[PDF] Top 20 Drivers of the piigs' stock market returns : a macroeconomic approach

... level of savings rate has been less divergent when compared to the aggregate euro area, albeit the strong economic performance of these two countries, in the period running up to ... See full document

... Measuring the real effects of monetary policy is a central issue in ...important macroeconomic variables such as inflation, unemployment, aggregate investment and GDP growth is essential to make good ... See full document

... on the importance of company fundamental drivers as predictors of future abnormal ...tested the EMH by examining if price/earnings ratio (P/E) could be used as an indicator of ... See full document

... explains the negative relationship with the portfolio selection ...in the expected rate of inflation causes portfolio substitution from money to stock returns, reducing ... See full document

... DR approach can lower risk, while maintaining or improving the level of expected return offered by mean- variance ...Comparing the EF produced with both theories, he concludes that PMPT ... See full document

... investigated the relationships between New Zealand stock market index and a set of seven macroeconomic variables from January 1990 to January 2003 using co-integration and Granger ... See full document

... that the mutual information and the global correlation coefficient seem to have some advantages relatively to the linear approach, since they have the ability to capture the ... See full document

... circumvent the problems related to the availability of options prices, we propose to calculate the RND via nonparametric ...set of basis assets. This insightful approach has been ... See full document

... first of all it is worth emphasising that the fact that the dynamic relationship between abnormal retail investor attention and abnormal stock returns, does not hold for all the ... See full document

... on the fundamental perspective (Models 1 and 2) and four regression models were estimated on the risk-factor approach (Models 3, 4, 5 and ...that the current B/M is an overlapping variable ... See full document

... investigate the common pattern of a broad range of developed markets and emerging markets using a sta- tistical factor analysis ...to the complexity of multivariate parametric models, ... See full document

... to the stock markets and so over the last decade stocks of some listed companies have been ...than the other financial instruments but there are also risks associated with these ...in ... See full document

... set of more recent ...traditional approach (a bootstrap procedure) and conclude that calendar effects no longer remain statistically ...this market anomaly is recently becoming weaker, particularly ... See full document

... alternative approach built on the ARCH (Autoregressive Conditional Heteroskedasticity) type models to capture persistence in time ...particular, the GARCH (General ARCH) process introduced by ... See full document

... in stock markets. Therefore, firms take necessary actions according to stock market behavior and macroeconomic ...Therefore, the predictability of stock market ... See full document

... probability of occurrence of violent market ...signicant market movements, far from being discardable as mere outliers, focus the attention of market participants since ... See full document

... whether the revaluation ef- fect could be split between firm specific characteristics and the common shock to the whole equity ...market. The common shock is the risk sharing ... See full document

... by the German business periodical Manager Magazin, published in a two-year cycle between 1992 and ...as the one from Sánchez and Sotorrío (2007), considered the Spanish Monitor of Corporate ... See full document

... higher returns because these strategies may exploit the suboptimal behavior of the typical investor and not because these strategies would be fundamentally ...studied the relative risk ... See full document

... estimate the decision rules for public and private ...models. The first is stationary and has finite state space. The second model is non ...stationary. The non stationary model allows some ... See full document