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On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
ultrametricity minimum spanning tree liquidity Jakarta Stock Exchange
2015/7/31
We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ˉnancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transfo...
Economists are as perplexed as anyone by the behavior of the stock market. Figure 1 shows a broad measure of stock-market value in relation to GDP from 1947 through 2000. In addition to saw-tooth move...
The value of a firm’s securities measures the value of the firm’s productive assets. If the assets include only capital goods and not a permanent monopoly franchise, the value of the securities measur...
The Impact of Shareholder Activism on Financial Reporting and Compensation:The Case of Employee Stock Options Expensing
Shareholder Activism Shareholder Votes Stock Option Expensing Executive Compensation
2015/5/13
We examine the economic consequences of more than 150 shareholder proposals to expense employee stock options (ESO) submitted during the proxy seasons of 2003 and 2004, the first case in which the SEC...
Fractal Profit Landscape of the Stock Market
Fractal Profit Landscape Stock Market Statistical Finance
2012/6/2
We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two...
Building portfolios of stocks in the Sao Paulo Stock Exchange using Random Matrix Theory
Building portfolios stocks the Sao Paulo Stock Exchange Random Matrix Theory
2012/3/2
Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the co...
Can a stock market listing help to improve the operational performance of China's banks?
China's banking sector initial public offerings operational performance
2011/9/27
This study attempts to empirically examine the impact of initial public offerings on China's banking sector. The period considered covers the years 1996-2004. The fixed effects and random effects mode...
The Birth of Joint-Stock Banking: England and New England Compared
banking systems England New England extensive branch networks the domestic market
2011/9/24
By the end of the nineteenth century, the banking systems of England and New England were very different. England possessed a small number of large-scale clearing banks that had established extensive ...
The Effects of Credit Ratings on Stock Returns in China
Domestic credit-rating agencies decisions of investors credit ratings rating outlooks
2011/9/2
Domestic credit-rating agencies in China have been criticized for having no effect on the decisions of investors. We examine whether credit ratings and rating outlooks of the listed companies that are...
What Explains the Stock Market's Reaction to Federal Reserve Policy?
monetary policy equity prices stock market economic sources
2011/8/21
This paper analyzes the impact of changes in monetary policy on equity prices, with the objectives of both measuring the average reaction of the stock market and understanding the economic sources of ...
Effects of shifts in monetary policy on hospitality stock performance
hospitality stocks monetary policy Hong Kong discount rate
2011/8/21
This study investigates the effects of changes in monetary policy on the stock performance of hospitality firms (airlines, hotels, restaurants and tourism firms) in Hong Kong. Changes in the monetary ...
Maximum entropy distribution of stock price fluctuations
Maximum entropy distribution stock price fluctuations
2011/7/4
The principle of absence of arbitrage opportunities allows obtaining the distribution of
stock price fluctuations by maximizing its information entropy. This leads to a physical
description of the u...
Non - Randomness Stock Market Price Model (Amended)
Market Price Model Non - Randomness Stock
2011/7/22
Abstract: A new model for the stock market price analysis is proposed. It is suggested to look at price as an everywhere discontinuous function of time of bounded variation.
Selling a stock at the ultimate maximum
Geometric Brownian motion optimal prediction optimal stopping ultimate maximum parabolic free-boundary problem smooth fit
2010/11/2
Assuming that the stock price Z = (Zt)0≤t≤T follows a geometric Brownian motion with drift μ 2 R and volatility > 0, and letting Mt = max0≤s≤t Zs for t 2 [0,T].
Empirical evidence is given for a significant difference in the collective trend of the share prices during the stock index rising and falling periods. Data on the Dow Jones Industrial Average and its...