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Author : Noor Alshamma
Publisher :
ISBN 13 : 9789177313168
Total Pages : 0 pages
Book Rating : 4.3/5 (131 download)
Download or read book Essays on the Association Between Stock Prices and Fundamental Values written by Noor Alshamma and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramzi Boussaidi
Publisher :
ISBN 13 :
Total Pages : 14 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Dynamics of Stock Price Adjustment to Fundamentals written by Ramzi Boussaidi and published by . This book was released on 2017 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamics of stock prices adjustment to fundamental value proxied by dividend per share and earnings per share on the Tunisian stock market based on the cointegration techniques. First, the linear cointegration between stock prices and fundamental values is examined by using the Johansen's cointegration test. The empirical results indicate a linear cointegrating relationship between stock prices and dividend per share, and not between stock prices and earnings per share, in support of a linear mean reversion of stock prices towards its fundamental value proxied by dividend. To further investigate the cointegration between stock prices and earnings per share in a nonlinear context, we have modelled the deviation of stock prices away from EPS by a logistic smooth transition autoregressive (LSTAR) model. Our results indicate that this model cannot capture the nonlinearity of this deviation, failing, then, to give evidence of a nonlinear cointegration between stock prices and EPS. These results suggest that when selecting stocks, Tunisian investors should focus on the underlying performance of stocks only in terms of their dividend per share.
Author :
Publisher :
ISBN 13 :
Total Pages : 2 pages
Book Rating : 4.:/5 (75 download)
Download or read book Kurf. Mainzische Landes-Regierung. Wir bestätigen das unter dem 29ten vorigen Monaths wegen den Hebammen, und derselben Gistirung zum Lehrkurs in das Accouchement zu Mainz erlassene Generalreskript, und befehlen des Weitern, daß alle Hebammen alsogleich vernommen werden, und sich erklären sollen, ob sie sich ... zur Lehre begeben wollen ... Mainz den 21ten October 1784 written by and published by . This book was released on 1784 with total page 2 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tak-jun Wong
Publisher :
ISBN 13 :
Total Pages : 274 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on the Determinants of the Relation Between Stock Prices and Accounting Earnings written by Tak-jun Wong and published by . This book was released on 1990 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lii-Tarn Chen
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (89 download)
Download or read book Essays on Testing for Speculative Bubbles in the Stock Market written by Lii-Tarn Chen and published by . This book was released on 1995 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Timothy Gordon Jones
Publisher :
ISBN 13 :
Total Pages : 188 pages
Book Rating : 4.:/5 (271 download)
Download or read book Essays on Money, Inflation and Asset Prices written by Timothy Gordon Jones and published by . This book was released on 2008 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm's financing affects its decision to update prices: does linking interest rates to inflation alter the firm's optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint. The model shows the circumstances under which a firm's financing decision affects its price updating decision, and how the likelihood of changing prices affects the amount borrowed. It also illustrates how the use of nominal (as opposed to inflation-linked) interest rates leads to a lower frequency of price updating and higher profits overall for a firm facing menu costs and sticky prices. The second chapter extends the bank run literature to present a theoretical mechanism that explains how money supply can affect asset prices and asset price volatility. In a two period asset allocation model, agents faced with uncertainty cannot perfectly allocate assets ex-ante. After income shocks are revealed, they will be willing to pay a premium over the future fundamental value for an asset in order to consume in the current period. The size of this premium is directly affected by the supply of money relative to the asset. This paper explores the relationship between economy-wide monetary liquidity on the mean and variance of equity returns and in relation to market liquidity. At an index level, I test the impact of money-based liquidity measures against existing measures of market liquidity. I proceed to do a stock level analysis of liquidity following Pastor and Stambaugh (2003). The results indicated that measures of aggregate money supply are able to match several of the observed relationships in stock return data much better than market liquidity. At an individual stock level, monetary liquidity is a priced factor for individual stocks. Taken together, these papers support the idea that changes in the money supply have consequences for the real economy.
