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How Are Large Institutions Different from Other Investors? Why Do These Differences Matter?

Gompers, P.A.; Metrick, A. - Harvard Institute of Economic Research (HIER), … - 1998

In this paper, we analyze how large institutions differ from other investors and the implications that these differences have for stock returns, market liquidity, and corporate governance. We find that large institutional investors -- a category including all managers with greater than $100...

Persistent link: https://www.econbiz.de/10005245600

Stocks and shocks

Scholtens, Bert; Steensma, Marélie - In: Banca Nazionale del Lavoro Quarterly Review 55 (2002) 223, pp. 347-361

How do stock markets respond to extreme events? This paper analyzes the reaction ofstock markets in four industrialized economies (Italy, the Netherlands, Sweden, the US) to ten major international crises. We employ an event study to investigate whether the stock exchanges react differently with...

Persistent link: https://www.econbiz.de/10010752554

Volatility spillovers and the role of leading financial centres

Cifarelli, Giulio; Paladino, Giovanna - In: Banca Nazionale del Lavoro Quarterly Review 54 (2001) 216, pp. 37-71

This paper investigates volatility spillovers between eleven equity markets located in Europe, Asia, Latin America and the US from July 1992 to July 1999. The absolute value of stock returns is adopted as volatility index. The VAR methodology--duly adjusted in order to account for differences in...

Persistent link: https://www.econbiz.de/10010753923

Evaluating the Peformance of Symmetric Price Limits: Evidence from the Egyptian Stock Exchange

Tooma, Eskandar A. - In: The African Finance Journal 7 (2005) 2, pp. 18-41

This nonparametric event study questions the current symmetric price limit mechanism imposed on the Egyptian Stock Exchange. Price limits are usually instituted to control the volatility of daily stock price movements through establishing price constraints and providing time for rational...

Persistent link: https://www.econbiz.de/10008503526

How Informative are Financial Asset Prices in Spain?

Alonso, Francisco; Ayuso, Juan; Pagés, Jorge Martínez - Banco de España - 1997

This paper analyses the informational content of financial prices in Spain, mainly from the viewpoint of a central bank. In particular, we examine the informational content of domestic yields and yield spreads, foreign-domestic spreads, credit quality spreads, stock prices and exchange rates on...

Persistent link: https://www.econbiz.de/10005088325

Variance Decomposition of Stock Returns and Dividend Imputation System

Wu, P.X. - Department of Economics, Faculty of Business and Economics - 1998

The relative contribution to stock price volatility of news in expected future dividends and in expected future returns in Australia is studied. The effect of the dividend imputation tax system on such contribution is investigated. It is found that news in expected future returns contributes...

Persistent link: https://www.econbiz.de/10005178481

A Model for Stock Return Distribution.

Linden, M. - Politiikan ja Talouden Tutkimuksen Laitos, … - 2000

interpretation of the risk involved with the stock share. Maximum likelihood estimates for returns of the twenty most traded shares …

Persistent link: https://www.econbiz.de/10005035746

Analysis of UAE Bank Stocks

Rao, Ananth - EconWPA - 2003

Listing of stocks on the stock exchange offers business firms several advantages such as diversification, liquidity …, establishing a value for the firm etc. The present paper analyses stocks of six commercial banks (viz., Dubai Commercial Bank … and riskiness. Capital Asset Pricing Model (CAPM) a market equilibrium model is applied to these seven bank’s stocks. The …

Persistent link: https://www.econbiz.de/10005413135

Asymmetric Conditional Volatility and Firm Size: Evidence from Australian Equity Portfolios

Henry, O.; Sharma, J. - Department of Economics, Faculty of Business and Economics - 1998

This paper examines the relationship betwen firm size and equity volatility for two portfolios of Australian equities. Univariate and multivariate asymmetric GARCH models are used to demonstrate that conditional volatility is related to firm size. There is strong evidence to suggest that the...

Persistent link: https://www.econbiz.de/10005587717

The role of demographic variables in explaining financial returns in Italy

Brunetti, Marianna; Torricelli, Costanza - Dipartimento di Economia "Marco Biagi", Università … - 2007

-series regressions are run, in which real returns on different financial assets (stocks, long- and short-term government bonds) are used …

Persistent link: https://www.econbiz.de/10005636196