There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...

We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...

The relationship between the announcement of the imposition of capital control and stock returns is examined across a sample of 32 technology firms listed on the Stock Exchange of Thailand (SET), where capital control has been used as a means to prevent the appreciation of a currency (Thai...

In this paper, we examine the behavior of the intra-daily stock returns and close-end stock price manipulation in the Istanbul Stock Exchange (ISE). Understanding the price behavior in a given trading day could help investors when they are making their buy and sell decisions. Studies of...

We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We study the predictive properties of the lagged China...

In this paper, we show that fear can propagate across international financial markets. Investors become more concerned about the local market tail risks when they see that the U.S. economy steps into contractions. Consistent with the rare disaster theory, risk-averse investors would require...

The Efficient Market Hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies in the stock markets, which are mostly based on fixed time price variations, do not provide conclusive findings, in which evidence of short-term predictability varies...

This Article attempts to define hedge funds and to distinguish them from a variety of similar investment funds. After reviewing the hedge fund definition in the U.S. and the EU, this Article argues that the current regulatory framework, which defines hedge funds by reference to what they are not...

Financial markets have experienced unprecedented transformations, signs of which have emerged since the late 1970s. In recent years substantial consolidation occurred. In response to changes in macroeconomic variables, such as GDP, industrial production, inflation and the political business...

This paper studies the predictability of stock returns using monthly data on eight markets over the period 1876-1913. In contrast to much of the existing literature I find broad predictability across stock markets. Market interest rates and seasonal dummies generally have predictive power, and...