A szerző lineáris regressziós és klaszterelemzési módszerekkel...
Persistent link: https://www.econbiz.de/10010963471