A Valuation Study Of Stock Market Seasonality And Firm Size
DOWNLOAD
Download A Valuation Study Of Stock Market Seasonality And Firm Size PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get A Valuation Study Of Stock Market Seasonality And Firm Size book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
A Valuation Study Of Stock Market Seasonality And Firm Size
DOWNLOAD
Author : Zhiwu Chen
language : en
Publisher:
Release Date : 2013
A Valuation Study Of Stock Market Seasonality And Firm Size written by Zhiwu Chen 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.
Existing studies on market seasonality and the size effect are largely based on realized returns. This paper investigates seasonal variations and size-related differences in cross-stock valuation distribution. We use three stock valuation measures, two derived from structural models and one from book/market ratio. With each measure, we find that the average level is the highest in midsummer and the lowest in mid-December. Furthermore, the valuation dispersion (or, kurtosis)across stocks increases towards the year end and reverses direction after the turn of the year, suggesting increased movements in both the under-and-overvaluation directions. Among size groups, small-cap stocks exhibit the sharpest decline in valuation from June to December and the highest rise from December to January. For most months, small-cap stocks have the lowest valuation among all size groups. In a typical month, small-cap stocks show the widest cross-stock valuation dispersion, meaning they are also the hardest to value. Overall, large stocks enjoy the highest level of valuation uniformity and are the least subject to seasonal valuation variations.
Stock Market Anomalies
DOWNLOAD
Author : Elroy Dimson
language : en
Publisher: CUP Archive
Release Date : 1988-03-17
Stock Market Anomalies written by Elroy Dimson and has been published by CUP Archive this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-03-17 with Business & Economics categories.
Firm Size Stock Return Seasonality And The Trading Pattern Of Individual And Institutional Investors
DOWNLOAD
Author : George Athanassakos
language : en
Publisher:
Release Date : 1998
Firm Size Stock Return Seasonality And The Trading Pattern Of Individual And Institutional Investors written by George Athanassakos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Consistent with U.S. evidence showing a significant January effect, Canadian stocks, both large and small, are found to exhibit a strong first quarter seasonal effect. Evidence appears to support the hypothesis that the behavior of institutional investors explains this effect to some extent for both large- and small-cap stocks. Individual investors seem to be the marginal traders whose trades affect the prices of small stocks in all but the first quarter. The findings have implications for market efficiency as well as for identifying the best times that portfolio managers and brokers aggressively approach potential customers.
Seasonal Stock Market Trends
DOWNLOAD
Author : Jay Kaeppel
language : en
Publisher: John Wiley & Sons
Release Date : 2008-12-22
Seasonal Stock Market Trends written by Jay Kaeppel 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 2008-12-22 with Business & Economics categories.
There is a seasonal bias to the stock market, and by paying attention to the seasonal market tendencies you can gain an edge in the stock market over the long haul. Seasonality offers a practical approach to investing and trading. What better way to learn how to employ seasonal systems than learning from Jay Kaeppel, a master in the analysis of seasonal trends? Kaeppel walks you through this phenomenon that continues to work consistently, providing you with his ultimate seasonal index to make the calendar work for you. Stock Market Seasonals provides a never-before-seen definitive guide that illustrates how to utilize a combination of four basic seasonal tendencies in order to maximize returns.
The Handbook Of Equity Market Anomalies
DOWNLOAD
Author : Leonard Zacks
language : en
Publisher: John Wiley & Sons
Release Date : 2011-08-24
The Handbook Of Equity Market Anomalies written by Leonard Zacks 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 2011-08-24 with Business & Economics categories.
