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Does joining the S&P 500 index hurt firms?

Bennett, Benjamin; Stulz, René M.; Wang, Zexi - 2020

We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become negative. Inclusion worsens stock price informativeness and...

Persistent link: https://www.econbiz.de/10012263191

The Modified Dividend-Price Ratio

Polimenis, Vassilis - 2019

We show that log-dividends (d) and log-prices (p) are cointegrated, but, instead of de facto assuming the stationarity of the classical log dividend–price ratio, we allow the data to reveal the cointegration vector between d and p. We define the modified dividend–price ratio (mdp), as the...

Persistent link: https://www.econbiz.de/10012905483

Impact of Investors’ Sentiments on Selected Sectoral Indices Return Volatility : Special Reference to NSE

Sharma, Dr. Pooja Chaturvedi - 2021

The study attempts to assess the influence of investor sentiment onselected sectoral indices returns volatility in the Indian stock market over theperiod from 2015-2019. GARCH, EGARCH, and Bivariate VAR models wereapplied for data analysis after checking unit root issue of the data. Nine...

Persistent link: https://www.econbiz.de/10014351806

The Effect of Investor Attention on the Pricing of Seasoned Equity Offerings

Pinto-Gutierrez, Cristian A. - 2015

I examine the role of investor attention on seasoned equity offerings' (SEOs) outcomes. I use an archive of Thomson Reuters' news articles and third-party newswires to proxy for investor attention. I find that the volumes of news articles prior to the offerings are positively associated with the...

Persistent link: https://www.econbiz.de/10013028714

Information Acquisition Experience, Investor Sophistication, and IPO Price Pressure

Köchling, Gerrit; Posch, Peter N.; Schmidtke, Philipp - 2021

We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...

Persistent link: https://www.econbiz.de/10013236779

Forecasting, valuation and portfolio returns of stock market evolution: problems, paradoxes and efficient information : worldwide implications and Romanian evidence

Turcaş, Florin; Dumiter, Florin Cornel; Brezeanu, Petre; … - In: Journal of business economics and management 21 (2020) 1, pp. 87-114

The purpose of this paper is to make a quantitative and qualitative critical analyse regarding the three important aspects of stock market evolution. First, the forecasting problems are presented and analyse in order to establish the main problems and the potential solutions. Second, the...

Persistent link: https://www.econbiz.de/10012176187

Extreme value theory : an application to the Peruvian stock market returns

Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Persistent link: https://www.econbiz.de/10011689643

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …

Persistent link: https://www.econbiz.de/10010399734

Piecewise continuous cumulative prospect theory and behavioral financial engineering

Gürtler, Marc; Stolpe, Julia - 2011 - Last revised: February 01, 2012

We extend the continuous Cumulative Prospect Theory (CPT) by considering piecewise con-tinuous distributions with a … Theory (PT), CPT, and expected utility theory to a set of different real-life certificates with piecewise continuous and … discrete distributions in order to analyze whether there are any significant differences between the theories, and which theory …

Persistent link: https://www.econbiz.de/10009487573

Chapter 5. Behavioral Corporate Finance: An Updated Survey

Baker, Malcolm; Wurgler, Jeffrey - 2013

We survey the theory and evidence of behavioral corporate finance, which generally takes one of two approaches. The … on their decisions. We review relevant psychology, economic theory and predictions, empirical challenges, empirical …

Persistent link: https://www.econbiz.de/10014025559