Med afsæt i et historisk lavt dividende-pris (D-P) forhold har Tom Engsted & Carsten Tanggaard prædikteret, at det danske aktiemarked vil falde med 50 % i.f.t niveauet i 1996, idet en tilbagevenden af D-P ratioen til det historiske gennemsnit hævdes primært at komme i stand via styrtdykkende...

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high...

The stock market is widely viewed as being more volatile these days. This paper examines that perception using data from the past 40 years. It finds surprising consistency across years in the number of days the market closes up and down. In an average year the market closes down 47% of all...

Med afsæt i et historisk lavt dividende-pris (D-P) forhold har Tom Engsted & Carsten <p> Tanggaard prædikteret, at det danske aktiemarked vil falde med 50 % i.f.t niveauet i 1996, <p> idet en tilbagevenden af D-P ratioen til det historiske gennemsnit hævdes primært at komme i <p> stand via...</p></p></p>

This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration dependent Markov-switching model is estimated over monthly growth rates of the Portuguese Stock Index for the...

We study the effect of X-Stream, the new trading platform of the Colombian Stock Exchange since February 2009, on the quality of the stock market. Contributing to the literature on market quality, this paper provides novel evidence of the effect of reforms on market design, trading rules and...

Based on the data of companies listed on A-share market during the year 2001 to 2009, this paper explores the relationship between product market power and trade volume in the view of heterogeneous beliefs. It's found that the improvement of product market power significantly promotes trading,...

This paper investigates the return performance of a portfolio of U.S. “vice stocks,” firms that manufacture and sell products such as alcohol, tobacco, gaming services and national defense. In my research, I examine a portfolio of sixty one vice stocks over the period 1996 to 2016. Using...

We create an artificial stock market (ASM) which mimics results of the analytical game theory model. By showing the convergence of simulated results to analytical, we assess the created ASM as a powerful tool for further research of more sophisticated market compositions and set-ups, allowing...

Based on the data of 786 companies listed on A-share market during 2001 to 2009, this paper studies firm-specific return volatility. It's found that the absolute level of firm-specific volatility is rising, while the weight of firm-specific volatility is decreasing, which implies declining...