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The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes
Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93
The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...
Persistent link: https://www.econbiz.de/10011556115
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Expected stock returns worldwide : a log-linear present-value approach
Chattopadhyay, Akash; Lyle, Matthew R.; Wang, Charley C. Y. - 2018
accounting valuation anchor, its expected growth, and market prices—for estimating ERPs internationally, and derive a correction … associated with expected returns. We also show that the LPV framework can accommodate different valuation anchors, such as …
Persistent link: https://www.econbiz.de/10011931329
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The Impact of Financial Constraints and Liquidity on the Stock Returns of Companies Listed in Tehran Stock Exchange
Heidari Gandoman, Shaho - 2020
The purpose of this study was to investigate the The Impact of Financial Limitation and Liquidity on the Stock Returns of Companies Listed in Tehran Stock Exchange. Financial constraints and stock liquidity as independent variable and stock returns are considered as independent variable and...
Persistent link: https://www.econbiz.de/10012846392
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The Impact of SFAS No. 8 on Stock Market Based on a New Fama-French 3-Factor Model : An Empirical Evidence from US Stock Market
Wang, Wen - 2018
In this paper, the impact of the accounting rule (SFAS No.8) on stock market is analyzed with a new model, which is based on the 3-factor model of Fama-French (1993), the EGARCH-type volatility of Nelson (1991) and non-Normal distribution of SSAEPD of Zhu and Zinde-Walsh (2009). Fama-French 25...
Persistent link: https://www.econbiz.de/10012933571
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Financial Statement Quality : First Evidence from the Georgian Stock Exchange
Pirveli, Erekle - 2018
In the 21st century, already witness to unparalleled rates of globalization, discernible economic success can hardly be achieved without developed stock markets. In case of Georgia, the stock exchange remains in nascent stage of development and positions as one of the smallest and most illiquid...
Persistent link: https://www.econbiz.de/10012933780
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Stock Market Returns and GDP News
Patatoukas, Panos N. - 2019
What is the link between stock returns and news about economic growth? Using consensus forecasts from the Philadelphia Fed's Survey of Professional Forecasters, I find that the univariate association between stock returns and GDP growth forecast surprises is indistinguishable from zero. While...
Persistent link: https://www.econbiz.de/10012904757
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Securities Regulation, Household Equity Ownership, and Trust in the Stock Market
Christensen, Hans Bonde - 2019
Using aggregate data from national accounts, we study whether strengthening and harmonizing securities regulation across the European Union increases household equity ownership. We find a significant increase in the proportion of liquid assets invested in equity, both when a household's own...
Persistent link: https://www.econbiz.de/10012900693
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Can Implied Volatility Comovements Capture More Than Volatility Risk? Evidence from Insider Trades and Aggregate Equity Returns
Bushman, Robert M. - 2019
The prevailing view of implied volatility comovements, IVC, defined as the correlation between a firm's implied volatility and the market's implied volatility, is that they indicate the presence of systematic volatility risk to the firm's investors. We take a different stance and conjecture that...
Persistent link: https://www.econbiz.de/10012900702
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Natural Disaster-Induced Australian Equity Market Reaction : Discrimination Across Industries
Li, Siqiwen - 2013
Natural disasters in Australia have caused significant damage to the local economy and businesses. This paper employs the event study methodology to examine the natural disaster induced equity market reaction using daily equity return of 32 Australian firms within the following seven major...
Persistent link: https://www.econbiz.de/10014157051
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Accounting-Based Valuation and Predictability of Stock Market Returns : A Re-Examination
Fang, Jing - 2019
Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee … the accounting valuation-based predictor does not suffer the problem of instable in-sample and poor out … find that forecasts based on widely-used valuation ratios and business cycle variables do not encompass forecasts based on …
Persistent link: https://www.econbiz.de/10014103309