[PDF] Top 20 The Lisbon stock market from 1903 to 1913 : relationship between returns and macroeconomic variables

... account the hypothesis described in the previous chapter and aiming to test the correlation between the different variables, in this chapter an analysis via T-test ... See full document

... indicators, the USBY and USUR, which are statistically significant at the 1% ...level. The USBY has a positive effect on the Irish stock market returns to ... See full document

... Additionally, the importance of foreign direct investment has increased relative to the international debt ...Moldovan and Medrega (2011) also have argued that as capital markets connections ... See full document

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

... on the firm’s capital market ...on the NYSE, American Stock Exchange (AMEX) and the NASDAQ, for a testing sample period starting in July 1973 and ending on June ...that ... See full document

... that the average portfolio quarterly returns increase with both positive and negative changes in the leverage ...positive relationship and conclude that the CAPM model is ... See full document

... Despite the fact that our results provide new insights into the relation between returns and attention/sentiment especially in the Portuguese market, they should be seen ... See full document

... increases stock returns by 0.54 %. The positive relationship between inflation and stock returns is consistent with Choudhry (2000); Mohammed et ...Nantwi ... See full document

... presents the estimates of equation (3.5.2) using both pooled OLS and fixed effects ...models. The standard errors are presented between parenthesis under each estimated ...5% and *** at ... See full document

... all variables, such as with the unemployment growth and the industrial production growth, whilst the mutual fund flows contain information about all variables in the study ... See full document

... of the empirical study, to be addressed in section ...of the information-response hypothesis, i.e., that mutual fund flows and stock returns are forward-looking in the ... See full document

... on the S&P500 index. We thus evaluate the sensitivity of our results when transaction costs are reduced up to 0 basis ...illustrates the sensitivity of the CER gains (left graph) ... See full document

... 2013), and (Kempf, Mayston, & Yadav, 2011). The first defines resiliency as the mean reversion parameter of a stock’s intraday pricing-error ...process. The second suggests that it can be ... See full document

... examines the relationship between the returns of two value and growth portfolios and the return of market on 15 selected firms on Tehran Stock ... See full document

... identify the firms with similar regime dynamics, ...regime and have a similar probability of ...in the first cluster have a stable dynamics, i.e. they start and remain in the low ... See full document

... 2000 and 2001, 2002 to 2006, 2007 to 2011, and 2012 to ...In the earlier periods, most stocks were majorly uncorrelated, with the distributions all stacked around ... See full document

... on the estimation is, that equation 3 and 4 jointly build a state space ...model. The advantage of a state space representation is that there exist techniques helping to exploit all ... See full document

... shown to be good forecasts of ...as the ratio of shares shorted to the shares outstanding, is the most popular metric of short selling ...days to cover (DTC), defined as SI ... See full document

... is to find determinants affecting the cryptocurrencies ...use the four main cryptocurrencies and their main determinants, according to the literature, using data between ... See full document

... model and variables described before, this work has some advantages over the ...leave the individual approach because “the market value takes into account all of the ... See full document