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Seasonal Return Volatility And Firm Size
DOWNLOAD
Author : Kenneth Beller
language : en
Publisher:
Release Date : 1998
Seasonal Return Volatility And Firm Size written by Kenneth Beller and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
This paper reports evidence that the standard deviation of stock returns exhibits seasonal patterns. The seasonal patterns are considerably different between portfolios of different market value of equity stocks. January and August are the two most volatile months for the small decile portfolio while April and November are most volatile for the largest decile portfolio. Return variance anomalies have been modeled using different variations of the general autoregressive conditional heteroskedasticity (GARCH) model. We compare two methods to account for the seasonal differences in volatility between size portfolios in conditional heteroskedastic models. The first alternative specifies one month, one quarter and one year variance lags. The second alternative uses selected monthly dummy variables in the variance structure. Of the models tested, our results suggest that the best overall model is the EGARCH(1,1)-m with seasonal dummies. The GARCH-m model with seasonal lags performs well for portfolios of large market capitalization stocks. However, none of the models were able to account for the seasonality in volatility for large stocks and the models with variance lags failed to account for the seasonality for small stocks.
Security Market Imperfections In Worldwide Equity Markets
DOWNLOAD
Author : Donald B. Keim
language : en
Publisher: Cambridge University Press
Release Date : 2000-03-13
Security Market Imperfections In Worldwide Equity Markets written by Donald B. Keim and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-03-13 with Business & Economics categories.
The study of security market imperfections, namely the predictability of equity stock returns, is one of the fundamental research areas in financial modelling. These anomalies, which are not consistent with existing theories, concern the relation between stock returns and variables, such as firm size and earnings-to-price ratios, and seasonal effects, such as January and turn-of-the-month. This book provides the most complete and current account of work in the area. Leading academics and investment researchers have combined to produce a comprehensive coverage of the subject, including both cross-sectional and time series analyses, as well as discussing the measurement of risk and prediction models that have been used by institutional investors. The studies cover many worldwide markets including the US, Japan, Asia, and Europe. The book will be invaluable for courses in financial engineering, investment and portfolio management, and as a reference for investment professionals seeking an up-to-date source on return predictability.
Value Stocks Beat Growth Stocks An Empirical Analysis For The German Stock Market
DOWNLOAD
Author : Christian Schießl
language : en
Publisher: GRIN Verlag
Release Date : 2012-11-02
Value Stocks Beat Growth Stocks An Empirical Analysis For The German Stock Market written by Christian Schießl and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-11-02 with Business & Economics categories.
Master's Thesis from the year 2012 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,0, University of Bamberg, language: English, abstract: Based on a sample of German stocks listed at the Frankfurt stock exchange, the study investigated the ability of hedge portfolio formation structures, built of three value premium proxies (P/B, P/E, and DY), the size factor, and the technical momentum factor, to generate excess returns in the period 1992 to 2011. The P/B hedge portfolio yields an average return of 1.59 percent per month, the P/E hedge portfolio 0.664 percent, and a portfolio formation approach ranked on DY delivers a return of 0.839. The results of multivariate regressions favor the Fama-French three-factor model in order to explain expected stock returns.
The Valuation Of Shares And The Efficient Markets Theory
DOWNLOAD
Author : Michael Arthur Firth
language : en
Publisher:
Release Date : 1977
The Valuation Of Shares And The Efficient Markets Theory written by Michael Arthur Firth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977 with Capital assets pricing model categories.
Chinese Stock Markets A Research Handbook
DOWNLOAD
Author : Dongwei Su
language : en
Publisher: World Scientific
Release Date : 2003-01-07
Chinese Stock Markets A Research Handbook written by Dongwei Su and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-01-07 with Business & Economics categories.
The exponential growth of China's stock markets in the past decade has attracted global attention from academics and practitioners. The practitioner's interest in Chinese markets stems from corporations; investors and financial institutions foresee substantial benefits from investing in China in the long run. However, the academic literature on the development of securities markets and reform of state enterprises in China is still in its infancy and fragmented. This handbook aims to bridge that gap by presenting a wide spectrum of research in the forefront of financial applications. It integrates theory and practice with state-of-the-art statistical techniques and provides numerous insights into the main challenges confronting Chinese markets in the new millennium.