Download or read book Beta Book to market Ratio Firm Size and the Cross section of Australian Stock Market Returns written by Kyran Bradley and published by . This book was released on 1999 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Beta Size and Stock Returns written by Thomas W. Downs and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We relate the cross-section of stock returns to firm size, beta, and total risk. We find that as extreme monthly security returns are censored from the data, the significance level decreases rapidly for the size variable and increases for beta and total risk. An analysis of up and down-markets reaffirms our findings. Consequently, average returns relate positively with beta, negatively with total risk, and not at all with firm size. We infer that investors willingly accept a lower average return on high total risk investments as the trade-off for buying a chance at an extreme positive return.

Download or read book Making Sense of Beta Size and Book to Market written by Hersh Shefrin and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We know from empirical studies that stocks of small companies with high book-to-market ratios have provided higher returns than stocks of large companies with low book-to-market ratios. But do senior executives, outside directors and financial analysts believe that? We show that senior executives, outside directors and financial analysts surveyed annually by Fortune magazine rank companies as if they believe that good companies are large companies with low book-to-market ratios. They rank stocks as if they believe the opposite of what empirical research has demonstrated; they rank stocks as if they believe that good stocks are stocks of good companies. We argue that a misperception of the relationship between the quality of a company and the expected rate of return of its stock underlies the superior performance of stocks of small, high book-to-market companies and the weak relationship betweenrealized returns and beta.

Download or read book The Role of Beta and Size in the Cross Section of European Stock Returns written by Steven L. Heston and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the ability of beta and size to explain cross-sectional variation in average returns in twelve European countries. We find that average stock returns are positively related to beta and negatively related to firm size. The beta premium is in part due to the fact that high beta countries outperform low beta countries. Within countries high beta stocks outperform low beta stocks only in January, not in other months. We reject the hypothesis that differences in average returns on size- and beta-sorted portfolios can be explained by market risk and exposure to the excess return of small over large stocks (SMB). Consistent with recent U.S. evidence, we find that after controlling for size, there is no association between average returns and exposure to SMB.

Download or read book Analysis of Financial Statements written by Pamela Peterson Drake and published by John Wiley & Sons. This book was released on 2012-11-06 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fully update Third Edition of the most trusted book on financial statement analysis Recent financial events have taught us to take a more critical look at the financial disclosures provides by companies. In the Third Edition of Analysis of Financial Statements, Pamela Peterson-Drake and Frank Fabozzi once again team up to provide a practical guide to understanding and interpreting financial statements. Written to reflect current market conditions, this reliable resource will help analysts and investors use these disclosures to assess a company's financial health and risks. Throughout Analysis of Financial Statements, Third Edition, the authors demonstrate the nuts and bolts of financial analysis by applying the techniques to actual companies. Along the way, they tackle the changing complexities in the area of financial statement analysis and provide an up-to-date perspective of new acts of legislation and events that have shaped the field. Addresses changes to U.S. and international accounting standards, as well as innovations in the areas of credit risk models and factor models Includes examples, guidance, and an incorporation of information pertaining to recent events in the accounting/analysis community Covers issues of transparency, cash flow, income reporting, and much more Whether evaluating a company's financial information or figuring valuation for M&A's, analyzing financial statements is essential for both professional investors and corporate finance executives. The Third Edition of Analysis of Financial Statements contains valuable insights that can help you excel at this endeavor.

Download or read book Asia Pacific Journal of Finance written by and published by . This book was released on 2000 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Volume Based Portfolio Strategies written by Alexander Brändle and published by Springer Science & Business Media. This book was released on 2010-06-28 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Alexander Brändle investigates the relationship between different measures of trading volume and returns in the Swiss stock market. He discovers that stocks with unusual trading volume in a given month experience systematically higher subsequent returns.

