Download or read book The Bulls and Bears in the Cross Section of Stock Returns written by Cheekiat Low and published by . This book was released on 1998 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many financial decision-makers seem to regard risk as the variability of returns below some pre-specified target and treat above-target variability as a sweetener. The disutility from losses also appears to be larger than the utility from gains. Using some simple metrics of downside bearishness and upside bullishness constructed from semivariances, this paper tests for the empirical content of this asymmetry. Some of these simple metrics are priced in the U.S. stock market. In particular, exploring a composite metric of asymmetric risk reveals that non-linearity in the covariation of stock returns with bullish and bearish states of the market carries a significant price. Also, market premium for bearishness is larger in magnitude than that for bullishness, lending support to the existence of loss aversion in the aggregate. While small-cap stocks tend to be more bearish than bullish, the asymmetric risk effect is not spuriously driven by the size effect. Finally, some results consistent with an aymmetric-risk-based explanation for the puzzles of return momentum and reversal are presented.
Download or read book The Cross section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Cross Section of Stock Returns written by Stijn Claessens and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several factors besides m ...
Download or read book The Cross Section of Stock Returns Evidence from Emerging Markets written by Susmita Dasgupta and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Cross Section of Stock Returns written by Dasgupta and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Identifying Bull and Bear Markets in Stock Returns written by John M. Maheu and published by . This book was released on 2002 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses a Markov switching model which incorporates duration dependence to capture nonlinear structure in both the conditional mean and variance of stock returns. The model sorts returns into a high return stable state and a low return volatile state. We label these as bull and bear markets respectively. The filter identifies all major stock market downturns in over 160 years of monthly data. We find that both bear and bull markets have declining hazard functions. Despite the declining hazards, the best market gains come at the start of a bull market. Moreover, allowing the conditional mean and volatility to vary with duration captures volatility clustering.
Download or read book Bulls and Bears The Rise and Fall of the Stock Markets at the Turn of the 21st Century written by Beate Gansauge and published by GRIN Verlag. This book was released on 2009-05 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2004 in the subject American Studies - Culture and Applied Geography, grade: 1,0 (A), Dresden Technical University (American Studies), language: English, abstract: This paper aims to collect opinions on the development of the stock markets since the 1990s. People from varying fields and backgrounds have written about the recent situation of the economy. First, there are economists like Yale professor Robert J. Shiller, whose book Irrational Exuberance coincided with the bursting of the bubble in 2000. Then there is political analyst Kevin Phillips who reconstructs and discusses the boom and decline of the markets in a political and historical context in Wealth and Democracy: A Political History of the American Rich, or radical journalist Alexander Cockburn whose articles for publications like The New York Press and The Nation focus on the aspects of corporate fraud and the politics behind the market dilemma. Others, like financial economists Robert E. Hall and Alan Reynolds reject the idea of bubbles and argue that the recent decline of the stock markets is merely part of a normal economy cycle that may be derived from historical context as well as from mathematical equation.
Download or read book The Extreme Bounds of the Cross section of Expected Stock Returns written by J. Benson Durham and published by . This book was released on 2002 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Do Bulls and Bears Move Across Borders written by Wen-Ling Lin and published by . This book was released on 1991 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates empirically how returns and volatilities of stock indices are correlated between Tokyo and New York. Intradaily data are used, so that daytime and overnight returns are defined for both markets. Tokyo daytime hours overlap with New York overnight hours, while New York daytime hours overlap with Tokyo overnight hours. We find that in general Tokyo (Mew York) daytime returns are significantly correlated with New York (Tokyo) overnight returns. This suggests that information revealed during the trading hours of one market has a global impact on the returns of the other market. One exception is that after the October 1987 Crash, the Tokyo overnight returns were not significantly affected by New York daytime returns. We propose and estimate a signal extraction model with GARCH processes to determine the global factor from daytime returns. This is the problem of setting the opening price of a domestic market conditional on the foreign daytime returns. We also investigate lagged return and volatility spillovers. Except for a lagged return spillover from New York to Tokyo for the period after the Crash, there are no significant lagged spillovers in returns or in volatilities.
Download or read book The Cross Section of Common Stock Returns written by Donald B. Keim and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?
Download or read book The Cross Section of Common Stock Returns written by Gabriel A. Hawawini and published by . This book was released on 1997 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Computational Economics written by Leigh Tesfatsion and published by Elsevier. This book was released on 2006-05-15 with total page 905 pages. Available in PDF, EPUB and Kindle. Book excerpt: The explosive growth in computational power over the past several decades offers new tools and opportunities for economists. This handbook volume surveys recent research on Agent-based Computational Economics (ACE), the computational study of economic processes modeled as dynamic systems of interacting agents. Empirical referents for "agents" in ACE models can range from individuals or social groups with learning capabilities to physical world features with no cognitive function. Topics covered include: learning; empirical validation; network economics; social dynamics; financial markets; innovation and technological change; organizations; market design; automated markets and trading agents; political economy; social-ecological systems; computational laboratory development; and general methodological issues. *Every volume contains contributions from leading researchers *Each Handbook presents an accurate, self-contained survey of a particular topic *The series provides comprehensive and accessible surveys
Download or read book Do bulls and bears move across borders international transmission of stock returns and volatility as the world turns written by Wen-Ling Lin and published by . This book was released on 1991 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Cambridge Handbook of Psychology and Economic Behaviour written by Alan Lewis and published by Cambridge University Press. This book was released on 2018-02-15 with total page 808 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has recently been an escalated interest in the interface between psychology and economics. The Cambridge Handbook of Psychology and Economic Behaviour is a valuable reference dedicated to improving our understanding of the economic mind and economic behaviour. Employing empirical methods - including laboratory and field experiments, observations, questionnaires and interviews - the Handbook provides comprehensive coverage of theory and method, financial and consumer behaviour, the environment and biological perspectives. This second edition also includes new chapters on topics such as neuroeconomics, unemployment, debt, behavioural public finance, and cutting-edge work on fuzzy trace theory and robots, cyborgs and consumption. With distinguished contributors from a variety of countries and theoretical backgrounds, the Handbook is an important step forward in the improvement of communications between the disciplines of psychology and economics that will appeal to academic researchers and graduates in economic psychology and behavioral economics.
Download or read book Two Essays on the Cross section of Stock Returns written by James L. Davis and published by . This book was released on 1994 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Another Look at the Cross section of Exptected Stock Returns written by S. P. Kothari and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
