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International Capital Constraints and Stock Market Dynamics

Schornick, Astrid V. - 2010

In order to explain cross-country differences in the effects of capital market liberalization, this paper proposes a model of international asset markets in which investors in different countries each face constraints on portfolio choice. The model demonstrates that liberalization, i.e. the...

Persistent link: https://www.econbiz.de/10013142324

Investment as the Opportunity Cost of Dividend Signaling

Kaplan, Zachary - 2020

We provide evidence that firms with weak investment opportunities (those whose current earnings justify a greater … valuation than firms with strong investment opportunities) signal their permanent earnings level through their dividends. In the … investment opportunities. Intertemporally, when aggregate investment opportunities are worse, firms convey more earnings …

Persistent link: https://www.econbiz.de/10012849148

Corporate Taxes, Partisan Politics, and Stock Returns

Mella, Javier - 2022

I investigate the effect of different measures of corporate taxes on stock returns. The results support the partisan politics cycle effect on equity returns. A high minus low (Hi-Lo) portfolio sorted by (Total Corporate Taxes/Total Assets) has an annual return of +3.8% during Republican...

Persistent link: https://www.econbiz.de/10013309793

Comovement, Passive Investing and Price Informativeness

DeLisle, Jared - 2015

From 1992 to 2011, average R2 increased from 0.17 to 0.47. During this period, passive financial institutions also grew their ownership from 30 to 50% of the market. Passive investors do not perform fundamental research nor trade around firm-specific news, thus reducing the firm-specific...

Persistent link: https://www.econbiz.de/10013036350

Costs of Equity in North Africa’s Equity Markets : An Industrial Sector Study

Hearn, Bruce Allen - 2011

This study estimates liquidity premiums using the recently developed Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time varying parameter model for the North African emerging markets of Algeria, Egypt, Morocco and Tunisia. The evidence...

Persistent link: https://www.econbiz.de/10013134009

Credit Information Sharing and Stock Price Crash Risk : The Role of Information Asymmetry and Bank Regulations

Teeranutranont, Chanon - 2018

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...

Persistent link: https://www.econbiz.de/10012926760

Global Political Uncertainty and Asset Prices

Brogaard, Jonathan - 2020

We show that global political uncertainty, measured by the U.S. election cycle, on average, leads to a fall in equity returns in fifty non-U.S. countries. At the same time, market volatilities rise, local currencies depreciate, and sovereign bond returns increase. The effect of global political...

Persistent link: https://www.econbiz.de/10012856549

Speed, Fragmentation, and Asset Prices

Pagnotta, Emiliano - 2020

We study the consequences of trading fragmentation and speed on liquidity and asset prices. Trading venues invest in speed-enhancing technologies and price trading services to attract investors. Investors trade due to preference shocks. We show how the resulting market organization affects asset...

Persistent link: https://www.econbiz.de/10012857144

The Equity Market and Its Price Discovery Risk : An Empirical Study for the CAC40 Stock Market Index

Gillet, Roland L. - 2018

This paper studies the price discovery dynamics in an order-driven market. Based on the transaction data on individual stocks, the paper focuses on the study of the monthly evolution of normalized volatility ratios on Euronext Paris for the CAC40 stocks before and after the implementation of the...

Persistent link: https://www.econbiz.de/10012923999

Market Microstructure and the Risks of High-Frequency Trading

Aldridge, Irene - 2013

The current research assesses the risks commonly attributed to the presence of HFT in the context of different market structures deployed by the U.S. exchanges. In particular, we find that, by design, the so-called “normal” exchanges have the lowest market quality, including the highest...

Persistent link: https://www.econbiz.de/10013079007

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