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Author : Aileen Hegarty
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book The Cross-section of Stock Returns on the Irish Stock Exchange written by Aileen Hegarty and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stijn Claessens
Publisher : World Bank Publications
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4./5 ( download)
Download or read book The Cross-section of Stock Returns written by Stijn Claessens and published by World Bank Publications. This book was released on 1995 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dasgupta
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book The Cross-Section of Stock Returns written by Dasgupta and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Susmita Dasgupta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (919 download)
Download or read book The Cross-Section of Stock Returns: Evidence from Emerging Markets written by Susmita Dasgupta and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Stijn Claessens
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book The Cross-Section of Stock Returns written by Stijn Claessens and published by . This book was released on 2016 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several factors besides m ...
Author : Robert Casey
Publisher :
ISBN 13 :
Total Pages : 85 pages
Book Rating : 4.:/5 (65 download)
Download or read book The Cross-section of Expected Stock Returns written by Robert Casey and published by . This book was released on 2004 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Donald B. Keim
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book The Cross Section of Common Stock Returns written by Donald B. Keim and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A growing number of empirical studies suggest that betas of common stocks do not adequately explain cross-sectional differences in stock returns. Instead, a number of other variables (e.g., size, ratio of book to market, earnings/price) that have no basis in extant theoretical models seem to have significantly predictive ability. Some interpret the findings as evidence of market efficiency. Others argue that the Capital Asset Pricing Model is an incomplete description of equilibrium price formation and these variables are proxies for additional risk factors. In this paper we review the evidence on the cross-sectional behavior of common stock returns on the U.S. and other equity markets around the world. We also report some new evidence on these cross-sectional relations using data from both U.S. and international stock markets. We find, among other results, that although the return premia associated with these ad hoc variables are significant in most international stock markets, the premia are uncorrelated across markets. The accumulating evidence prompts the following question: If these return premia occur primarily in January and are uncorrelated across major international equity markets, is it reasonable to characterize them as compensation for risk?
Author : Jean-Paul Sursock
Publisher :
ISBN 13 :
Total Pages : 122 pages
Book Rating : 4.:/5 (454 download)
Download or read book The Cross Section of Expected Stock Returns Revisited written by Jean-Paul Sursock and published by . This book was released on 2000 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (931 download)
Download or read book The Cross-section of Stock Returns written by and published by . This book was released on 2006 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Cross Section of Average Stock Returns of the Athens Stock Exchange written by and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Nuri Volkan Kayaçetin
Publisher :
ISBN 13 :
Total Pages : 96 pages
Book Rating : 4.:/5 (544 download)
Download or read book Cross-section of Stock Returns on the İstanbul Stock Exchange written by Nuri Volkan Kayaçetin and published by . This book was released on 2003 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : J. Benson Durham
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.E/5 ( download)
Download or read book The Extreme Bounds of the Cross-section of Expected Stock Returns written by J. Benson Durham and published by . This book was released on 2002 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antonina Waszczuk
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (13 download)
Download or read book Return Dispersion, Size, and the Cross-Section of Stock Returns - Evidence from the German Stock Market written by Antonina Waszczuk and published by . This book was released on 2013 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates whether return dispersion (RD), proxied by the cross-sectional standard deviation of stock returns, captures variation in returns across German stocks between 1989 and 2010. I address existing evidence based on U.S. equity data that RD may serve as a proxy economic state variable. In the out-of-sample test I confirm the countercyclical character of RD and show that it loads significantly negatively on future equal-weighted average market return. Sorting stocks by their absolute loadings on RD, I uncover the negative pattern in simple average portfolio returns. Further analysis indicates that the negative relationship between absolute loadings on RD and future returns is present only in micro stock subgroup. This finding casts doubt on the RD as proxy for state variable. Instead, it suggests its relation to mispricing and idiosyncratic risk components. As a secondary results I confirm the existence of reversed size effect in German stock market over the considered period.
Author : James L. Davis
Publisher :
ISBN 13 :
Total Pages : 254 pages
Book Rating : 4.:/5 (32 download)
Download or read book Two Essays on the Cross-section of Stock Returns written by James L. Davis and published by . This book was released on 1994 with total page 254 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : George N. Leledakis
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Cross-Sectional Estimation of Stock Returns in Small Markets written by George N. Leledakis and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study is an investigation into the cross-sectional determinants of stock returns in a small market - the Athens Stock Exchange - where the Fama and French portfolio grouping procedure that is normally used to counter the error in variables problem in estimating beta is problematic due to the small number of stocks. A maximum likelihood technique is applied, similar to that developed by Litzenberger and Ramaswamy (Journal of Financial Economics, 7, 163-95, 1979), which is arguably a better procedure than the portfolio grouping method even for investigating large (developed) markets. A further empirical problem that was addressed was the possibility that the results were being driven by the 'January effect'. The findings for the Athens market suggest that there is only one substantive variable in explaining the cross-sectional variation of market and that is market equity ME (which captures a size effect).
Author : Raife Giovinazzo
Publisher :
ISBN 13 :
Total Pages : 136 pages
Book Rating : 4.:/5 (232 download)
Download or read book Asset-intensity and the Cross-section of Stock Returns written by Raife Giovinazzo and published by . This book was released on 2008 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Soeren Hvidkjaer
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Small Trades and the Cross-Section of Stock Returns written by Soeren Hvidkjaer and published by . This book was released on 2011 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses volume arising from small trades to analyze the effect of retail investor trading behavior on the cross-section of stock returns. The central finding is that stocks with intense sell-initiated small-trade volume, measured over the past several months, outperform stocks with intense buy-initiated small-trade volume. This return difference accrues from the first month after the portfolio formation up to two years later. Among small and medium-sized firms, the return difference continues in the third year. The results suggest that stocks favored by retail investors become overvalued and subsequently experience prolonged underperformance relative to stocks out of favor with retail investors.
