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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent … with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully … accounts for aggregate investment's predictive power for future stock market returns. Similarly, conditional equity premium is …
Persistent link: https://www.econbiz.de/10012960222
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent … with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully … accounts for aggregate investment's predictive power for future stock market returns. Similarly, conditional equity premium is …
Persistent link: https://www.econbiz.de/10012968442
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Fundamentals, misvaluation, and investment : the real story
Chirinko, Robert S.; Schaller, Huntley - 2006
Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We … introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama … misvaluation into standard investment equations to estimate the quantitative effect of misvaluation on investment. Overall, the …
Persistent link: https://www.econbiz.de/10009736657
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An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market
Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...
Persistent link: https://www.econbiz.de/10011843494
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Corporate Assets Turnover as the Proxy for Earnings-Quality on the Polish Stock Market
Welc, Jacek - 2011
Earnings manipulations are often revealed with significant lag. This usually entails dramatic share price' slide. Therefore investors should avoid/buy stocks with low/high earnings-quality. However, given the shortcomings of auditing, using this strategy requires application of the other (then...
Persistent link: https://www.econbiz.de/10013128605
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Dividends as a Signalling Mechanism : The Case of Illiquid Stock Markets
Gonzalez, Maximiliano - 2011
Dividends payment is an important signalling device used by corporations. Through the dividend policy, firms can ‘separate' themselves and let the market, in an environment of asymmetric information, correctly assess their value. However, it is not clear that this mechanism is effective in...
Persistent link: https://www.econbiz.de/10013130483
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Comovement of Newly Added Stocks with National Market Indices : Evidence from Around the World
Claessens, Stijn - 2011
We document the prevalence around the world of increased stock price comovement experienced by companies when added to major indices, and shed new light on the causes of this phenomenon. Using newly-constructed and extensive data covering forty developed and emerging markets over the last...
Persistent link: https://www.econbiz.de/10013134736
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Can Individual/Naive Investors Infer Valuable Information from Institutional Investors' Trades? Evidence from the Casablanca Stock Exchange
Farooq, Omar - 2010
Do different institutional investors possess different sets of information? The extent to which different institutional investors offer different information to individual/naive investors remains an interesting question in information poor emerging stock markets. Using a comprehensive data of...
Persistent link: https://www.econbiz.de/10013140250
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Macroeconomic News Effects on the Stock Markets
Bedowska-Sojka, Barbara - 2013
The vast of literature concerning the reaction to macroeconomic announcements focus on American releases and their impact on returns and volatility. We are interested if the news from the German and the Polish economy are significant for the stock exchanges in these two countries. Using...
Persistent link: https://www.econbiz.de/10013091423
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Stock Market Information and Reit Earnings Management
Ambrose, Brent W. - 2014
This paper investigates the interaction between stock price movement and REIT earnings management. We examine whether information generated from stock trading influences managers' incentives to engage in earnings management. We first test if stock investors are able to detect earnings management...
Persistent link: https://www.econbiz.de/10013071213