Author : Xiaomeng Lu
Publisher :
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (932 download)
Download or read book Three Papers on Behavioral Finance and Market Inefficiencies written by Xiaomeng Lu and published by . This book was released on 2015 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: The three chapters in this dissertation provide new evidence on inefficiencies in the stock market, and offer some novel explanations for the cause of these inefficiencies due to the existence of investors' behavioral biases and market frictions. In the first chapter (joint with Ziyang Geng), we study the active role of rational investors in creating mispricing in the Chinese stock market. In existing behavioral finance literature on stock mispricing, rational investors largely play a passive role in tolerating mispricing due to limits to arbitrage. In this essay, we show that rational speculators sometimes proactively and intentionally create mispricing by driving up stock prices away from their fundamental values through synchronized attacks with explosive trading volumes. The inflated stock price is subsequently supported by new rounds of irrational buyers who are subject to extrapolation bias and by existing stockholders who are reluctant to sell due to the disposition effect. This paper develops a simple model to illustrate how bubble-creating attacks can succeed in equilibrium under certain limits-to-arbitrage conditions, and provides consistent empirical evidence in the Chinese stock market using investors' trading data from a large brokerage company in China. In Chapter 2 of my dissertation, motivated by existing evidence that individual investors have a preference for stocks with low nominal prices, I investigate the importance of nominal stock price in the cross-sectional pricing of stocks in the Chinese stock market. Portfolio-level analyses and firm-level cross-sectional regressions indicate a negative and significant relation between nominal prices and subsequent returns for stocks with low tradable market capitalization. Average raw and risk-adjusted return differences between the lowest and highest nominal price deciles exceed 1% per month for stocks in the lowest tercile of tradable market capitalization. The return difference between high-priced and low-priced stocks is not explained by existing predictors of expected returns, such as size, book-to-market ratio, momentum, short-term reversal, liquidity, and skewness. The magnitude of this low nominal price premium is influenced by incremental participation of new individual investors. I also provide additional evidence consistent with the hypothesis that rational speculators induce investors with a preference for low-priced stocks to trade in a way that exacerbates this anomaly. In the third chapter (joint with Peng Liu and Ke Tang), we study the economic linkage between homebuilder stock market performance and commodity futures market information on a major component of building materialslumber. The price of lumber plays a dual role in determining homebuilder prots: it represents a production input cost and serves as a future housing demand indicator. Using all US publicly listed homebuilder stocks, we show that the housing demand effect dominates the builderlumber relationship. This effect is robust even after we control for the Federal Housing Finance Association (FHFA) housing price index (HPI). Our results further indicate that the slope of the lumber futures curve serves as a cross-market signal of future housing demand and thus of homebuilder stock market performance.
Author : Jina Yu
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (269 download)
Download or read book Essays on Investment, Asset Prices and Technology Shocks written by Jina Yu and published by . This book was released on 2008 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: My dissertation sheds light on the relationship between the shadow value of capital, the market value per capital stock, and investment. When the asset market is efficient, firms' market value per capital stock, average q, represents the shadow value of capital, marginal q or fundamental q. Average q, however, is observed as different movements from fundamental q because of i) investment adjustment specifications and goods market structure, and ii) investors' speculative behavior. My first paper emphasizes the importance of adjustment costs and studies the interactions between average q, fundamental q, and investment. The second paper explores the relationship through the structural vector autoregressive model at the macro level. The paper allows market speculation and constructs fundamental q with discounted profit rate along with average q. The first paper evaluates the importance of investment installment costs in a sticky price model by comparing two different adjustment cost specifications; one depends on the investment -- to-capital stock ratio, and the other depends on investment growth. The two adjustment cost specifications are considered, since the former has been adopted in the empirical literature such as such as Hayashi (1982) and the latter has been adopted in the theoretical literature such as Chirinko and Fazzari (1994). There is a stronger positive asset price (or average q) response to a positive technology shock when the adjustment cost depends on investment growth. In addition, the investment growth specification generates a hump shaped response of investment and a semi-hump shaped response of output. As indicated in Hayashi (1982), higher fundamental q leads to higher investment purchases. Higher shadow value of capital means that additional capital stock creates net profits, enabling firms to increase investment purchases. An efficient asset market implies a close positive relation between average q and fundamental q, and thus higher average q leads to higher investment purchases. Previous literature has focused on average q and investment at the micro level with a single-equation regression model, and the result was not satisfactory. I have conducted empirical research to answer whether investment is sensitive to fundamental q or average q through comparison of impulse responses to a technology shock. In addition, the extent to which technology shocks explain average q fluctuations is studied through forecast error variance decomposition. My empirical paper has applied the structural vector autoregressive model with the restriction that only technology shocks can alter labor productivity in the long run. Impulse responses to technology shocks indicate that there exists a positive interaction between investment and average q. On the other hand, fundamental q is influenced by investment but not in an adverse direction; fundamental q follows investment growth rate. Furthermore, without having average q in the equation, fundamental q alone cannot be a significant explanatory variable to predict investment. Positive technology shocks are expected to raise firms' profits, output, and investment. The variance decomposition results suggest that technology shocks account for larger portions of output and investment when average q is used without fundamental q. When fundamental q is included in the estimation, the portion of investment fluctuations caused by technology shocks shrink significantly, which confirms that fundamental q cannot explain investment fluctuations.
