Narrow search
Showing 1 - 10 of 6,810
Cover Image
A Model of Two Days : Discrete News and Asset Prices
Wachter, Jessica A. - 2020
Empirical studies demonstrate striking patterns in stock market returns in relation to scheduled macroeconomic announcements. First, a large proportion of the total equity premium is realized on days with macroeconomic announcements, despite the small number of such days. Second, the relation...
Persistent link: https://www.econbiz.de/10012853684
Cover Image
Financial Stress and Forecasting UK Equity Risk Premiums
Berry, William; Dietrich, Diemo; Sollis, Robert - 2022
We study the predictability of equity risk premiums for UK equity indexes, in particular whether stylized facts found for the US stock market also apply to the UK market. We compare the performance of economic and technical indicators with a particular focus on the time-varying nature of...
Persistent link: https://www.econbiz.de/10013291975
Cover Image
Heterogeneous Beliefs and Stock Market Fluctuations
McCarthy, Odhrain; Hillenbrand, Sebastian - 2022
Stock prices aggregate the beliefs of different investors. Using this insight, we estimate the fraction of stock market investors holding survey beliefs. We find that 42% of investors hold beliefs matching those of equity analysts and 25% hold beliefs as observed in individual investor return...
Persistent link: https://www.econbiz.de/10014238395
Cover Image
Low Volatility Asset Valuation in Brazilian Stock Market : Lower Risk with Higher Returns
Boudjoukian França, Luciano; Avelar, Mario; Teles, Pedro - 2023
This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate … the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual … return above the high volatility portfolio. This result is aligned with the observation made by Blitz and Van Vliet (2007) in …
Persistent link: https://www.econbiz.de/10014349977
Cover Image
Determinant of Stock Systematic Risks
Pasaribu, Rowland Bismark - 2017
This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...
Persistent link: https://www.econbiz.de/10012942864
Cover Image
Fundamentals and the winner-loser effect theory and empirical evidence
Külpmann, Mathias - 2000
Persistent link: https://www.econbiz.de/10001474619
Cover Image
Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria - 2014
This paper analyzes why corporate governance matters for stock returns if the stock market prices the underlying managerial agency problem correctly. Our theory assumes that strict corporate governance prevents managers from diverting cash flows, but reduces incentives for managerial effort. In...
Persistent link: https://www.econbiz.de/10013063851
Cover Image
Stock Market Returns, Corporate Governance and Capital Market Equilibrium
Parigi, Bruno Maria; Pelizzon, Loriana; von Thadden, … - 2021
volatility and negatively with returns on assets. Various tests with U.S. firm data using the corporate governance index of …
Persistent link: https://www.econbiz.de/10013315674
Cover Image
Consumption-Based Equity Valuation
Bach, Christian - 2016
Using a CCAPM-based risk-adjustment model, we perform yearly valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ over a thirty-year period. The model differs from standard valuation models in the sense that it adjusts forecasted residual income for risk in the numerator rather...
Persistent link: https://www.econbiz.de/10013003022
Cover Image
Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018
allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …
Persistent link: https://www.econbiz.de/10011860248