Showing 1 - 10 of 1,955
This paper empirically models China’s stock prices using conventional fundamentals: corporate earnings, risk-free interest rate, and a proxy for equity risk premium. It uses the estimated longrun stock price misalignments to date booms and busts, and analyses equity market reforms and excess...
Persistent link: https://www.econbiz.de/10011605236
We show that the stock market pricing the presidential margin of victory in a nonlinear concave fashion, with a higher price for medium than slight or crushing victories. We conjecture that the margin of victory reflects president confidence and the ability to execute policies. A small margin...
Persistent link: https://www.econbiz.de/10013251084
Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...
Persistent link: https://www.econbiz.de/10012973405
In China, a large proportion of companies are state owned, and this factor is a likely important driver of assets prices. In this paper, a State-Owned Enterprise (SOE) benchmark/factor is constructed along with the market factor and common benchmarks used in the literature to explain returns –...
Persistent link: https://www.econbiz.de/10012953152
Using data on political speeches, I demonstrate that U.S. presidential candidates influence stock market outcomes. Political speeches that contain economic information increase aggregate market returns and trading volume but decrease market volatility. Speeches with a net negative linguistic...
Persistent link: https://www.econbiz.de/10012954947
This paper utilizes the daily prices of the market indices in 57 countries across the world from 2nd January 1997 to 30th August 2012 to examine the potential stock market integration structure by applying a network visualization approach (with both MST network and Graph network), we seek to...
Persistent link: https://www.econbiz.de/10013028942
We use the 2016 U.S. SEC tick size pilot to examine the effects of an increase in the minimum price variation on limit order book liquidity in NASDAQ-listed stocks on the NASDAQ exchange. For treatment stocks with an average pre-pilot quoted spread less than $0.05, the tick size increase is...
Persistent link: https://www.econbiz.de/10012902516
This paper investigates the impact of foreign institutional investors on valuation, liquidity and volatility in Saudi stock exchange for the pre- and post-period from November 10, 2014 to June 12, 2015 and from June 15, 2015 to January 22, 2016 respectively, utilizing daily market trade data....
Persistent link: https://www.econbiz.de/10012903071
Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...
Persistent link: https://www.econbiz.de/10012909481
Uncertainty and monetary policy decisions in the U.S. interact with one another. Contrary to the common notion that FOMC announcements resolve a non-trivial amount of economic uncertainty, we find that the announcement commands a sizable left-tail premium, which builds up a few days in advance....
Persistent link: https://www.econbiz.de/10013228844