Author : Major Coleman
Publisher :
ISBN 13 : 9781267971432
Total Pages : 102 pages
Book Rating : 4.9/5 (714 download)
Download or read book Essays in Investor Sentiment written by Major Coleman and published by . This book was released on 2013 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 1. If investors choose consumption and investment levels jointly to maximize expected utility or value, then investor sentiment about stock returns should be reflected in consumption choices. I find a positive contemporaneous relationship between aggregate consumption of nondurables and investor stock sentiment. Investors' false perceptions of changes in stock market wealth appear to move consumption in the same direction initially. But as expected stock returns do not materialize, sentiment-based consumption is reversed. On average, this reversal occurs two to four years later, which coincides with the time it takes for sentiment to correct from prior levels. Sentiment does not positively predict returns as a positive proxy of rational expectations of risk would. Nor does sentiment negatively predict the covariance between consumption growth and returns as an inverse proxy for rational expectations of risk would. The results suggest that bias in investor expectations is an important factor in consumption-based asset pricing models. Chapter 2. I hypothesize that directly observable past returns drive housing investment more so than fundamentals because the difference between price and fundamental value---sentiment---is not directly observable. Housing sentiment only becomes recognizable when it is extreme, so the magnitude of sentiment must be large enough relative to recent returns in order for prices to correct. I construct indices of housing sentiment and use the measures to calibrate a specification of home price growth driven by momentum investing. I find that home price growth is persistent even when prices are moving away from fundamental value, and reversals in home price growth are only likely when the housing sentiment measures are extreme.
Author : Doron Nissim
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Association between Changes in Interest Rates, Earnings, and Equity Values written by Doron Nissim and published by . This book was released on 2011 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerous studies have documented that stock returns are negatively related to changes in interest rates, but there has been little corroborating research on the information in interest rate changes about the fundamentals which the stock market prices. The negative correlation is often attributed to changes in the discount rate, a denominator effect in a valuation model. However, there may also be a numerator effect on the expected payoffs that are discounted. This paper shows that changes in interest rates are positively related to subsequent earnings, but the change in earnings is typically not large enough to cover the change in the required return. Hence the net (numerator and denominator) effect on equity value is negative, consistent with the results of the research on interest rates and stock returns.
