Download or read book Cross autocorrelations in Security Returns and Their Relationships with Seasonal Patterns in Security Returns and Firm specific Forecasting Variables written by Eric James Higgins and published by . This book was released on 1996 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book American Doctoral Dissertations written by and published by . This book was released on 1996 with total page 872 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dissertation Abstracts International written by and published by . This book was released on 1997 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstracts of dissertations available on microfilm or as xerographic reproductions.

Download or read book Two Essays on Time series Patterns in Security Returns written by David Kenji Heike and published by . This book was released on 1997 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cross Autocorrelation of Size Based Portfolio Returns is Not an Artifact of Portfolio Autocorrelation written by Terry Richardson and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Prior studies find evidence of asymmetric size-based portfolio return cross-autocorrelations where lagged large-firm returns lead current small-firm returns. However, Boudoukh, Richardson, and Whitelaw (1994) question whether this economic relationship is independent of the impact of portfolio return autocorrelation. We formally test for this independence using size-based portfolios of New York and American Stock Exchange securities and, separately, portfolios of NASDAQ securities. Results from Granger (1969) causality regressions indicate that, across all markets, lagged large-firm returns predict current small-firm returns, even after controlling for autocorrelation in small-firm returns. These cross-autocorrelation patterns are stronger for NASDAQ securities.

Download or read book The New Palgrave Dictionary of Economics written by and published by Springer. This book was released on 2016-05-18 with total page 7493 pages. Available in PDF, EPUB and Kindle. Book excerpt: The award-winning The New Palgrave Dictionary of Economics, 2nd edition is now available as a dynamic online resource. Consisting of over 1,900 articles written by leading figures in the field including Nobel prize winners, this is the definitive scholarly reference work for a new generation of economists. Regularly updated! This product is a subscription based product.

Download or read book Commonality Information and Return Return Volatility Volume Relationship written by Xiaojun He and published by . This book was released on 2003 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a common-factor model to investigate relationships between security returns/return volatility and trading volume. The model generalizes Tauchen and Pitts' (1983) MDH model by capturing possible interactions among securities. In our model, both price changes and trading volume are governed by three kinds of mutually independent variables: common factor variables, latent information variables and idiosyncratic variables. Despite its similarity to Hasbrouck and Seppi's (2001) model in terms of the form, the model extraordinarily allows us to identify the cause of interactions among securities by decomposing factor loadings into constant and random components. Three key implications are reached from our model. First, common factor structures in returns and trading volume stem from information flows. Second, returns' common factors are not related to trading volume's common factors. This implication directly opposes Hasbrouck and Seppi's (2001) assumption. Finally, cross-firm variations of returns and volume respectively rely on underlying latent information flows. The positive relation between return volatility and volume also results only from underlying latent information flows. Thus, common factor structures in returns and trading volume have no additional explanatory power in cross-firm variations and the positive return volatility-volume relationship. We fit the model for intraday data of Dow Jones 30 stocks using the EM algorithm. The results support specifications of our model. The empirical results demonstrate 3-factor structures in returns and trading volume, respectively. All 30 stocks in our sample are governed by at least one common factor. This fact implies that our model outperforms Tauchen and Pitts' (1983) model because their model is a special case of our model without the presence of common factors. We also show that after controlling the effect of information flows, persistence in return variance disappears.

Download or read book Trading Volume and Cross Autocorrelations in Stock Returns written by Tarun Chordia and published by . This book was released on 1999 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume portfolios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to information is a significant source of the cross-autocorrelation patterns in short-horizon stock returns.

Download or read book The Relationship Between Abnormal Security Returns and Unexpected Changes in Publicly Available Data written by Richard J. Murdock and published by . This book was released on 1977 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Infrequent Rebalancing Return Autocorrelation and Seasonality written by Vincent Bogousslavsky and published by . This book was released on 2017 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: A model of infrequent rebalancing can explain specific predictability patterns in the time-series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday returns and new evidence from daily returns. Autocorrelations can switch sign and become positive at the rebalancing horizon. Second, the cross-sectional variance in expected returns is larger when more traders rebalance. This effect generates seasonality in the cross-section of stock returns, which can help explain available empirical evidence.

