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Fundamentals, misvaluation, and investment : the real story
Chirinko, Robert S.; Schaller, Huntley - 2006
Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We … introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama … misvaluation into standard investment equations to estimate the quantitative effect of misvaluation on investment. Overall, the …
Persistent link: https://www.econbiz.de/10009736657
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent … with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully … accounts for aggregate investment's predictive power for future stock market returns. Similarly, conditional equity premium is …
Persistent link: https://www.econbiz.de/10012960222
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Conditional Equity Premium and Aggregate Investment : Is the Stock Market a Sideshow?
Guo, Hui - 2017
We document a strong relation between aggregate corporate investment and direct stock market risk measures. Consistent … with the investment-based asset pricing model, the comovement with the proxies for conditional equity premium fully … accounts for aggregate investment's predictive power for future stock market returns. Similarly, conditional equity premium is …
Persistent link: https://www.econbiz.de/10012968442
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An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market
Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...
Persistent link: https://www.econbiz.de/10011843494
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Financial Intermediation, Investment Dynamics and Business Cycle Fluctuations
Ajello, Andrea - 2015
firms' investment is funded using financial markets. I then construct a dynamic equilibrium model that matches these … of financial assets, directing funds towards investment opportunities, and charge an intermediation spread to cover their … investment volatility …
Persistent link: https://www.econbiz.de/10013038047
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Board governance on dividend initiation by initial public offerings : evidence from the Malaysian Stock Market
Dwaikat, Nizar; Queiri, Abdelbaset; Qubbaj, Ihab Sameer - In: Cogent economics & finance 8 (2020) 1, pp. 1-22
Within the realm of corporate finance, IPO (refers to the process of offering shares of corporation to the public for the first time) companies in Malaysia received little attention from the academic scholarly works. An important area of inquiry for IPO companies is to investigate the board...
Persistent link: https://www.econbiz.de/10012219701
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Systematic Risk Determinants of Stock Returns after Financial Crisis : Evidence from United Kingdom
Trinh (Rainy), Dr Vu Quang - 2018
This paper provides an empirical analysis of FTSE100 stock returns during the period of 2009 to 2013 with an aim to assess the relevancy of Fama-French three factor model post financial crisis of 2008. FTSE100 index was chosen in particular as it is benchmark of the prosperity among UK stocks....
Persistent link: https://www.econbiz.de/10012925596
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Market Volatility and IPO Filing Activity
Busaba, Walid Y. - 2016
The IPO filing volume is positively related to changes in market volatility, especially when market returns are at ‘normal' levels. This is consistent with the view that filing with the SEC gives would-be issuers an ‘option' on market valuations. Creating this option is attractive not only...
Persistent link: https://www.econbiz.de/10012977969
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Flow-Through Capability in the US Stock Market
Cano, Carlos - 2015
In this paper, we estimate a measure of the flow-through capability of firms listed on the US stock exchange at the sector level. Flow-through capability is defined as a firm's ability to transmit inflation shocks to the prices of its products and services. Thus, we first estimate the...
Persistent link: https://www.econbiz.de/10013026344
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The Global Financial Crisis and Equity Markets in Middle East Oil Exporting Countries
Onour, Ibrahim - 2017
This paper employs extreme downside risk measures to estimate the impact of the global financial crisis in 2008/2009 on equity markets in major oil producing Middle East countries. The results in the paper indicate the spillover effect of the global crisis varied from a country to another, but...
Persistent link: https://www.econbiz.de/10012946109