A Cross Sectional Analysis Of Stock Returns
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Stock Returns And The Weather
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Author : Ivano Flueckiger
language : en
Publisher:
Release Date : 2019
Stock Returns And The Weather written by Ivano Flueckiger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Research has shown that investors are subject to behavioural biases such as loss aversion or mood-based decision making. A proxy for mood that has been shown to have a significant effect on stock returns is sunshine at an exchange's location. This thesis examines the relation between cross-sectional stock returns and the weather at Wall Street and at each traded company's headquarter. I use portfolio sorts and regression techniques on a comprehensive sample of the US stock market between 1980 and 2017 and on headquarter data between 2007 and 2017. I show that there is a relation between stock returns and the weather both at Wall Street and at headquarter. While the relation is statistically significant, economic impact is limited. Nevertheless, I provide further evidence that financial markets are not entirely rational and I show that modern asset pricing models should incorporate behavioural factors in addition to measures of systematic and idiosyncratic risk.
A Cross Sectional Analysis Of Stock Returns
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Author : Michael Hasler
language : en
Publisher:
Release Date : 2012
A Cross Sectional Analysis Of Stock Returns written by Michael Hasler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Empirical Asset Pricing
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Author : Turan G. Bali
language : en
Publisher: John Wiley & Sons
Release Date : 2016-04-04
Empirical Asset Pricing written by Turan G. Bali and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-04 with Business & Economics categories.
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
A Cross Sectional Analysis Of The Excess Comovement Of Stock Returns
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Author : Robin Marc Greenwood
language : en
Publisher:
Release Date : 2005
A Cross Sectional Analysis Of The Excess Comovement Of Stock Returns written by Robin Marc Greenwood and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
In the presence of limits to arbitrage, cross-sectional variation in periodic investor demand should be related to the degree of comovement of returns. I exploit the unusual weighting system of the Nikkei 225 index in Japan to identify cross-sectional variation in periodic demand for index stocks. Relative to their weights in a value weighted index, some stocks in the Nikkei are overweighted by a factor of ten or more. Using overweighting as an instrument for the proportionality between demand shocks for index stocks, I find a strong positive relation between overweighting and the comovement of a stock with other stocks in the index, and a negative relationship between index overweighting and comovement with stocks outside of the index. Put simply, overweighted stocks have high betas. The results suggest that excess comovement of stock returns is a consequence of an institutionalized commonality in trading behavior, rather than inefficiencies related to the speed at which index stocks incorporate economy-wide information.
The Cross Section Of Stock Returns
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Author : Stijn Claessens
language : en
Publisher: World Bank Publications
Release Date : 1995
The Cross Section Of Stock Returns written by Stijn Claessens and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Rate of return categories.
Essays On The Analysis Of Cross Sectional Stock Returns
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Author : 林琦
language : en
Publisher:
Release Date : 2017
Essays On The Analysis Of Cross Sectional Stock Returns written by 林琦 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with Investment analysis categories.
Quantitative Investing For The Global Markets
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Author : Peter Carman
language : en
Publisher: Routledge
Release Date : 2013-08-21
Quantitative Investing For The Global Markets written by Peter Carman and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-21 with Business & Economics categories.
Over the past several years, the field of international investing has been transformed by a host of new, state-of-the-art techniques. Quantitative Investing for the Global Markets is the definitive handbook for money and portfolio managers, research analysts, pension consultants, corporate treasurers, and other professionals seeking a competitive edge in the global investment marketplace. Topics include: international asset allocation; optimum diversification levels; style analysis and evaluation; market neutral strategies; global stock valuation; advanced strategies for hedging currency risk; international benchmarking; etc.
Cross Sectional Analysis Of Swedish Stock Returns With Time Varying Beta
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Author : Hossein Asgharian
language : en
Publisher:
Release Date : 2000
Cross Sectional Analysis Of Swedish Stock Returns With Time Varying Beta written by Hossein Asgharian and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.
This paper analyses the ability of beta and other factors, like firm size and book-to-market, to explain cross-sectional variation in average stock returns on the Swedish stock market for the period 1980-1997. We use a bivariate GARCH(1,1) process to estimate time-varying betas for asset returns. The estimated variances of these betas, derived from a Taylor series approximation, are used for correcting errors in variables problem. Our model accounts for problems such as cross-sectional and intertemporal heteroscedasticity. An Extreme Bounds Analysis is utilized for testing the sensitivity of the estimated coefficients to changes in the set of included explanatory variables. Since the tests are carried out on realized returns, which presumably are quite noisy approximations of expected returns; we also analyze if the variables play different roles depending on if it is a Bull or Bear market. Our results show that the coefficient for beta is never significantly different from zero, while variables book to market, size and leverage have significant coefficients. Different sensitivity analyses suggest that the results, to some extent, may be due to cross-correlations between the variables, the characteristics of the extreme periods included in the sample, the average sign of the excess market return during the sample period, and the choice of the estimation and test methods. The findings also show that the estimated conditional beta is a more accurate measure of the true market beta than the beta estimated by OLS.
Cross Sectional Analysis Of Stock Returns In Athens Stock Exchange For The Period 2004 2011
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Author : Argyro Svingou
language : en
Publisher:
Release Date : 2013
Cross Sectional Analysis Of Stock Returns In Athens Stock Exchange For The Period 2004 2011 written by Argyro Svingou and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Capital Expenditures And Firm Performance
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Author : Adriana S. Cordis
language : en
Publisher:
Release Date : 2015
Capital Expenditures And Firm Performance written by Adriana S. Cordis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
It is well established that firms that undertake high levels of capital investment relative to their scale of operations, as measured by total assets, sales, or similar criteria, tend to have lower subsequent stock returns than firms with the opposite characteristic. Intuitively, this finding is consistent with the hypothesis that firms evaluate investment projects using hurdle rates that reflect expected stock returns, thereby inducing a negative cross-sectional correlation between realized stock returns and observed investment levels. We use a simple two-period model of firm investment to formalize this intuition, and show that the model predicts that the function that relates stock returns to investment is nonlinear, i.e., its slope varies with the level of investment. This prediction finds substantial support in the data. The evidence indicates that the slope of the investment function is negative at low investment levels, close to zero at intermediate investment levels, and negative at high investment levels. Our results, which are robust to the use of narrowly- and broadly-defined measures of capital investment, pose a challenge to the hypothesis that the negative correlation between investment and stock returns is attributable to some sort of overinvestment phenomenon.