Download or read book The Beta Anomaly in the Australian Stock Market and the Lottery Demand written by Reza Bradrania and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Frazzini and Pedersen (2014) [Betting against beta. Journal of Financial Economics, 111(1), 1-25] report an insignificant performance for the betting against beta (BAB) strategy in the Australian equity market, suggesting that the beta anomaly does not exist in this market. We extend their sample period and find strong evidence for a low-beta effect. The arbitrage portfolio that takes long positions in low-beta stocks and short positions in high-beta stocks generates a significant abnormal return of 5.9% per year. The beta anomaly over 1995-2019 is strong and robust after controlling for risk factors and stock characteristics. Decomposition of the beta anomaly into stock and industry level components shows that the low-beta effect is driven by the firm, and not the industry level beta. We further find that lottery demand explains the low-beta effect. In a series of portfolio and cross-sectional analyses, we show that the abnormal returns related to the beta anomaly become insignificant after controlling for lottery demand. The findings are robust to different proxies for lottery demand, alternative beta estimation and regression analyses. There is no evidence that the beta anomaly can be explained by leverage constraints, coskewness risk or investment and profitability risk factors. We further show that beta anomaly is more pronounced during the upmarket than the downmarket periods and that lottery demand plays a role in its time-variation. The findings have important implications for retail and institutional investors who trade on beta.

Download or read book The Effects of Beta Size and Book to market on UK Stock Returns written by Ajay H. Thadani and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Share Markets and Portfolio Theory written by Ray Ball and published by . This book was released on 1989 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Australian Share Market for Beginners Book Beginners Basic Guide written by Kieran Wilson and published by AP Publishing. This book was released on 2015-11-21 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Australian Share Market for Beginners book is a guide for new investors who want to start trading in the Australian shares. The book aims at creating enough understanding of the stock market to help you make your first trade. In this book you will learn: -What are shares? -What is ASX ? -What is an index ? Think All Ords -How to trade online? -Brokers and brokerage -LIC's and ETF's & more...

Download or read book An Examination of Cross Sectional Realized Stock Returns Using a Varying Risk Beta Model written by Shelly Howton and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using the dual-beta model of Bhardwaj and Brooks (1993), thisstudy examines the cross-section of realized stock returns. Bull-market betas are significantly positively related to returns and, except for some models in January, bear-market betas are significantly negatively related to returns. These relationships are not lost even after other independent variables, including size, book-to-market equity, and an earnings-price ratio, are added to the cross-sectional regressions. Book-to-market equity is an important factor in bear, but not bull, markets. Size is important in January and bear markets during February through December.

Download or read book The Book to market Effect and the Behaviour of Stock Returns in the Australian Equity Market written by Matthew Emeny and published by . This book was released on 1998 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between the returns to a stock, and ratio of book equity to market equity of the firm, are tested for the Australian stock market, and statistically significant evidence is found in support if the :book to market effect". Several tests are performed to determine whether this return premium is the result of additional risk or market inefficiency. No evidence is found to suggest that high book-to-market stocks are associated with additional risk, and only weak evidence is found to suggest that return premium is a result of investor over-reaction. An alternative explanation IS offered, relying on the dynamic behavior of firms and the process by which investors value the stocks of these firms.

Download or read book Beta Yield and Size Factors in Stock Returns written by Blake Randal Grossman and published by . This book was released on 1986 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Look at Beta Size and Book to market in the Cross section of Returns written by Bruce E. Mieth and published by . This book was released on 2000 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Relationship Between Beta Size Book to Market Equity Idiosyncratic Risk and Security Returns written by Mirela Szemes and published by . This book was released on 2002 with total page 366 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Aggregate Volatility Risk and the Cross Section of Stock Returns written by Van Anh (Vivian) Mai and published by . This book was released on 2015 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the relation between aggregate volatility risk and the cross-section of stock returns in Australia. We use a stock's sensitivity to innovations in the ASX200 implied volatility (VIX) as a proxy for aggregate volatility risk. Consistent with theoretical predictions, aggregate volatility risk is negatively related to the cross-section of stock returns only when market volatility is rising. The asymmetric volatility effect is persistent throughout the sample period and is robust after controlling for size, book-to-market, momentum, and liquidity issues. There is some evidence that aggregate volatility risk is a priced factor, especially in months with increasing market volatility.