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Financial frictions and the reaction of stock prices to monetary policy shocks
Ozdagli, Ali - 2014 - This version: July 29, 2014
This paper reveals and tests a new theoretical implication of the credit channel of monetary policy: as financial frictions (monitoring or auditing costs) increase, the reaction of stock prices to monetary policy shocks decreases. Correspondingly, towards the end of the Enron accounting scandal,...
Persistent link: https://www.econbiz.de/10010395119
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Dynamic Response of Equity Market Returns to Corporate Profit Growth Shock
Sum, Vichet - 2013
This study investigates how returns on the S&P 500 (SP) dynamically respond to the aggregate corporate profit growth … (CP) shock. The results from running the VAR model using quarterly data from 1951Q4 to 2012Q4 shows that returns on the SP … significantly and positively respond to the CP shock instantly in the first quarter and retreat back to the zero territory …
Persistent link: https://www.econbiz.de/10013078332
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Financial Constraints, Stock Liquidity, and Stock Returns
Li, Xiafei - 2019
This paper examines stock liquidity in explaining the mixed relations between financial constraints and stock returns and the pricing of stock liquidity across financially constrained and unconstrained firms. We find a negative relation in liquid portfolios and a positive relation in illiquid...
Persistent link: https://www.econbiz.de/10012905015
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Financial frictions and regime switching : the role of collateral asset in emerging stock market
Awijen, Haithem; Hammami, Sami - 2017
This paper examines empirically the nonlinear business cycle dynamics due to the presence of financial frictions. Using a threshold vector auto regression, the authors estimate the behavior of interest rate shocks in which a regime change occurs if the two respective threshold variables namely...
Persistent link: https://www.econbiz.de/10011609272
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Political news and stock market reactions : evidence from Turkey over the period 2008-2017
Karime, Sleiman; Sayilir, Özlem - In: International journal of management and economics 55 (2019) 2, pp. 83-98
The primary objective of the study is to examine the impact of political news (good and bad news) on the returns and volatility of Borsa Istanbul 100 Index (BIST-100). Sample data cover the period from January 2008 to December 2017. The main sample was divided into two subperiods to insulate the...
Persistent link: https://www.econbiz.de/10012131511
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Stock liquidity and corporate cash holdings
Nyborg, Kjell G.; Wang, Zexi - 2013
We advance the feedback/cash as ammunition hypothesis, namely that firms hold cash to address feedback from stock prices to cash ows and growth opportunities. Firms with more liquid stocks are expected to hold more cash, the opposite of the prediction from a standard information asymmetry...
Persistent link: https://www.econbiz.de/10010256421
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Foreign Portfolio Capital Flows and Stock Returns : A Study of Brazilian Listed Firms
Loncan, Tiago - 2015
This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, in an aggregate analysis, the partial effect of foreign...
Persistent link: https://www.econbiz.de/10013024723
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The impact of FX exposure on the firm's stock market return
Bondarenko, Mariia; Brůna, Karel - In: European financial and accounting journal : EFAJ 16 (2021) 1, pp. 45-70
It is generally acknowledged that one of the risks faced by any company is FX risk, especially when the business operates internationally. For individual companies, exposure to FX risk results in different financial implications, stressing such parameters as the industry affiliation and the...
Persistent link: https://www.econbiz.de/10012642502
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Capital markets integration and cointegration : testing for the correct specification of stock market indices
Agoraki, Maria-Eleni K.; Georgoutsos, Demetris A.; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/186, pp. 1-20
In this paper we develop a comprehensive Vector Autoregression Model consisting of five variables; the stock market and price indices of pairs of countries, as well as their bilateral nominal exchange rate. Then, we show that under certain long-run restrictions, our approach encompasses a large...
Persistent link: https://www.econbiz.de/10012171036
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Pricing and Performance of IPOs : Evidence from Indian Stock Market
Hawaldar, Iqbal Thonse - 2020
This study examines listing day performance of IPOs, book-built and fixed-price IPOs, post-listing aftermarket performance of IPOs, book-built and fixed-price IPOs in the Indian stock market. We examine pricing as well as long run performance of 464 (365 book-built IPOs and 99 fixed-price IPOs)...
Persistent link: https://www.econbiz.de/10012845970