[PDF] Top 20 Stock lending market, short-selling restrictions, and the cross-section of returns
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Stock lending market, short-selling restrictions, and the cross-section of returns
... However the evidence that the FF factor-portfolios sometimes load heavily on presumably unpriced industry factors, while suggestive, does not establish that these portfolios are ...in Section 3.4, we ... See full document
103
Measuring the impact of short and lending practices using the DGTW benchmarks
... directly the holdings of a mutual fund has some advantages: i) it allows the development of benchmarks that better captures the investment styles of the managers; ii) ... See full document
27
Monetary policy and the cross-section of stock returns: a FAVAR approach
... shocks and estimate their effects on stock ...exploit the information contained in hundreds of macroeco- nomic and financial time ...If the Federal Reserve and ... See full document
22
The impact of idiosyncratic and systematic short-selling on return predictability
... with short interest of at least ...while the corresponding abnormal return for firms with short interest of at least 10% is negative 113 basis points per month, concluding that high ... See full document
26
Drivers of the piigs' stock market returns : a macroeconomic approach
... Ireland and Spain 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 ... See full document
71
Nonparametric tail risk, stock returns, and the macroeconomy
... compute the five principal components out of the whole universe of available stocks every month for a window of 30 ...days. The robustness of the procedure is ... See full document
62
Forecasting stock market returns by summing the frequency-decomposed parts
... shows the log cumulative wealth for an investor with the HM portfolio (black dashed line) and with the SOPWAV portfolio when the equity weights are constrained to lie between ...-0.5 ... See full document
35
A look into the cross-section of industry stock returns
... B and Panel C of Table 1 show time-series regression estimates of the CAPM and Fama-French three-factor model (FF), respectively, including slopes and intercepts, their ... See full document
26
The short-selling skill of institutions and individuals
... a market with momentum stocks, a short-seller that follows short-term momentum strategies is likely to ...makes the in-sample result that P S-short-sellers follow short-term ... See full document
57
The Structure of International Stock Market Returns
... Examining the factor analysis solution, using data for the period 2000-2004, we found that the method retained 3 factors with eigenval- ues greater than ...1. The three factors retained ... See full document
21
Investor Sentiment and the Cross-Section of Stock Returns
... summarizes the returns variables. Returns are measured ...as the cumulative return for the 11-month period between 12 and 2 months prior to ...summarizes the size, age, ... See full document
36
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 ...market. The last one uses ... See full document
134
Investor sentiment and the cross-section of stock returns in the French stock market
... justifies the adoption of this ...growth and distressed stocks tend to have low subsequent returns when sentiment is high (Baker and Wurgler, ...types of stocks are considered ... See full document
90
Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
... by the Hurst exponent – H (Beran, 1994), who was the first author to document this property in ...by the desire to understand the persistence of the steam flow and ... See full document
7
Buybacks: short-term effect and future implications for the United States stock market
... under the radar, not only due to exponentially increasing volumes, but also, due to some market sentiment that these may have been used as earnings manipulation and as a way of managers ... See full document
29
Reputation and stock abnormal returns
... Roberts and Dowling (2002) also con rmed such relationship between corporate reputation and rms' ...Roberts and Dowling (2002) to support the hypothesis that reputation might become a ... See full document
58
Stock returns and Google Search volume data – an analysis on the Portuguese and American market
... 3 and Table 4 illustrate the results of the F-Test on Equation (7) and Equation (8) on the left and right panel ...determines the lags used, i.e. the ... See full document
29
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 and a ... See full document
52
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 ... See full document
24
The daily returns of the Portuguese stock index : a distributional characterization
... to the literature that has used the normal inverse Gaussian distribution, the generalized hyperbolic distribution and the Student t distribution in measuring the fitting ... See full document
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