Market returns
The oil price shocks impact on stock market returns in developed oil-exporting and oil-importing countries
... stock market returns for Canada (TSX/S&P500) while NORWAYRETURNS – for Norway (OSEAX), OMXCRETURNS – for Denmark (OMXC20), USRETURNS – for United States (S&P500), NIKKEIRETURNS – for Japan ...
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Drivers of the piigs' stock market returns : a macroeconomic approach
... 49 5% level. The global factor USBY exerts a positive effect on the stock returns, as opposed to theoretical anticipations. On the other hand, the local factor BS is negatively-related to the Athex Composite, as ...
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Forecasting stock market returns by summing the frequency-decomposed parts
... stock market return into three components, which are rst forecasted separately and then added in order to obtain the forecast of the stock market ...stock market returns ...stock ...
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Effect of Macroeconomic Variables on the Ghanaian Stock Market Returns: A Co-integration Analysis
... stock market returns using monthly data over period January 1992 to December, ...stock returns in Ghana indicating long run equilibrium ...stock returns, with and an elasticity of ...stock ...
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Business Cycles and Stock Market Returns Predictability Evidence from Continental Europe
... iii. Our third economic indicator captures house-price developments; we use the house price indices provided by Oxford Economics and available on DataStream to calculate the yearly log difference in house prices within ...
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The Structure of International Stock Market Returns
... observed returns but from their empirical properties such as mean, standard deviation, skewness, kurtosis, linear and nonlinear dependence, and ...stock returns or market index returns with ...
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Stock market returns and football match results
... Securities Market Comission (CMVM), the entity that supervises the market activity in Portugal, asked Benfica SAD about the increase in value the last three ...stock market, something very unusual ...
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Does sentiment matter for stock market returns? evidence from a small European market
... It is interesting to note that the impact of sentiment on future returns declines for forecast horizon of 12 months. This result may have statistical and economic explications. On the one hand, the existence of ...
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Returns and Betas
... in market capitalization that are liquid in their market of ...the market is currently assessing a systematic risk greater than that of the market (as the betas are greater than ...
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Inflation and Stock Returns at B3
... real returns of Ibovespa as dependent variable and, as explanatory variables, the median of CPI inflation forecasts and industrial production growth forecasts for the next 12 ...between market ...
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STOXX50 Moving Average Monthly Returns
... weekly returns were ...weekly market returns were annualized to compute the market risk premium, as was explained ...stock returns on the market return, the asset specific ...
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Testing for tail breaks in currency returns
... Unusual large movements in economic and financial time series seem to occur more often than expected by normality, and since in practice the exact distribution is unknown, accurate insights on the tail behavior of the ...
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Reputation and stock abnormal returns
... expected returns as an inverse function of systematic risk, thus, since a greater reputation implies a decrease over the systematic risk exhibition, we expect to verify if shareholders who invest in highly ...
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Economic variables today, returns tomorrow
... multivariate prediction model (MSEFM) and the benchmark model (MSEB), MSEFM/MSEB. The method used was the subset regressions approach, which is computed as an equally weighted average of forecasts taking into ...
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Scaling returns : a constant volatility strategy
... cumulative returns from the past 1, 6, 11 and 12 months from industry ...raw returns, while MOM 1 Scaled uses MOM 1 Raw, the target volatility of 4% and the sum of daily squared returns to compute ...
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Finding simple strategies for high returns
... Accelerating value portfolios should provide us with some insight on whether each stock price trend is increasing or not. In another words, by truly identifying the price trend, one should be able to choose which stocks ...
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Volatility derivatives: expected option returns
... stock returns, it can offer a significant relation between volatility spreads and the cross-section of expected ...stock returns, the results obtained on it match with the ones obtained on the articles ...
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Evidence of portuguese stock market abnormal returns
... Stock market overreaction allows some degree of predictability, but as in long term stock prices will tend to their fundamental value, the abnormal stock return will exhibit reversal and winners will become losers ...
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Returns to schooling in a dynamic model
... The returns from the third to the seventh decile are roughly equal but lower than those estimated for the second and the eighth decile, which are roughly equal and, in turn, lower than the roughly equal ...
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Patriotic name bias and stock returns
... On a different, but related to our paper, research front, finance scholars have also examined the effect of a company’s name on investor behavior and firm value. Most of the focus in the related literature has been on ...
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