Cross-section of stock returns
Monetary policy and the cross-section of stock returns: a FAVAR approach
... hundreds of macroeco- nomic and financial time ...more of the available information reduces the risk of misspecification in the statistical model of the ...regressions of stock ...
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Investor sentiment and the cross-section of stock returns in the French stock market
... adoption of this ...subsequent returns when sentiment is high (Baker and Wurgler, 2006). These types of stocks are considered the hardest to value and the most difficult to ...
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Investor Sentiment and the Cross-Section of Stock Returns
... the returns variables. Returns are measured ...log of market ...number of years between the firm’s first appearance on CRSP and ...monthly returns from CRSP for the 12 months ending in ...
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Time-varying inflation risk and stock returns
... School of Man- agement, Tilburg University, University of Auckland, MIT, MIT Sloan School of Management, Duke University’s Fuqua School of Business, Tepper School of Business, Smith ...
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Breadth of Ownership and Stock Returns: Evidence from Portuguese Mutual Funds
... impact of heterogeneous expectations and short sales constraints on the cross- section of stock ...price of a security will be determined by the valuation of the optimists ...
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Stock lending market, short-selling restrictions, and the cross-section of returns
... The stock lending market is most often opaque, the over the counter (OTC) structure gives rise to problems such as search frictions and imperfect ...law of one price is not expected to ...same stock ...
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A look into the cross-section of industry stock returns
... production of a good or a service. Depending on the scope of the analysis, industries can have a narrow range as in railroad operators, trucking services, water transporters, and air couriers, or a broader ...
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The impact of international fiscal and monetary spillovers on Shanghai stock exchange returns
... effects of monetary policy in stock market returns (see (Tarhan, 1995; Thorbecke, 1997; Darrat, 1988; Donal Bredin et ...effects of the fiscal policy on stock market returns [see ...
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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
... complexity of our risk-neutralization procedure relative to a simpler approach based on the physical distribu- tion of ...applications of the tail-risk measure, namely risk management and financial ...
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Nonparametric tail risk, stock returns, and the macroeconomy
... out of the whole universe of available stocks every month for a window of 30 ...robustness of the procedure is evaluated as in section 3.2 with the returns of 10 ...
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Short selling frictions, investor behavior and stock returns
... consists of three empirical essays, the first two investigate how frictions in the stock lending market affect the spot ...in stock loan fees have strong causal impact on stock ...date ...
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FAMA_The Cross-section of expected stock returns
... Table AIV Subperiod Average Returns on the NYSE Value-Weighted and Equal-Weighted Portfolios and Average Values of the Intercepts and Slopes for the FM Cross-Secti[r] ...
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Do “The Best Companies to Work” have higher Stock returns?
... one-third of total assessment is measured by the Culture Audit – Management Questionnaire, which is generally filled out by human resources department and top ...number of employees, voluntary turnover, ...
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Consumption, wealth, stock and government bond returns : international evidence
... piece of evidence corroborates the idea that agents allow consumption to rise above its equilibrium relationship with asset wealth and labour income when they expect government bond yields to increase in the ...
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Estimação do fator estocástico de desconto com um grande cross-section
... Inspirado nos trabalhos de Almeida et al. (2017) e Kozak et al. (2017), o presente estudo também busca sintetizar a informação relevante das estruturas de ativos via análise de componentes prin- cipais (doravante PCA, de ...
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The Effects of Domestic Macroeconomic Determinants on Stock Returns: A Sector Level Analysis
... in stock markets. Therefore, firms take necessary actions according to stock market behavior and macroeconomic ...predictability of stock market determinants becomes ...effects of ...
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INFLATION ANNOUNCEMENTS, FEDERAL RESERVE BIAS AND STOCK RETURNS
... (the stock prices only react to the unexpected component of the announcements) it is important to check the possibility that the reaction is also dependent on Federal Reserve ...meeting of FOMC ...
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Forecasting stock market returns by summing the frequency-decomposed parts
... divergence of the cumulative wealth of the investors under these alternative portfolios that clearly favors the SOPWAV ...rotation of the SOPWAV portfolio, as illustrated in panel A, re ects an ...
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Numerical Analysis of Twin-Roll Casting of Strips With Profiled Cross-Section
... costs of innovative materials with tailored properties such as Tailor Welded Blanks, Patchwork Blanks, Tailor Heat Treated Blanks and Tailor Rolled Blanks are responsible for a growing interest in new ...
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Effect of Macroeconomic Variables on the Ghanaian Stock Market Returns: A Co-integration Analysis
... the stock markets and so over the last decade stocks of some listed companies have been ...the stock market with the objectives of maximizing their return without taken into consideration the ...
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