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Informational Content of Open-to-Close Stock Returns
Open-to-Close Returns Opening Returns Stock Price Reversals
2016/1/27
In the present study, I explore interday correlations between open-to-close and opening stock returns. Employing intraday price data on all the stocks that were S&P 500 Index constituents during the p...
Impact of Earnings Smoothness on Stock Prices, Stock Returns and Future Earnings Changes – the Polish Experience
Earnings smoothness Stock returns Stock valuation Valuation multiples
2016/1/27
Capital markets appreciate stability. It means that companies reporting smooth earnings patterns tend to be priced relatively high. However, the empirical issue is whether such valuation premiums for ...
International Stock Returns and Market Integration: A Regional Perspective
global stock market market integration international variation capital markets
2011/9/12
Studies the evolution of country and industry effects at the level of the global stock market in terms of market integration from a regional perspective. Importance of the country effects in explainin...
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...
The joint distribution of stock returns is not elliptical
joint distribution stock returns elliptical
2010/10/21
Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. W...
Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods
Investigating Stock Returns Temporal Logic Based Methods
2010/10/20
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily co...
The Impact of Credit Risk and Implied Volatility on Stock Returns
Credit Risk Implied Volatility Stock Returns
2010/10/20
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...
Intraday Patterns in the Cross-section of Stock Returns
Intraday Patterns Cross-section Stock Returns
2010/10/20
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at hal...
Nonuniversal distributions of stock returns in an emerging market
stock returns emerging market
2010/4/27
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic...
Nonuniversal distributions of stock returns in an emerging market
Nonuniversal distributions stock returns emerging market
2010/10/19
There is convincing evidence showing that the probability distributions of stock returns in mature markets exhibit power-law tails and both the positive and negative tails conform to the inverse cubic...
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in under-
standing the origin of this behavior. Here, we present a model that explains the shape and scaling of the...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
On Asymmetry，Holiday and Day-of-the-week Effects in Volatility of Daily Stock Returns：The Case of Japan
Asymmetry effect daily stock returns day-of-the-week effect holiday effect Nikkei 225 stock average stochastic variance model U.S. stock price change effect volatility volatility transmission
2009/3/10
In this paper, we investigate volatility in Japanese stock returns, using the state-space model. The daily data of Nikkei 225 stock average from January 4, 1985 to June 10, 2004 are utilized and the s...
Modelling Stock Returns with AR-GARCH Processes
autoregressive process GARCH and EGARCH models conditional heteroscedastic variance financial log returns
2009/2/23
Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have bee...
Portfolio optimization when expected stock returns are determined by exposure to risk
1/n strategy Black–Scholes model expected stock returns Markowitz’ problem portfolio optimization ranks
2010/11/1
It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time.The predo...