Download or read book Cross Sectional Analysis of Stock Returns in Athens Stock Exchange for the Period 2004 2011 written by Argyro Svingou and published by . This book was released on 2013 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Cross Sectional Estimation of Stock Returns in Small Markets written by George N. Leledakis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is an investigation into the cross-sectional determinants of stock returns in a small market - the Athens Stock Exchange - where the Fama and French portfolio grouping procedure that is normally used to counter the error in variables problem in estimating beta is problematic due to the small number of stocks. A maximum likelihood technique is applied, similar to that developed by Litzenberger and Ramaswamy (Journal of Financial Economics, 7, 163-95, 1979), which is arguably a better procedure than the portfolio grouping method even for investigating large (developed) markets. A further empirical problem that was addressed was the possibility that the results were being driven by the 'January effect'. The findings for the Athens market suggest that there is only one substantive variable in explaining the cross-sectional variation of market and that is market equity ME (which captures a size effect).

Download or read book The Cross Section of Average Stock Returns of the Athens Stock Exchange written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Cross Section of Expected Stock Returns Revisited written by Jean-Paul Sursock and published by . This book was released on 2000 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Testing the Relation between Price to Earnings Ratio and Stock Returns in the Athens Stock Exchange written by Lambros Stefanis and published by . This book was released on 2014 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Market anomalies have always been an object of research by many scholars and financial professionals. Among others, Basu (1997), Fama and French (1992), Jaffe, et.al. (1989), and Lakonishok, et.al. (1994) documented the existence of P/E effect as market inefficiency, in the US and UK markets at different periods of time. Our research showed that the P/E phenomenon also exists in the Athens Stock Exchange (ASE). In respect to our resulting evidence, the ratio is found to be negatively related to subsequent equity performance. Furthermore, accounting variables such as market value and earnings growth play an important role in the explanation of the cross- sectional variation of stock returns. The size-effect as it appears in literature, is found to hold for firms listed on ASE. The resulting evidence presented industry as being an indicative factor of such accounting variables, as well as, past market returns to be negatively related to subsequent stock performance. We could not verify the existence of P/E effect on firms listed on ASE using the extrapolation model of Lakonishok, et.al. (1994). However, our results are consistent with the overreaction hypothesis of De Bondt and Thaler (1985, 1987) in relation to news announcements.

Download or read book Handbook of Frontier Markets written by Panagiotis Andrikopoulos and published by Academic Press. This book was released on 2016-08-05 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Frontier Markets: Evidence from Asia and International Comparative Studies provides novel insights from academic perspectives about the behavior of investors and prices in several frontier markets. It explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets. Frontier markets have now become a popular investment class among institutional investors internationally, with major financial services providers establishing index-benchmarks for this market-category. The anticipation for frontier markets is optimistic uncertainty, and many people believe that, given their growth rates, these markets will be economic success stories. Irrespective of their degrees of success, The Handbook of Frontier Markets can help ensure that the increasing international investment diverted to them will aid in their greater integration within the global financial system. Presents topics in the contexts of frontier markets and uses tests based on established methodologies from finance research Features contributing authors who are established university academics Emphasizes financial institutions and applications of financial risk models Explores finance issues usually reserved for developed and emerging markets in order to gauge whether these issues are relevant and how they manifest themselves in frontier markets

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 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 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 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 A Cross sectional Analysis of Stock Returns written by Michael Hasler and published by . This book was released on 2012 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Cross Sectional Analysis of Swedish Stock Returns with Time Varying Beta written by Hossein Asgharian and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the ability of beta and other factors, like firm size and book-to-market, to explain cross-sectional variation in average stock returns on the Swedish stock market for the period 1980-1997. We use a bivariate GARCH(1,1) process to estimate time-varying betas for asset returns. The estimated variances of these betas, derived from a Taylor series approximation, are used for correcting errors in variables problem. Our model accounts for problems such as cross-sectional and intertemporal heteroscedasticity. An Extreme Bounds Analysis is utilized for testing the sensitivity of the estimated coefficients to changes in the set of included explanatory variables. Since the tests are carried out on realized returns, which presumably are quite noisy approximations of expected returns; we also analyze if the variables play different roles depending on if it is a Bull or Bear market. Our results show that the coefficient for beta is never significantly different from zero, while variables book to market, size and leverage have significant coefficients. Different sensitivity analyses suggest that the results, to some extent, may be due to cross-correlations between the variables, the characteristics of the extreme periods included in the sample, the average sign of the excess market return during the sample period, and the choice of the estimation and test methods. The findings also show that the estimated conditional beta is a more accurate measure of the true market beta than the beta estimated by OLS.

Download or read book Exploring the Factors that Explain the Cross section Variation of Unexpected Returns in the Athens Stock Exchange written by Evangelos Karanikas and published by . This book was released on 1997 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Intellectual Capital Disclosure and Performance of Consumer Goods Firms written by Rehanet Isa and published by Cambridge Scholars Publishing. This book was released on 2024-01-11 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Business executives and managers are increasingly working in a highly competitive environment, where identifying the main drivers of performance is vital for the survival of firms. Intellectual capital is a crucial matter for firms worldwide, and the disclosure of intellectual capital has been identified as one of the major drivers of performance. This book examines the impact of intellectual capital disclosure on the performance of listed firms which adopt the balanced scorecard approach. The book is a product of research that offers innovative analysis and proves that managers of firms can use the disclosure of intellectual capital to boost performance. It reveals how using the balanced scorecard as a measurement tool for intellectual capital disclosure can drive the performance of firms. Students in postgraduate programmes and academics, as well as business executives and managers, will find this book to be an essential guide to maximizing intellectual capital disclosure to boost performance.

Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.

Download or read book Handbook of Investors Behavior during Financial Crises written by Fotini Economou and published by Academic Press. This book was released on 2017-06-24 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Investors' Behavior during Financial Crises provides fundamental information about investor behavior during turbulent periods, such the 2000 dot com crash and the 2008 global financial crisis. Contributors share the same behavioral finance tools and techniques while analyzing behaviors across a variety of market structures and asset classes. The volume provides novel insights about the influence and effects of regional differences in market design. Its distinctive approach to studies of financial crises is of key importance in our contemporary financial landscape, even more so since the accelerated process of globalization has rendered the outbreak of financial crises internationally more commonplace compared to previous decades. Encompasses empirical, quantitative and regulation-motivated studies Includes information about retail and institutional investor behavior Analyzes optimal financial structures for the development and growth of specific regional economies