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The CSPP at work : yield heterogeneity and the portfolio rebalancing channel
Zaghini, Andrea - 2019
We assess the impact of the corporate sector purchase programme (CSPP), the corporate arm of the ECB's quantitative easing, over its first year of activity (June 2016 - June 2017). Focusing on the primary bond market, we find evidence of a significant impact of the CSPP on yield spreads, both...
Persistent link: https://www.econbiz.de/10011997427
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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities
Ledenyov, Dimitri - 2015
This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...
Persistent link: https://www.econbiz.de/10013026463
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The Long-Run Performance of UK Rights Issuers
Iqbal, Abdullah - 2014
The long-run performance of 424 UK rights issues during 1991-95 shows that issuers outperform the market and non-issuing peers in the pre-issue period and underperform in the post-issue period. To explain these results, we examine the timing and earnings management hypotheses and show that our...
Persistent link: https://www.econbiz.de/10013043359
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Underpricing and Aftermarket Performance of American Depository Receipts (ADR) IPOs
Ejara, Demissew Diro - 2010
American depositary receipts (ADRs) are negotiable instruments representing foreign company shares traded in US dollars in the US capital market. We present comparative analyses of the pricing and aftermarket performance of Initial Public Offerings (IPOs) by ADRs and a matching sample of US...
Persistent link: https://www.econbiz.de/10013147383
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Impact of CSR on the Stock Returns of Indian Companies
Jagadeesh, M - 2021
Purpose- This study investigates the impact of Corporate Social Responsibility (CSR) on stock prices of Indian listed companies. The literature reviews show a strong contradictory of the relationship between CSR and stock prices which is still debatable. This study will tell whether there is a...
Persistent link: https://www.econbiz.de/10014361794
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The impact of the euro on equity markets: a country and sector decomposition
Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008
This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …
Persistent link: https://www.econbiz.de/10011604952
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What Drives Investors' Behaviour in Different FX Market Segments? A Var-Based Return Decomposition Analysis
Castren, Olli; Osbat, Chiara; Sydow, Matthias - 2021
We apply the Campbell-Shiller return decomposition to exchange rate returns and fundamentals in a stationary panel vector autoregression framework. The return decomposition is then used to analyse how different investor segments react to news as captured by the different return components. The...
Persistent link: https://www.econbiz.de/10013317302
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Size, value, and momentum in Polish equity returns : local or international factors?
Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47
This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence...
Persistent link: https://www.econbiz.de/10012026674
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Intraday patterns in FX returns and order flow
Breedon, Francis J.; Ranaldo, Angelo - 2012
Using a comprehensive high-frequency foreign exchange dataset, we present evidence of time-of-day effects in foreign exchange returns through a significant tendency for currencies to depreciate during local trading hours. We confirm this pattern across a range of currencies and time zones. We...
Persistent link: https://www.econbiz.de/10009521479
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Factor Reversal in the Euro Zone Stock Returns : Evidence from the Crisis Period
Chou, Hsin-I - 2012
The introduction of the common currency in the Euro zone has led to a shift in factor importance from country to … country factor returns of the Euro zone member countries during the crisis. Moreover, fund managers who invested in Euro zone …
Persistent link: https://www.econbiz.de/10013098895