Three Essays On Information Volatility And Crises In Equity Markets
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Three Essays On Information Volatility And Crises In Equity Markets
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Author : Shane K. Clark
language : en
Publisher:
Release Date : 2015
Three Essays On Information Volatility And Crises In Equity Markets written by Shane K. Clark 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.
Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Efficiency And Anomalies In Stock Markets
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Author : Wing-Keung Wong
language : en
Publisher: Mdpi AG
Release Date : 2022-02-17
Efficiency And Anomalies In Stock Markets written by Wing-Keung Wong and has been published by Mdpi AG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-02-17 with Business & Economics categories.
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.
Essays In Financial Economics
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Author : Rita Biswas
language : en
Publisher: Emerald Group Publishing
Release Date : 2019-10-24
Essays In Financial Economics written by Rita Biswas and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-24 with Business & Economics categories.
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.
Advances In Quantitative Analysis Of Finance And Accounting
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Author :
language : en
Publisher:
Release Date :
Advances In Quantitative Analysis Of Finance And Accounting written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
Three Essays On Modeling Conditional Correlation
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Author : Kevin Sheppard
language : en
Publisher:
Release Date : 2004
Three Essays On Modeling Conditional Correlation written by Kevin Sheppard and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Analysis of covariance categories.
Selected Works Of Merton H Miller
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Author : Merton H. Miller
language : en
Publisher: University of Chicago Press
Release Date : 2002-06-02
Selected Works Of Merton H Miller written by Merton H. Miller and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002-06-02 with Business & Economics categories.
Widely regarded as one of the founders of modern corporate finance, Merton H. Miller was awarded a Nobel Prize in 1990 for his work in the theory of finance and financial economics. Selected Works of Merton H. Miller gathers together in two volumes a selection of Miller's most influential contributions over more than fifty years of active research. A common theme running throughout both volumes is Miller's conviction about the utility of market-based approaches to topics as diverse as dividend policy, bank regulation, the structure of securities markets, and competition between research universities and teaching colleges. Miller was perhaps best known for a series of highly influential papers he cowrote in the 1950s and 1960s with fellow Nobel laureate Franco Modigliani that advanced a set of capital structure theorems later dubbed the "M and M propositions." In brief, the M and M propositions state that the actions of investors, firms, and capital markets will cause the market value of a firm to be independent of its capital structure. In other words, a corporation's value depends on its investments in people, ideas, and physical capital goods and not on the mix of bonds, stocks, and other securities used to finance the investments. Four of these papers are reprinted here, together with important later work by Miller in macroeconomics, corporate capital structure, management science, asset pricing, and the economic and regulatory problems of the financial services industry. Diverse and innovative, the papers in Selected Works of Merton H. Miller will interest students and practitioners of economics, finance, and business, as well as policymakers responsible for market regulation.
International Competitiveness In Financial Services
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Author : Marvin H. Kosters
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
International Competitiveness In Financial Services written by Marvin H. Kosters and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
financial markets suggests that factors such as differences in capital requirements, limi tations on size or on the range of financial activities in which firms can engage, govern ment guarantee arrangements for deposits or payments, and reporting or disclosure requirements can have important effects on the efficiency of industrial and commercial firms and thus on the international competitive positions of major sectors of the U.S. economy. Regulatory and tax policies must therefore take into account effects on inter national competitive positions in addition to domestic concerns. The articles in this issue analyze differences in market organization and regulation across countries and examine how efficiency in producing financial services is influenced by these differences. These articles were presented and discussed at a conference sponsored by the Amer ican Enterprise Institute in Washington, D.C., on May 31 and June 1, 1990. This confer ence on International Competitiveness in Financial Services brought to the attention of Washington policy officials these analyses by leading scholars in finance. Publication of these studies and critiques in the Journal of Financial Services Research is intended to stimulate further interest in research on these important issues.
Stochastic Volatility In Financial Markets
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Author : Antonio Mele
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Volatility In Financial Markets written by Antonio Mele and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.
Three Essays On The Prediction And Identification Of Currency Crises
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Author : Pauline Kennedy
language : en
Publisher:
Release Date : 2003
Three Essays On The Prediction And Identification Of Currency Crises written by Pauline Kennedy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Financial crises categories.
Three Essays On Empirical Finance
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Author : Tse-Chun Lin
language : en
Publisher: Rozenberg Publishers
Release Date : 2009
Three Essays On Empirical Finance written by Tse-Chun Lin and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.