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Author : Taro Niggemann
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (657 download)
Download or read book Essays in Empirical Capital Market Research written by Taro Niggemann and published by . This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maximilian Glück
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Essays on Empirical Capital Markets Research and Sustainable Finance written by Maximilian Glück and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Funke
Publisher : Springer Science & Business Media
ISBN 13 : 3834998141
Total Pages : 123 pages
Book Rating : 4.8/5 (349 download)
Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author : Bernt Arne Odegaard
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)
Download or read book Two essays on empirical investigations of US capital market data written by Bernt Arne Odegaard and published by . This book was released on 1992 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : 洪聖閔
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (858 download)
Download or read book Essays on Capital Market Research written by 洪聖閔 and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Capital Markets Research written by and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rita Biswas
Publisher : Emerald Group Publishing
ISBN 13 : 1789733898
Total Pages : 168 pages
Book Rating : 4.7/5 (897 download)
Download or read book Essays in Financial Economics written by Rita Biswas and published by Emerald Group Publishing. This book was released on 2019-10-24 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Author : Birgit Charlotte Müller
Publisher : Springer Gabler
ISBN 13 : 9783658354787
Total Pages : 147 pages
Book Rating : 4.3/5 (547 download)
Download or read book Three Essays on Empirical Asset Pricing in International Equity Markets written by Birgit Charlotte Müller and published by Springer Gabler. This book was released on 2021-08-20 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 0195148142
Total Pages : 568 pages
Book Rating : 4.1/5 (951 download)
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to create a strong understanding of the empirical basis for the equity risk premium. Through the research and anaylsis of two scholars who are experts in this field, this volume presents the key issues that are paramount to investors, including whether or not to use historical data as a method of equity investing, and can the equity premium reflect changes in fundamental values and cash flows of the market.
Author : Torben Voetmann
Publisher :
ISBN 13 : 9788759381151
Total Pages : 218 pages
Book Rating : 4.3/5 (811 download)
Download or read book Corporate Decisions and Capital Market Reactions written by Torben Voetmann and published by . This book was released on 2000 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Martin Michael Kapons
Publisher :
ISBN 13 : 9789056686710
Total Pages : 146 pages
Book Rating : 4.6/5 (867 download)
Download or read book Essays on Capital Markets Research in Accounting written by Martin Michael Kapons and published by . This book was released on 2021 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tse-Chun Lin
Publisher : Rozenberg Publishers
ISBN 13 : 9036101514
Total Pages : 146 pages
Book Rating : 4.0/5 (361 download)
Download or read book Three essays on empirical finance written by Tse-Chun Lin and published by Rozenberg Publishers. This book was released on 2009 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yongxian Tan
Publisher :
ISBN 13 :
Total Pages : 113 pages
Book Rating : 4.:/5 (747 download)
Download or read book Three Essays on Empirical Finance written by Yongxian Tan and published by . This book was released on 2011 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 386 pages
Book Rating : 4.:/5 (94 download)
Download or read book Essays on Capital Markets Research in Accounting written by and published by . This book was released on 2005 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haibin Wu
Publisher :
ISBN 13 :
Total Pages : 147 pages
Book Rating : 4.:/5 (92 download)
Download or read book Three Essays in Capital Market Studies written by Haibin Wu and published by . This book was released on 2014 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three archival studies in capital markets. The introductory chapter briefly summarizes the literature, motivation, research methodology, and main findings in each study. Chapter 2 examines the differential trading activities of small traders (i.e., traders initiating small trades) and large traders (i.e., traders initiating large trades) around earnings announcements by focusing on the effect of sentiment, earnings surprises and firm size. I find that abnormal trading volume is significantly lower in high sentiment periods for small traders, but not for large traders. Both small and larger traders are found to respond more strongly to positive earnings surprises than to negative earnings surprises, and small traders exhibit weaker responses to negative earnings surprises. Finally, small traders trade more actively on small firms, while large traders trade more actively on large firms. Chapter 3 examines when small and large traders use momentum or contrarian trading strategies based on stock returns over the last five years. I find that small traders tend to use contrarian trading strategies based on past year's stock returns, but use momentum trading strategies based on longer horizon returns. Large traders are momentum traders based on past year's stock returns and contrarian traders based on longer horizon returns, though the effects on large traders are not significant. Furthermore, small and large traders tend to sell past year's losers in December, consistent with tax avoidance loss selling or window dressing. In Chapter 4, I examine how financial statement comparability affects corporate investment-cash sensitivity. Building on prior studies, I hypothesize that comparability alleviates the sensitivity of investment to cash, and this effect should be more pronounced in financially constrained firms. The empirical results confirm these conjectures.
