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Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns
Blackburn, Douglas W. - 2019
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/10012901804
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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
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Residual State Ownership, Policy Stability and Financial Performance Following Strategic Decisions by Privatizing Telecoms
Vaaler, Paul M.; Schrage, Burkhard N. - 2008
-controlling or "residual" state ownership framework, grounded in credible privatization and institutional theory. We propose that: 1 … signals state support for managerial initiatives; 2) the passage of time since initial privatization negatively affects … turn negative at higher state ownership levels. CARs turn sharply negative within 1-2 years from initial privatization …
Persistent link: https://www.econbiz.de/10014047034
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Share Issuance and Expected Returns Around the World
Zaremba, Adam - 2019
Practitioners and academics often consider IPO activity as a gauge of investor optimism and market valuation. This study investigates the cross-sectional implications of this concept at the country level. We use sorting and cross-sectional tests to examine linkages between past share issuance...
Persistent link: https://www.econbiz.de/10012904214
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Global oil market and the US stock returns
Ahmad, Maryam; Manera, Matteo; Sadeghzadeh, Mehdi - 2015
This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...
Persistent link: https://www.econbiz.de/10011391816
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Persistence in ESG and conventional stock market indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2021
This paper uses R/S analysis and fractional integration techniques to examine the persistence of two sets of 12 ESG and conventional stock price indices from the MSCI database over the period 2007-2020 for a large number of both developed and emerging markets. Both sets of results imply that...
Persistent link: https://www.econbiz.de/10012520863
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The spectre of terrorism and the stock market
Hanna, Alan J.; Turner, John D.; Walker, Clive B. - 2022
Terrorism is a major issue in the 21st century. In this paper we examine the effect of terrorism on the stock market. We go beyond previous studies to explore the spectre of terrorism on the market rather than terrorist activities. Using a narrative-based approach à la Shiller (2019), we find...
Persistent link: https://www.econbiz.de/10013428887
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A Careful Re-Examination of Seasonality in International Stock Markets : Comment on Sentiment and Stock Returns
Kamstra, Mark J. - 2011
In questioning Kamstra, Kramer, and Levi's (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due...
Persistent link: https://www.econbiz.de/10013133009
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Does Volatility Allow for Style Rotation? Evidence from International Stock Market Returns
Dori, Fabian - 2012
Unlike the existing literature on value and growth investing, this paper takes a different point of view by conducting a "between-markets analysis." First of all, it asks whether the value premium also exists on a country level, in the sense that country indexes that are undervalued consistently...
Persistent link: https://www.econbiz.de/10013096369
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Volatility and Return (Empirical Evidence from Tehran and International Stock Exchanges)
Pakizeh, Kamran - 2012
In this article the relationship between market return and volatility is examined by applying out-of-sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE...
Persistent link: https://www.econbiz.de/10013097841