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Periodic Integration and Cointegration of U.S. Stock Prices, Dividends, and Interest Rates : A New Test of the Present Value Model
Shirwani, Hassan; Delcoure, Natalya; Wilbratte, Barry J. - 2012
This paper presents a new test of the present value model of stock price determination, using some of the recent advances in the econometrics of seasonal time series. Unlike earlier studies which generally find stock prices, dividends, and interest rates to be characterized by standard...
Persistent link: https://www.econbiz.de/10014043638
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US equity announcement risk premia
Petraseka, Lukas; Kukacka, Jiri - 2024
We analyze the announcement risk premia on the US market between September 1987 and March 2023 and find that the market index exhibits average excess returns of 8.3 bps for macroeconomic announcement days. This strongly contrasts with 1.4 bps returns for non-announcement days. We further measure...
Persistent link: https://www.econbiz.de/10015076295
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Understanding asset correlations
Burkhardt, Dominic; Hasseltoft, Henrik - 2012 - This draft: September 2012
We document an inverse relation between stock-bond correlations and correlations of growth and inflation. We find that … rising inflation uncertainty lowers stock prices but can either lower or raise nominal bond prices depending on whether … important drivers of stock-bond correlations during the countercyclical period 1965-2000 while output shocks dominated during …
Persistent link: https://www.econbiz.de/10009684165
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The diminishing liquidity premium
Ben-Rephael, Azi; Kadan, Ohad; Wohl, Avi - 2008
Previous evidence suggests that less liquid stocks entail higher average returns. Using NYSE data, we present evidence that both the sensitivity of returns to liquidity and liquidity premia have significantly declined over the past four decades to levels that we cannot statistically distinguish...
Persistent link: https://www.econbiz.de/10003863995
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2010 - This version: December 16, 2010
Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term. Given the widespread publication of sentiment indicators, smart investors should trade on the information conveyed by such indicators and...
Persistent link: https://www.econbiz.de/10008902937
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Market response to investor sentiment
Hengelbrock, Jördis; Theissen, Erik; Westheide, Christian - 2011
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10008822950
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - 2010
We study price pressures in stock prices-price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A...
Persistent link: https://www.econbiz.de/10003980637
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Mispricing and the cross-section of stock returns
Chen, Carl R.; Lung, Peter P.; Wang, F. Albert - In: Review of quantitative finance and accounting 32 (2009) 4, pp. 317-349
Persistent link: https://www.econbiz.de/10003873804
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Hidden liquidity : determinants and impact
Cebiroglu, Gökhan; Horst, Ulrich - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009506557
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ETFs, arbitrage, and contagion
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012
Recent literature suggests that trading by institutional investors may affect the first and second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper provides evidence in this direction by studying...
Persistent link: https://www.econbiz.de/10009554748