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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long … term underperformance effects, which states that the IPO underpricing and long term underperformance can be explained by …

Persistent link: https://www.econbiz.de/10013026463

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063

Return predictability and stock market crashes in a simple rational expectations model

Lüders, Erik (contributor); Franke, Günter (contributor) - 2005

This paper presents a simple rational expectations model of intertemporal asset pricing. It shows that heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability of asset returns and high and persistent volatility....

Persistent link: https://www.econbiz.de/10002753247

An Econometric Panel-Midas Model of Asset Returns in the Brazilian Stock Market

Moura Costa da Silva, Aline; de Medeiros, Otavio Ribeiro - 2018

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...

Persistent link: https://www.econbiz.de/10014112120

Short Interest Ratio and Equity Market Return : Causality and Impulse Response Functions

Sum, Vichet - 2015

This study examines the causal link between short interest ratio and equity market return and their respective impulse response functions. Based on the analysis of monthly data from 1931M6 to 2012M12, the results reveal that there is a causal link between NYSE short interest ratio and the...

Persistent link: https://www.econbiz.de/10013035005

Does the Bond-Stock Earning Yield Differential Model Predict Equity Market Corrections Better than High P/E Models?

Lleo, Sebastien - 2015

In this paper, we extend the literature on crash prediction models in three main ways. First, we explicitly relate crash prediction measures and asset pricing models. Second, we present a simple, effective statistical significance test for crash prediction models. Finally, we propose a...

Persistent link: https://www.econbiz.de/10013035325

Secular Mean Reversion and Long-Run Predictability of the Stock Market

Zakamulin, Valeriy - 2015

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

Persistent link: https://www.econbiz.de/10013036031

Excess Returns to Buying Low Options-Volume Stocks and Selling High Options-Volume Stocks : Information or Characteristics?

Cai, Li - 2018

This paper documents a negative relationship between options trading volume and stock returns. The relationship is remarkably robust and cannot be explained by existing asset-pricing theorems. We find that strategies that require buying stocks with low options trading volume in the past and...

Persistent link: https://www.econbiz.de/10012914633

The Intertemporal Relation between Expected Returns and Conditional Correlations between Precious Metals and the Stock Market

Sakemoto, Ryuta - 2018

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns. This study reveals that...

Persistent link: https://www.econbiz.de/10012919487

In Search of Money Illusion in CEE Stock Markets : The CAPM Approach

Orlovaitė, Ernesta - 2019

We investigate whether the hypothesis of money illusion can explain the negative or non-existent stock returns and inflation co-movement, and lead to deviations from the CAPM-implied risk-return relation in ten Central Eastern European (CEE) markets. We employ the Cohen, Polk and Vuolteenaho...

Persistent link: https://www.econbiz.de/10012906159