Author : Claire Yi-Chun Liang
Publisher :
ISBN 13 :
Total Pages : 118 pages
Book Rating : 4.:/5 (92 download)
Download or read book Essays on Capital Markets written by Claire Yi-Chun Liang and published by . This book was released on 2014 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt: Capital markets play an important role in the modern economy. This thesis consists of two essays on capital markets. In the first essay (Chapter 1), I study the effect of systematic news on a prominent capital markets anomaly, post-earnings announcement drift (PEAD), and use the effect to examine competing explanations of PEAD. In the second essay (Chapter 2), I study the real effects of capital markets development. The abstracts from each of the essays are as follows: Chapter 1 Recent studies find that post-earnings announcement drift (PEAD) is related to the business cycle. Using quarterly data on U.S. public firms from 1973:Q1 to 2011:Q3, I find that PEAD is stronger when drift-period systematic news agrees with a firm's prior earnings news; PEAD is weaker, insignificant, or even reversed when drift-period systematic news disagrees with a firm's prior earnings news. The relation between systematic news and PEAD is consistent with the rational learning hypothesis, but cannot be explained by conventional behavioral models built on investor irrationality. The study suggests a channel linking PEAD to the business cycle. It provides empirical evidence that helps distinguish the rational learning hypothesis from conventional behavioral models, which previous studies attempting to use the rational learning theory to explain PEAD have found difficult. The findings indicate that anomalies need not imply investor irrationality. The effects of systematic shocks and information uncertainty on asset prices not captured by existing models offer a promising new direction for exploring PEAD as well as other anomalies. Chapter 2 U.S. financial development varies a good deal over the last half century, primarily increasing since the 1980s. We ask whether this variation had consequences for the real economy. Difference-in-difference tests reveal that increases in financial development have disproportionate effects on industries that depend more on external finance. Higher financial development forecasts externally dependent industries using more external finance, having higher turnover of leading businesses, greater variation in firm-growth rates, more new firms entering, more mature firms exiting, lower concentration, and at the aggregate level more innovation and faster growth. The mosaic of our evidence is consistent with a Schumpeterian framework linking the supply of finance to competition, innovation, and growth. Our findings suggest that the growth in finance had some real effects that are socially beneficial.
Author : Irina Pimenova
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (129 download)
Download or read book Essays in Empirical Asset Pricing written by Irina Pimenova and published by . This book was released on 2018 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I revisit two problems in empirical asset pricing. In Chapter 1, I propose a methodology to evaluate the validity of linear asset pricing factor models under short sale restrictions using a regression-based test. The test is based on the revised null hypothesis that intercepts obtained from regressing excess returns of test assets on factor returns, usually referred to as alphas, are non-positive. I show that under short sale restrictions a much larger set of models is supported by the data than without restrictions. In particular, the Fama-French five-factor model augmented with the momentum factor is rejected less often than other models. In Chapter 2, I investigate patterns of equity premium predictability in international capital markets and explore the robustness of common predictive variables. In particular, I focus on predictive regressions with multiple predictors: dividend-price ratio, four interest rate variables, and inflation. To obtain precise estimates, two estimation methods are employed. First, I consider all capital markets jointly as a system of regressions. Second, I take into account uncertainty about which potential predictors forecast excess returns by employing spike-and-slab prior. My results suggest evidence in favor of predictability is weak both in- and out-of-sample and limited to a few countries. The strong predictability observed on the U.S. market is rather exceptional. In addition, my analysis shows that considering model uncertainty is essential as it leads to a statistically significant increase of investors' welfare both in- and out-of-sample. On the other hand, the welfare increase associated with considering capital markets jointly is relatively modest. However, it leads to reconsider the relative importance of predictive variables because the variables that are statistically significant predictors in the country-specific regressions are insignificant when the capital markets are studied jointly. In particular, my results suggest that the in-sample evidence in favor of the interest rate variables, that are believed to be among the most robust predictors by the literature, is spurious and is mostly driven by ignoring the cross-country information. Conversely, the dividend-price ratio emerges as the only robust predictor of future stock returns.
