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Author : Hongyun Shen
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.:/5 (445 download)
Download or read book The Effects from Changes in the Dow Jones Industrial Average List written by Hongyun Shen and published by . This book was released on 2000 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geungu Yu
Publisher :
ISBN 13 :
Total Pages : 10 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Impact of Changes in the Dow Jones Industrial Average List on Prices and Trading Volume written by Geungu Yu and published by . This book was released on 2017 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: The price-pressure hypothesis (PPH) assumes that a temporary increase (or decrease) in returns and trading volumes occurs around the announcement day when firms are added to (or deleted from) a market index. On September 10, 2013, the Dow Jones Industrial Averages Index Committee announced that Goldman Sachs Group Inc. (GS), Visa Inc. (V) and Nike Inc. (NKE) would be added to the Dow Jones Industrial Average (DJIA) and Bank of America Corp. (BAC), Hewlett-Packard Co. (HPQ) and Alcoa Inc. (AA) would be deleted from the DJIA after the close of trading on September 20, 2013. According to the Index Committee, GS replaced BAC, V replaced HPQ and NKE replaced AA. This event study analyzes the effects that these changes have on the prices and volumes of these stocks. Changes of prices and trading volumes of the firms added to the DJIA are statistically significant enough to support the PPH.
Author : Messod D. Beneish
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Information Costs and Liquidity Effects from Changes in the Dow Jones Industrial Average List written by Messod D. Beneish and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the stock market effect of changes in the composition of the Dow Jones Industrial Average (DJIA). Unlike Samp;P 500 listing studies, we find that the price and the trading volume of newly listed DJIA firms are unaffected. We attribute this result to a lack of index fund rebalancing, since index trading is limited for most of our sample period and index funds mimic the Samp;P 500, not the DJIA. Firms removed from the index, however, experience significant price declines. We consider information signaling, price pressure, imperfect substitutes, and information cost/liquidity explanations for these asymmetric findings. The evidence is consistent with the information cost/liquidity explanation, which holds that investors demand a premium for higher trading costs and for holding securities that have relatively less available information.
Author : Eric C. Lin
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (13 download)
Download or read book The Effect of Dow Jones Industrial Average Index Component Changes on Stock Returns and Trading Volumes written by Eric C. Lin and published by . This book was released on 2018 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines the impact of index membership changes in Dow Jones Industrial Average (DJIA) Index on the return and trading volume of the affected stock. We make two key contributions to the literature. First, we employ a robust event study methodology based on Fama-French Momentum Model with EGARCH to explore the price/volume dynamics associated with DJIA Index additions and deletions. Second, we extend earlier work by incorporating all index reconstitution announcements after Dow Jones & Company began preannouncing index changes in 1990. Our results show that index additions (deletions) experience temporary increases (decreases) in stock prices following the announcement. The abnormal returns surrounding the announcements are economically and statistically significant. In addition, both inclusions and removals lead to temporary abnormal trading volume increases in the post-announcement period. However, the stock prices and trading volumes revert within a few trading days. Our findings are consistent with the price pressure hypothesis as the documented abnormal returns and trading volumes are not permanent.
Author : Philip Field
Publisher :
ISBN 13 :
Total Pages : 276 pages
Book Rating : 4.:/5 (252 download)
Download or read book An Historical and Statistical Analysis of the Dow-Jones Industrial Stock Price Averages to Determine the Effect of Changes in Stocks Constituting the Averages written by Philip Field and published by . This book was released on 1931 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John A. Prestbo
Publisher : Dow Jones, Incorporated
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.0/5 ( download)
Download or read book The Market's Measure written by John A. Prestbo and published by Dow Jones, Incorporated. This book was released on 1999 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Dow Jones Industrial Average was the first -- and remains today the best known -- market indicator. Since its creation in 1896, it has been intertwined with the news and events that have shaped millions of Americans' lives. The Market's Measure: An Illustrated History of America Told Through the Dow Jones Industrial Average celebrates the Dow's role in 20th century America.The Market's Measure begins with the story of the Dow's origins, then takes the reader on a journey through time, tracking the average's progress through its 100+ years. Along the way, the reader gains insight into how the Dow works, how it has contributed to American history and culture, and what may be in store for its future as is passes the milestones of 10,000 and beyond. Filled with nostalgia-evoking photographs, charts and drawings, The Market's Measure is designed to have wide appeal, and is sure to catch the eye of those with a special interest in finance or American history.
