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Does corporate social responsibility create shareholder value? : the importance of long-term investors
Nguyen, Phuong Anh; Kecskés, Ambrus; Mansi, Sattar - In: Journal of banking & finance 112 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012225309
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Valuation and underpricing of Turkish IPOs
Tutuncu, Lokman - In: Journal of business economics and management 21 (2020) 1, pp. 157-179
This study utilizes prospectuses and supplementary valuation reports to investigate the relationship between … underwriters' valuation and underpricing in 113 firms going public on Borsa Istanbul. It argues that underwriter discretion in the … valuation is crucial to underpricing in the Turkish market, where fixed price is the dominant method of offering and retail …
Persistent link: https://www.econbiz.de/10012176195
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A Study of Investor Sentiments and Stock Market Behavior
Gupta, Sharad - 2015
This paper highlights the presence of investors' sentiments in the stock market with empirical evidences. Further it lays down the importance of stock market investment with the proper understanding of the sentiments.In this new millennium, with high speed technology which provides easy...
Persistent link: https://www.econbiz.de/10013018998
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Change in Emotional State of Stock Traders Before and After Booking Loss
Raval, Vishvesh H. - 2013
India has one of the biggest capital markets in Emerging Countries. It has a large number of listed companies, brokers, financial institutions. There is also increasing stock trading community. Most of the retail players now follow Fundamental and Technical Analysis for their stock selection and...
Persistent link: https://www.econbiz.de/10013078015
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Lame Duck Presidency and Stock Returns
Kim, Youngsoo - 2016
Recent studies highlight positive effect of political connections on firm performance and stock returns. This paper shows that the positive effect of political connections on the cross-sectional stock returns disappears in the lame duck presidency period, defined as the last two years before the...
Persistent link: https://www.econbiz.de/10012999906
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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10010365211
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
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Stochastic Volatility of Volatility and Variance Risk Premia
Barndorff-Nielsen, Ole E. - 2011
This paper introduces a new class of stochastic volatility models which allows for stochastic volatility of volatility (SVV): Volatility modulated non-Gaussian Ornstein-Uhlenbeck (VMOU) processes. Various probabilistic properties of (integrated) VMOU processes are presented. Further we study the...
Persistent link: https://www.econbiz.de/10013117444
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What Drives Short-Term GCC Stock Market Returns? Empirical Evidence from Fat-Tailed Distribution
Onour, Ibrahim - 2012
Given that changes in oil prices influence the observable factors in GCC economies, this paper shows unobservable speculative factors that drive short-term stock market returns in Saudi and Bahrain markets.1 For other GCC markets, such as Dubai, Abu-Dhabi, and Muscat, oil price uncertainty and...
Persistent link: https://www.econbiz.de/10013098123
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Empirical Study on the Relationship between the Cross-Correlation among Stocks and the Stocks' Volatility Clustering
Miccichè, Salvatore - 2012
In this paper we discuss univariate and multivariate statistical properties of volatility with the aim of understanding how these two aspects are interrelated. Specifically, we focus on the relationship between the cross-correlation among stock's volatilities and the volatility clustering....
Persistent link: https://www.econbiz.de/10013099664