Download or read book Handbook of Corporate Finance written by Bjørn Espen Eckbo and published by Elsevier. This book was released on 2007-05-21 with total page 559 pages. Available in PDF, EPUB and Kindle. Book excerpt: Judging by the sheer number of papers reviewed in this Handbook, the empirical analysis of firms’ financing and investment decisions—empirical corporate finance—has become a dominant field in financial economics. The growing interest in everything “corporate is fueled by a healthy combination of fundamental theoretical developments and recent widespread access to large transactional data bases. A less scientific—but nevertheless important—source of inspiration is a growing awareness of the important social implications of corporate behavior and governance. This Handbook takes stock of the main empirical findings to date across an unprecedented spectrum of corporate finance issues, ranging from econometric methodology, to raising capital and capital structure choice, and to managerial incentives and corporate investment behavior. The surveys are written by leading empirical researchers that remain active in their respective areas of interest. With few exceptions, the writing style makes the chapters accessible to industry practitioners. For doctoral students and seasoned academics, the surveys offer dense roadmaps into the empirical research landscape and provide suggestions for future work. *The Handbooks in Finance series offers a broad group of outstanding volumes in various areas of finance *Each individual volume in the series should present an accurate self-contained survey of a sub-field of finance *The series is international in scope with contributions from field leaders the world over

Download or read book Time Varying Factors and Cross Autocorrelations in Short Horizon Stock Returns written by Allaudeen Hameed and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I show that the lead-lag pattern between large and small market value portfolio returns is consistent with differential variations in their expected return components. I find that the larger predictability of returns on the portfolio of small stocks may be due to a higher exposure of these firms to persistent (time-varying) latent factors. Additional evidence suggest that the asymmetric predictability cannot be fully explained by lagged price adjustments to common factor shocks: (i) lagged returns on large stocks do not have strong causal effect on returns on small stocks; (ii) trading volume is positively related to own and cross-autocorrelations in weekly portfolio returns; and (iii) significant cross- autocorrelation exists between current returns on large stocks and lagged returns on small stocks when trading volume is high.

Download or read book Elements of Covariance in Security Returns and Their Macroeconomic Determinants written by Vinay Vasudeo Marathe and published by . This book was released on 1978 with total page 450 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Relationship Between Analyst Coverage and the Distribution of Security Returns written by Stephen MacLean and published by . This book was released on 2010 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: The current study investigates the relationship between analyst coverage and the moments of the return distribution. Results are presented to support a time-varying pattern in the premiums associated with the higher moments of returns, particularly for the fourth moment of the distribution. In addition, evidence is presented to suggest that there exists some ex-post and ex-ante forecasting ability based on the use of the higher moments of the return distribution as stock selection criteria. In the second half of the study, results show that as the number of analysts following a firm increases, the third and fourth moments of the return distribution are impacted, with the former being reduced and the latter increased. In addition, the initiation and discontinuation of analyst coverage are both found to be related to the higher moments of the return distribution. The initiation of analyst coverage is associated with a reduction in skewness and an increase in excess kurtosis, while the discontinuation of coverage results in an increase in both of the higher moments of the distribution. Taken together, the results of the two main questions in the current research study suggest that investors seeking higher distributional moments of returns may favor neglected firms over their followed counterparts, particularly in periods of heightened market volatility. In addition, the results show that the two main competing hypotheses concerning the causes of non-normal security returns, namely firm information structure and security liquidity, both impact the higher moments of the return distribution.

Download or read book Being Surprised by the Unsurprising written by Tom Chang and published by . This book was released on 2019 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present evidence consistent with markets failing to properly price information in seasonal earnings patterns. Firms with historically larger earnings in one quarter of the year (“positive seasonality quarters”) have higher returns when those earnings are usually announced. Analysts have more positive forecast errors in positive seasonality quarters, consistent with the returns being driven by mistaken earnings estimates. We show that investors appear to overweight recent lower earnings following positive seasonality quarters, leading to pessimistic forecasts in the subsequent positive seasonality quarter. The returns are not explained by risk-based explanations, firm-specific information, increased volume, or idiosyncratic volatility.

Download or read book Covariance Risk Mispricing and the Cross Section of Security Returns written by Kent Daniel and published by . This book was released on 2000 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper offers a multisecurity model in which prices reflect both covariance risk and misperceptions of firms' prospects, and in which arbitrageurs trade to profit from mispricing. We derive a pricing relationship in which expected returns are linearly related to both risk and mispricing variables. The model thereby implies a multivariate relation between expected return, beta, and variables that proxy for mispricing of idiosyncratic components of value tends to be arbitraged away but systematic mispricing is not. The theory is consistent with several empirical findings regarding the cross-section of equity returns, including: the observed ability of fundamental/price ratios to forecast aggregate and cross-sectional returns, and of market value but not non-market size measures to forecast returns cross-sectionally; and the ability in some studies of fundamental/price ratios and market value to dominate traditional measures of security risk. The model also offers several untested empirical implications for the cross-section of expected returns and for the relation of volume to subsequent volatility

Download or read book The Effects of Security Analysis on Trading Volume Return Volatility Cross autocorrelations in Trading Volume and Cross correlations Between Trading Volume and Returns written by Chairat Chuwonganant and published by . This book was released on 1999 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: