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Does Earnings Growth Drive the Quality Premium?
Kyosev, Georgi - 2020
High (low) quality stocks generate anomalously high (low) returns above and beyond expected returns based on betas, market sizes, valuations, and momentum. We provide a comprehensive overview of commonly used quality definitions and test their predictive power for stock returns. We show that...
Persistent link: https://www.econbiz.de/10012855438
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What's Gone Wrong with Option Liquidity : Evidence from the Knight Capital's Trading Glitch
Kapadia, Nikunj - 2020
Since the early 2000s liquidity in option markets has become less resilient, and our evidence suggests that it is so … because of an increased vulnerability to liquidity shocks in the underlying. To demonstrate the causal impact, we consider an … increased uninformed order flow resulting in liquidity-related uncertainty in the equity market. Option spreads of impacted …
Persistent link: https://www.econbiz.de/10012844386
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Growth Opportunity Bias
Gong, Cynthia M - 2020
Growth opportunity bias (GOB), measured as the difference between market and fundamental values of a firm's growth opportunity, has an ability to predict future stock returns. In the portfolio sort, downward-biased GOB firms earn higher returns than upward-biased GOB firms, which is unexplained...
Persistent link: https://www.econbiz.de/10012849963
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The Boasting Effect : How Interpersonal Utility Affects Stock Prices
Hammerich, Ulrich - 2015
finance nor to traditional economical theories? Inspired by rational choice theory, this paper tries to explore this largely …
Persistent link: https://www.econbiz.de/10013021105
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End-of-the-year economic growth and time-varying expected returns : a reexamination
Hsiao(Xiao), Shisong - 2021
Møller and Rangvid (2015) report that economic growth at the end of the year is a strong predictor of future stock returns for the post-WWII period, whereas economic growth during the rest of the year does not. Revisiting these results with an extended period 1926-2020, we find that this...
Persistent link: https://www.econbiz.de/10013323390
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Economic Growth, Inefficient Markets, and Economic Inequality
Muthusamy, Senthil Kumar - 2023
Economic growth is ardently emphasized as a requisite underpinning not only for improving individual income, the standard of living, and a society's infrastructure, but also to attain equitable distribution of necessities, critical resources, and public goods such as education, healthcare, and...
Persistent link: https://www.econbiz.de/10014344860
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Global liquidity, risk premiums and growth opportunities
De Nicolò, Gianni; Ivaschenko, Iryna V. - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …
Persistent link: https://www.econbiz.de/10003824684
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Global liquidity, risk premiums and growth opportunities
De Nicolò, Gianni; Ivaschenko, Iryna V. - 2009
Persistent link: https://www.econbiz.de/10003870443
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Global Liquidity, Risk Premiums and Growth Opportunities
De Nicoló, Gianni - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liq …
Persistent link: https://www.econbiz.de/10012677727
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Global Liquidity, Risk Premiums and Growth Opportunities
De Nicoló, Gianni - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …
Persistent link: https://www.econbiz.de/10014404263