[PDF] Top 20 Size anomalies in EU bank stock returns
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Size anomalies in EU bank stock returns
... both. In that scenario, bank runs related to the securitized banking strongly impacts commercial banking leading to runs on commercial banks as ...or bank runs, a traditional-banking run which is ... See full document
46
Investor Sentiment and the Cross-Section of Stock Returns
... the returns variables. Returns are measured ...the size, age, and risk characteristics. Size is the log of market ...CRSP in the June prior to ...deviation in monthly ... See full document
36
Stock returns and the volatility of liquidity
... 2005. Returns, volume, prices, dividends, and shares out- standing are from CRSP and book values are from ...included in the sample for a given month, a stock had to satisfy the following filters as ... See full document
58
The Structure of International Stock Market Returns
... asset returns can be divided into three types (Con- nor, 1995): macroeconomic, fundamental, and statistical factor ...GDP, in- ‡ation, interest rate and unemployment rate as measures of pervasive factors ... See full document
21
Nonparametric tail risk, stock returns, and the macroeconomy
... as in section 3.2 with the returns of 10 portfolios sorted according to the tail risk hedging capacity and the resulting high minus low ...portfolio returns over the 1926-2014 period with our ... See full document
62
Short-term stock returns following rating agencies announcements in large European firms
... affected. In that sense, I also decided to separate my sample between the financial and non-financial ...sample size, I will consider the time division between financial and non-financial crisis ... See full document
43
A look into the cross-section of industry stock returns
... engaged in the production of a good or a ...as in railroad operators, trucking services, water transporters, and air couriers, or a broader span that aggregates the former industries into a single ... See full document
26
Drivers of the piigs' stock market returns : a macroeconomic approach
... countries, in the period running up to the crisis, has been mostly based on unsustainable drivers: an over-reliance on the construction sector triggered by low real interest rates and leading to a rapid credit ... See full document
71
Consumption, wealth, stock and government bond returns : international evidence
... bias in the coefficients associated with cay and cday in the forecasting regressions of stock returns and government bond ...regressors in the forecasting equations – are autocorrelated ... See full document
30
Time-varying inflation risk and stock returns
... Reserve Bank of New ...Chair in Asset Management, an initiative of Amundi and the University Paris-Dauphine, under the aegis of the Dauphine ...expressed in this paper are those of the author and do ... See full document
53
Are African Stock Markets Inefficient? New Evidence on Seasonal Anomalies
... present in the Ghanaian market. In another study, Alagidede (2013) analyzed markets of Egypt, Kenya, Morocco, Nigeria, South Africa, Tunisia and Zimbabwe in different sample periods ending in ... See full document
19
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
... predicts returns for other catego- ries of assets such as bonds, hedge funds, or mutual ...future returns? The question is also present in the discussion by Jacobs and Dobrev and ...included ... See full document
9
APPLICATION OF ADAPTIVE NEURO-FUZZY INFERENCE SYSTEM IN INTEREST RATES EFFECTS ON STOCK RETURNS
... Stock returns sensitivity to interest rates was theoretically advocated by Merton [1973], Long [1974] and Stone ...changes in the investment opportunity ...invest in risky debt securities may ... See full document
12
The effect of acquisition annoucements on stock returns of acquiring firms
... sample size and including more countries could be a potential way to overcome this ...studies in this work are developed on the assumption that the market response to acquisition announcements is unbiased, ... See full document
63
Investor sentiment and the cross-section of stock returns in the French stock market
... portfolio returns on the market risk premium (RMRF) and the market risk premium interacted with SENTIMENT, measured by ISI┴ and ...as: size (ME), total risk (σ), profitability (E), dividend policy (D), ... See full document
90
Inflation and Stock Returns at B3
... Central Bank of Brazil). The system was created in 1999 to support the implementation of the inflation targeting regime, established in the same ...central bank ranks institutions by the accu- ... See full document
24
Reputation and stock abnormal returns
... published in a two-year cycle between 1992 and ...overall size and international presence, and (6) ...were in turn reduced to other second-level ... See full document
58
Forecasting stock market returns by summing the frequency-decomposed parts
... forecasting stock market returns. Conceptually, the SOP method consists in decomposing the stock market return into three components, which are rst forecasted separately and then added ... See full document
35
The Relation between mutual fund flows, stock returns and macroeconomic variables in Portugal
... concurrent stock returns and first differences of predictive variables, the results were consistent with his theoretical ...framework. Stock market returns explains about ...increase in ... See full document
56
Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
... attention in Finance, which bases on an alternative approach built on the ARCH (Autoregressive Conditional Heteroskedasticity) type models to capture persistence in time ...series. In particular, the ... See full document
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