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The Dividend Premium in the CEE Stock Market
Konieczka, Przemyslaw - 2016
We investigate cross-sectional patterns related to dividends in the CEE stock market. We investigate a broad sample of … apply tests of monotonic relation. The principal findings are as follows. The high dividend stocks perform markedly better … supplemented with the evidence of monotonic relation: the higher dividend yields, the higher mean returns. However, the abnormal …
Persistent link: https://www.econbiz.de/10013005682
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Dividends, Momentum and Macroeconomic Variables as Determinants of the U.S. Equity Premium Across Economic Regimes
Malliaris, A. (Tassos) G. - 2011
The equity premium of the S&P 500 Index is explained in this paper by several variables that can be grouped into fundamental, behavioral and macroeconomic factors. We hypothesize that the statistical significance of these variables changes across economic regimes. The three regimes we consider...
Persistent link: https://www.econbiz.de/10013128024
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New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets
Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023
Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...
Persistent link: https://www.econbiz.de/10014254878
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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US
Bohl, Martin T.; Siklos, Pierre L. - 2001
A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are driven by fundamentals or by non-fundamental factors. In this paper we put forward the hypothesis that a present value model with time-varying expected returns provides an...
Persistent link: https://www.econbiz.de/10010503717
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Influence of Leverage Premium and Dividend Premium on Sectored Returns of Non-Financial Sectors
Bashir, Usman - 2013
(inflation, interest rate, money growth rate and foreign exchange rate) and industry specific variables (dividend yield and debt … of 20 sectors of KSE 100 for the period of 01/2002 to 12/2009. Addition of industry specific variables (dividend premium …
Persistent link: https://www.econbiz.de/10013082581
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How news affects sectoral stock prices through earnings expectations and risk premia
Hvid, Anna Kirstine; Kristiansen, Kristian Loft - 2020
into components of expected future earnings and equity risk premia. Then, we evaluate how these react to general and sector … sector are mainly driven by changes in equity risk premia, while changes in earnings expectations play a comparatively larger …
Persistent link: https://www.econbiz.de/10012316963
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A year of rising dangerously? : the U.S. stock market performance in the aftermath of the presidential election
Blanchard, Olivier; Collins, Christopher G.; … - In: Journal of policy modeling : JPMOD ; a social science … 40 (2018) 3, pp. 489-502
Persistent link: https://www.econbiz.de/10011966075
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The 2008 Short Sale Ban : Liquidity, Dispersion of Opinion, and the Cross-Section of Returns of U.S. Financial Stocks
Autore, Don M. - 2012
This study examines the cross-sectional impact of the 2008 short sale ban on the returns of U.S. financial stocks. Motivated by the large cross-sectional variation in the extent to which banned stocks suffer an illiquidity shock, we hypothesize that stocks with larger liquidity declines are...
Persistent link: https://www.econbiz.de/10013116972
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No Size Anomalies in U.S. Bank Stock Returns
Goyal, Amit - 2017
Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government...
Persistent link: https://www.econbiz.de/10012973405
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Market Volatility and Stock Returns : The Role of Liquidity Providers
Chung, Kee H. - 2018
This study shows that market volatility affects stock returns both directly and indirectly through its impact on liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk premiums but also greater illiquidity premiums that are...
Persistent link: https://www.econbiz.de/10012934316