Author : Olivier J. Blanchard
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (221 download)
Download or read book The Stock Market, Profit and Investment written by Olivier J. Blanchard and published by . This book was released on 1990 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sahar Parsa
Publisher :
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (746 download)
Download or read book Investors' Horizon and Stock Prices written by Sahar Parsa and published by . This book was released on 2011 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on the relation between investors' trading horizon and stock prices. The first chapter explores the theoretical relation between the horizon of traders and the negative externality generated by their activity on the information revealed by stock prices. The last two chapters focus on the empirical relation between institutional investors trading frequency and stock prices behaviour. The first chapter examines how short term trading impacts the aggregation of information in financial markets. I develop a model where short-term traders, in an attempt to learn about the average beliefs of future market participants, make the price relatively more noisy. This typically introduces a negative informational externality on long-term investors. I show that (i) as the horizon of the informed traders decreases, the price becomes relatively less precise; (ii) an inflow of informed traders in the market can decrease the informativeness of the price when the traders have a relatively short horizon or the market is expected to be thin in the future; (iii) finally, as rational informed short-term traders have access to an extra source of information about the future price, they end up creating more noise and a decrease in the informativeness of the price might result. Thus, paradoxically, more informed trading could lead to a less informative price. Among scholars, practitioners and policy makers, investor short-termism and high frequency trading have been associated with excess volatility in financial markets and with a disconnect between asset prices and fundamentals. Motivated by this observation, in Chapter 2 I construct a novel measure of the intrinsic frequency of trading for each of the large US institutional investors (13-F institutions) using Thomson-Reuters Institutional Holdings quarterly data for the period 1980-2005. This measure controls for the market and portfolio characteristics and identifies an investor-specific fixed effect in the frequency of trading. I then study how the composition of these fixed effects impacts stock price behavior through their forecasting role in explaining the return and the return on equity (cash flow of a company) in the short run as well as the long run. I show that (i) the securities in which investors exhibit higher intrinsic trading frequency exhibit higher volatility, but (ii) this volatility is mainly driven by the cashflow component of the security prices. Further, (iii) the prices of the securities held by investors with a higher intrinsic trading frequency do not forecast the long-run return as opposed to the securities held by investors with a lower intrinsic trading frequency. As such, the prices mainly respond to the long-run return on equity. Overall, the results challenge the view that higher frequency of trading-a commonly used proxy for investor short-termnism-causes a disconnect between asset prices and fundamentals. Finally, in Chapter 3 (co-auhtored with Fernando Duarte) we show a novel relation between the institutional investors' intrinsic trading frequency-a commonly used proxy for the investors's investment horizon- and the cross-section of stock returns. We show that the 20$ of stocks with the lowest trading frequency earn mean returns that are 6 percentage points per year higher than the 20% of stocks that have the highest trading frequency. The magnitude and predictability of these returns persist or even increase when risk-adjusted by common indicators of systematic risks such as the Fama-French, liquidity or momentum factors. Our results show that the characteristics of stockholders affect expected returns of the very securities they hold, supporting the view that heterogeneity among investors is an important dimension of asset prices.
Author : Cheng Few Lee
Publisher : World Scientific
ISBN 13 : 9814478830
Total Pages : 269 pages
Book Rating : 4.8/5 (144 download)
Download or read book Advances In Quantitative Analysis Of Finance And Accounting (Vol. 3): Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and published by World Scientific. This book was released on 2006-04-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
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 : Albert N. Link
Publisher : Springer Science & Business Media
ISBN 13 : 9780387250106
Total Pages : 330 pages
Book Rating : 4.2/5 (51 download)
Download or read book Essays in Honor of Edwin Mansfield written by Albert N. Link and published by Springer Science & Business Media. This book was released on 2005-07-01 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: Edwin Mansfield was a research pioneer into the economics of R and D and technological change. As appreciation and remembrance for his scholarly contributions, eminent scholars have contributed original papers for this edited volume. The authors have followed the "Mansfieldian” approach of emphasizing economic insight and intuition over mathematical rigor and as a result are very accessable. Essays in Honor of Edwin Mansfield has the potential to serve as a reader in all advanced undergraduate and graduate classes/seminars in the economics of R and D and technological change. This edited volume will be the definitive work in the field.
Author : Lina Zhou
Publisher :
ISBN 13 : 9781109846690
Total Pages : 81 pages
Book Rating : 4.8/5 (466 download)
Download or read book Essays in Managerial Economics written by Lina Zhou and published by . This book was released on 2005 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay models the process of a manager learning about a new technology her firm employs, and generates a boom-bust cycle in the firm's value and its stock price. The cycle exists even if stock prices are completely determined by the firm's fundamental values. Therefore, the model provides a possible alternative to the popular bubble explanation of the volatility of high-tech stock prices during 1990s.
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
