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Investment-Based Expected Stock Returns
Liu, Laura Xiaolei - 2010
returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average … levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios … sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return …
Persistent link: https://www.econbiz.de/10013150596
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Investment-Based Expected Stock Returns
Liu, Laura Xiaolei - 2009
returns equal levered investment returns, which are tied directly to firm characteristics. When we use GMM to match average … levered investment returns to average observed stock returns, the model captures the average stock returns of portfolios … sorted by earnings surprises, book-to-market equity, and capital investment. When we try to match expected returns and return …
Persistent link: https://www.econbiz.de/10013153066
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Beauty Contests and Irrational Exuberance : A Neoclassical Approach
Angeletos, George-Marios - 2010
The arrival of new, unfamiliar, investment opportunities is often associated with "exuberant" movements in asset prices … signals about the profitability of the new investment opportunities, and vice versa. In this paper, we study how such …
Persistent link: https://www.econbiz.de/10013146127
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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011455379
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Day-of-the-week effect among the smallest enterprises listed on WSE
Keller, Jakub - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 92-102
The text touches on the subject of the financial markets in the context of behavioral theories. The author attempts to verify the occurrence of one of the popular calendar effects, the day-of-the-week effect, on the Polish stock market. Another limitati on of the study area of the research is to...
Persistent link: https://www.econbiz.de/10011455464
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Is the success of an issuer an investor success? : evidence from Polish IPOs
Brycz, Bogumila; Dudycz, Tadeusz; Kowalski, Michal J. - In: Baltic journal of economics 17 (2017) 1, pp. 57-77
This article examines the factors that determine IPO success in raising equity capital, and how this success translates into investor success. The study is based on a sample of IPOs on the Warsaw Stock Exchange from 1998 to 2011. We find that pre-IPO profitability is a strong and positive signal...
Persistent link: https://www.econbiz.de/10011890952
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Market reactions to dividends announcements and payouts : empirical evidence from the Warsaw Stock Exchange
Mrzygłód, Urszula; Nowak, Sabina - In: Contemporary economics 11 (2017) 2, pp. 187-204
practitioners only with regard to short-term investment decisions. …
Persistent link: https://www.econbiz.de/10011760471
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Trade Policy Uncertainty and Global Stock Returns : Evidence from the 2016 US Presidential Election
Bui, Dien Giau; Hasan, Iftekhar; Lin, Chih-Yung; Vaike, … - 2023
Pástor and Veronesi (2012) develop a general equilibrium model to examine the relation between policy uncertainty and asset prices. Extending to their study, we develop a novel measure of firms’ uncertainty about the change in bilateral trade flows between each country and the US. We...
Persistent link: https://www.econbiz.de/10014362466
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The Added Bonus of Foreign Investments : Global Mutual Funds and Multinational Firm Returns
Jiao, Wei - 2023
We find that active global mutual funds in the U.S. can use foreign information to select U.S. multinationals’ stocks. To invest internationally, these funds collect information from the foreign countries where they invest. Such foreign information helps funds invest in U.S. multinationals...
Persistent link: https://www.econbiz.de/10014350922
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The determinants of stock and bond return comovements
Baele, Lieven; Bekaert, Geert; Inghelbrecht, Koen - 2007
We study the economic sources of stock-bond return comovement and its time variation using a dynamic factor model. We identify the economic factors employing structural and non-structural vector autoregressive models for economic state variables such as interest rates, (expected) inflation,...
Persistent link: https://www.econbiz.de/10011506640