Author : Tanguy de Launois
Publisher : Presses univ. de Louvain
ISBN 13 : 2874631744
Total Pages : 275 pages
Book Rating : 4.8/5 (746 download)
Download or read book Information, Volatility and the Cost of Capital written by Tanguy de Launois and published by Presses univ. de Louvain. This book was released on 2009 with total page 275 pages. Available in PDF, EPUB and Kindle. Book excerpt: We all have in mind a couple of dramatic examples of how information released by some economical or political entity resulted in tremendous consequences for a private company or, worst, for the whole financial market. This is the purpose of this dissertation to investigate the relations between information,stock volatility and the cost of capital. After the extension of the standard CAPM model to a more realistic world where some investors are “constrained” and deviate from their optimal CAPM quantities, we confront our theoretical model to the empirical reality by investigating the so-called “index effect”. Thanks to econometric specifications robust to endogeneity, we test different hypotheses proposed by the literature to explain this well known value premium of firms belonging to large indices. In a next step, we investigate how the quality and quantity of micro and macro public signals impact the main determinants of our pricing equation initially developed. We show that in a world of constrained investors, firms benefiting from a high deviation have less incentive to communicate than others. Finally, we study the link between public information and conditional volatility thanks to an original sample of several tens of thousands of Reuters and Dow Jones news releases on both the French and US markets. Thanks to various econometric specifications like GARCH models and Markov Switching Regressions, we conclude that a larger daily number of news releases increases the probability to be in the high probability regime and that the impact ofinformation is strongly dependent on the topic and the timing of the release of this information.
Author : Patricia Freeman
Publisher :
ISBN 13 :
Total Pages : 8 pages
Book Rating : 4.:/5 (13 download)
Download or read book Do Recent Changes in the Dow Jones Industrial Average Support the Price-Pressure Hypothesis written by Patricia Freeman and published by . This book was released on 2017 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The price-pressure hypothesis (PPH) assumes that a temporary increase (decrease) in returns and volume results as firms are added to (deleted from) an index around the announcement date. This event study analyzed recent unexamined changes in the Dow Jones Industrial Average (DJIA) since 1996. Examination of returns of firms added to and firms deleted from DJIA did not support the PPH. Only deleted stocks' volume exhibited a slight increase following the announcement dates. Otherwise, the volume analyses for stocks either added to or deleted from the DJIA tended not to support the PPH.
Author :
Publisher :
ISBN 13 :
Total Pages : 422 pages
Book Rating : 4.3/5 (555 download)
Download or read book Quarterly Journal of Finance and Accounting written by and published by . This book was released on 2009 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 338 pages
Book Rating : 4.:/5 (319 download)
Download or read book The Review of Economic Statistics written by and published by . This book was released on 1919 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : United States. Securities and Exchange Commission
Publisher :
ISBN 13 :
Total Pages : 1484 pages
Book Rating : 4.3/5 (243 download)
Download or read book SEC Docket written by United States. Securities and Exchange Commission and published by . This book was released on 1998 with total page 1484 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 346 pages
Book Rating : 4.F/5 ( download)
Download or read book The Review of Economics and Statistics written by and published by . This book was released on 1919 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of the Review is to promote the collection, criticism, and interpretation of economic statistics, with a view to making them more accurate and valuable than they are at present for business and scientific purposes.
Author : United States. Congress
Publisher :
ISBN 13 :
Total Pages : 1794 pages
Book Rating : 4.:/5 (319 download)
Download or read book Reports and Documents written by United States. Congress and published by . This book was released on with total page 1794 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George Henry Lee
Publisher :
ISBN 13 :
Total Pages : 90 pages
Book Rating : 4.:/5 (83 download)
Download or read book An Empirical Investigation of the Relationship Between Price Changes and Price Level of the Dow-Jones Industrial Average written by George Henry Lee and published by . This book was released on 1956 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 546 pages
Book Rating : 4.:/5 (321 download)
Download or read book The National Public Accountant written by and published by . This book was released on 1969 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Compiled by the British Library of Political and Economic Science at the London School of Economics
Publisher : Psychology Press
ISBN 13 : 9780415152150
Total Pages : 680 pages
Book Rating : 4.1/5 (521 download)
Download or read book Ibss: Economics: 1995 written by Compiled by the British Library of Political and Economic Science at the London School of Economics and published by Psychology Press. This book was released on 1996 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: The IBSS is the essential tool for librarians, university departments, research institutions and any public or private institutions whose work requires access to up-to-date and comprehensive knowledge of the social sciences.
Author : Frank K. Reilly
Publisher : Cengage AU
ISBN 13 : 0170416038
Total Pages : 1062 pages
Book Rating : 4.1/5 (74 download)
Download or read book Investment Analysis & Portfolio Management written by Frank K. Reilly and published by Cengage AU. This book was released on 2019-11-19 with total page 1062 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first Asia-Pacific edition of Reilly/Brown’s Investment Analysis and Portfolio Management builds on the authors’ strong reputations for combining solid theory with practical application and has been developed especially for courses across the Australia, New Zealand, and Asia-Pacific regions. The real-world illustrations and hands-on activities enhance an already rigourous, empirical approach to topics such as investment instruments, capital markets, behavioural finance, hedge funds, and international investment. The text also emphasises how investment practice and theory are influenced by globalisation.
