[PDF] Top 20 The Structure of International Stock Market Returns
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The Structure of International Stock Market Returns
... asset returns can be divided into three types (Con- nor, 1995): macroeconomic, fundamental, and statistical factor ...measures of pervasive factors in asset ...models, the common factors are ... See full document
21
The Effects of Twitter Sentiment on Stock Price Returns.
... evidence of dependence between stock price returns and Twitter sentiment in tweets about the ...series of other papers have already shown, there is a signal worth investigating which ... See full document
21
Rev. Adm. (São Paulo) vol.51 número1
... on the market reaction to corporate investment decisions whose shareholder value is largely attributed to growth ...options. The exploratory research raised pre-operational companies and their ... See full document
16
Book-to-Market Ratio, return on equity and Brazilian Stock Returns
... used the beta coefficient available from the Economatica database, calculated on a 60-month period prior to each year’s start ...date. The study found that a considerable part of the ... See full document
21
International portfolio diversification: United States and south Asian equity markets
... consists of weekly adjusted closing prices of indices of the Karachi, Bom- bay, Colombo and US stock markets, covering the time frame of (1 st of July 1997 to 1 st ... See full document
12
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
... analysed the impacts of the Asian crisis on Latin America, separating the causes and the symptoms of Latin American financial vulnerability and its ...probability of a ... See full document
29
EU Finance Ministers, Capital Markets and Fiscal Outcomes
... yearly stock market returns are reported in Table ...levels of sovereign debt and inflation have a positive effect on stock market returns, whilst an increase in ... See full document
17
Investor Sentiment and the Cross-Section of Stock Returns
... pattern of a focus on firms with strong earnings growth or potential and an avoidance of “the major industrial giants, ‘buggywhip companies,’ as they were sometimes contemptuously called” (Dreman ... See full document
36
Essays on international prices and the subjacent market structure
... approach of differentiated intermediate goods into the otherwise single sector Melitz ...Most of the analytical structure and intuition from the later is preserved in the ... See full document
77
Exploring the Predictive Power of Google Searches over the US Stock Market
... finding the best performers, retail investors take long positions on them (consistent with previous findings as well as Barber and Odean (2008) and Da et ...generating the price pressure that drives up ... See full document
62
Investment strategies used as spectroscopy of financial markets reveal new stylized facts.
... set of stylized facts quantifying the structure of financial ...markets. The key idea is to study the combined structure of both investment strategies and prices in ... See full document
9
An examination of the cross-sectional relationship of beta and return in international stock returns
... is the expected return on asset i, 𝛾 & is the expected return on the risk-free asset, 𝛾 ) is the expected market risk premium and 𝛽 # is the systematic, or, beta risk ... See full document
27
A study on relationship between the return of value/growth portfolio and market return: Evidence from Tehran Stock Exchange
... 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
4
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
Monetary policy and the cross-section of stock returns: a FAVAR approach
... on stock prices. This approach allows us to consistently exploit the information contained in hundreds of macroeco- nomic and financial time ...If the Federal Reserve and market ... See full document
22
THE STEEL EUROPEAN STOCK MARKET EFFICIENCY
... sheets. The strong form of informational efficiency implies that all pieces of public or privileged information are reflected in stock exchange ...pieces of information (named shocks) ... See full document
8
MEASURING THE SENSITIVITY OF TURKISH AND ROMANIAN STOCK MARKETS TO EUROPEAN STOCK MARKETS: A COMPARATIVE ANALYSIS
... show the levels of relations among ISE 100 Index, BET 10 Index and FTS Eurofirst 300 Index are set by using 24 month period dollar base returns data which calculated before for each two year ...as ... See full document
7
Initial underpricing and the Lisbon Euronext-listed companies
... analyzed the Portuguese market during 1997–2007, obtaining the following conclusion: 42% of the 26 selected stocks, which had a random walk in prices, held a significant part of ... See full document
8
Rev. adm. contemp. vol.9 número especial 2 v9nesp2a04
... to the negative announcement period returns, issuing firms experience abnormally low stock returns over the five years following the ...advantage of windows of ... See full document
11
BAR, Braz. Adm. Rev. vol.2 número2
... to the negative announcement period returns, issuing firms experience abnormally low stock returns over the five years following the ...advantage of windows of ... See full document
12
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