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1
Zevallos, Mauricio, and Carlos del Carpio. "Metal Returns, Stock Returns and Stock Market Volatility." Economía, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/118122.
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Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comovements between mining stock returns and metal returns. This research is a first attempt to explore these issues using international metal prices and the prices of the most important mining stocks on the BVL and the IGBVL index. To achieve this, we use univariate GARCH models to model individual volatilities, and the Exponentially Weighted Moving Average (EWMA) method and multivariate GARCH models with time-varying correlations to model comovements in returns. We found that Peruvian mining stock volatilities mimic the behavior of metal volatilities and that there are important correlation levels between metals and mining stock returns. In addition, we found time-varying correlations with distinctive behavior in different periods, with rises potentially related to international and local historical events.Dada la amplia participación de acciones mineras en el mercado de valores peruano, la Bolsa de Valores de Lima (BVL) resulta un escenario ideal para explorar tanto el impacto de los ren- dimientos de acciones de metales en los rendimientos de las acciones mineras y la volatilidad del Mercado de valores, así como los co-movimientos entre los rendimientos de las acciones mineras y los rendimientos de los metales. Este estudio es un primer intento en explorar estos temas usando precios internacionales de los metales y los precios de las acciones mineras más importantes de la BVL y del índice IGBVL. Para conseguir esto, hemos usado modelos GARCHunivariados para modelar las volatilidades individuales, y el método de Media Móvil Ponderada Exponencialmente (EWMA) y modelos GARCH multivariados con correlaciones de variantes en el tiempo a modelos de co-movimientos en rendimientos. Hemos encontrado que las volatilidades imitan el comportamiento de las volatilidades de los metales y que hay importantes niveles de correlación entre los metales y el retorno de las acciones mineras. Adicionalmente, encontramos correlaciones variantes en el tiempo con un comportamiento distintivo en periodos diferentes, el que aumenta potencialmente en relación con eventos históricos internacionales o nacionales.
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Kunze, Karl-Kuno, and Hans Gerhard Strohe. "Antipersistence in German stock returns." Universität Potsdam, 2010. http://opus.kobv.de/ubp/volltexte/2010/4558/.
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Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction.
The pertaining integrated process exhibits a smaller range – prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.
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Brookins, Benjamin David Lee. "Investor sentiment and stock returns." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/88379.
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Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2014.Title as it appears in MIT degrees awarded booklet, February 2014: Sentiment shocks and stock returns. Cataloged from PDF version of thesis.
Includes bibliographical references (page 45).
Since Keynes coined the term animal spirits economists have been debating what the real impact human psychology is on economic variables. The major challenge in identifying these effects is the close ties between negative (positive) emotions and poor (good) future real outlook. I exploit a historical weighting anomaly in a widely cited US stock index to examine the impact of psychology on stock returns. I first argue this is a plausibly exogenous shock, and compare this measure to other measures found in the literature. I find that the measure doesn't seem to relate to previous proxies for investor sentiment, however, when I examine survey measures of interest rates and consumer confidence we find a relationship. I then examine how sentiment affects the cross section of stock returns, consistent with predictions I find that small stocks earn low subsequent returns when sentiment is low, and high returns when sentiment is high.
by Benjamin David Lee Brookins.
S.M. in Management Research
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BARADARANNIA, Mohammadreza. "Liquidity And Expected Stock Returns." Thesis, The University of Sydney, 2013. http://hdl.handle.net/2123/9367.
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Liquidity is among the primary attributes of many investment plans and financial instruments. In the Financial Services industry, portfolio managers tailor portfolios to fit their clients’ investment horizons and liquidity objectives and consider illiquidity costs in managing their portfolios. The impact of illiquidity on expected stock returns has been the centre of many studies over the past decade. This thesis employs a low-frequency proxy for the effective spreads, recently developed by Holden (2009) and examines three research problems in liquidity-equity pricing. In research problem 1, I re-examine the liquidity effect on expected stock returns in the NYSE over the period 1926–2008, the pre-1963 period, for which there is a lack of research, and the post-1963 period. The results from the entire sample of 1926–2008 show that expected returns increase with the stock level illiquidity. However, illiquidity level has explanatory power in the cross-sectional variation of expected stock returns only over the post-1963 period, and is, both economically and statistically, insignificant for the whole sample and the pre-1963 period. These findings are robust after taking into account various characteristics and risk controls. On the other hand, evidence from the pre-1963 sample suggests that the systematic market liquidity risk is significant in association with cross-sectional expected stock returns. Nevertheless, the most accurate evidence is provided over the entire sample. The analysis over the whole period of 1926–2008 shows that the systematic liquidity risk plays a significant role in the cross-sectional variation of expected stock returns. In research problem 2, I investigate whether the effect of liquidity on equity returns can be attributed to the liquidity level, as a stock characteristic, or a market-wide systematic liquidity risk. I develop a CAPM liquidity-augmented risk model and test the characteristic hypothesis against the systematic risk hypothesis for the liquidity effect. I find that the two-factor systematic risk model explains the liquidity premium. The hypothesis that the liquidity characteristic is compensated irrespective of liquidity risk loadings is not supported in the data. This result is robust over 1930–2008 data and subsamples of pre-1963 and post-1963 data both in the time-series and the cross-sectional analysis. The results demonstrate that the liquidity augmented CAPM approach is the correct way to incorporate the liquidity risk. In research problem 3, I explore liquidity costs as the explanation for the idiosyncratic volatility premium documented in the literature. Liquidity costs may affect the estimation of idiosyncratic volatility through the microstructure-induced noise in closing equity returns. I eliminate the microstructure influences from the returns and re-estimate the idiosyncratic volatility. I show that liquidity can explain the pricing ability of idiosyncratic volatility reported in the literature for value-weighted portfolios after controlling for the three Fama–French factors and also the Carhart momentum factor. The findings are robust in both the regression and double sorting portfolio analyses. The results from the equally-weighted portfolios indicate that idiosyncratic volatility cannot predict returns ahead either before or after correcting for the microstructure-induced bias. This research provides new empirical evidence which can assist academics, portfolio managers and practitioners to develop a broader understanding of the impact of liquidity costs on stock returns, and to incorporate liquidity in their pricing models.
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Abhakorn, Pongrapeeporn. "The cross-section of stock returns." Thesis, University of York, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.428059.
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Rytchkov, Oleg. "Essays on predictability of stock returns." Thesis, Massachusetts Institute of Technology, 2007. http://hdl.handle.net/1721.1/42333.
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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2007.Includes bibliographical references.
This thesis consists of three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and expected dividends are unobservable, I use the Kalman filter technique to extract them from the observed history of realized dividends and returns. The suggested approach explicitly accounts for the possibility that dividend growth can be predictable. Moreover, it appears to be more robust to structural breaks in the long-run relation between prices and dividends than the conventional OLS regression. I show that for aggregate stock returns the constructed forecasting variable provides statistically and economically significant predictions both in and out of sample. The likelihood ratio test based on a simulated finite sample distribution of the test statistic rejects the hypothesis of constant expected returns at the 1% level. In the second chapter, I analyze predictability of returns on value and growth portfolios and examine time variation of the value premium. As a major tool, I use the filtering technique developed in the first chapter. I construct novel predictors for returns and dividend growth on the value and growth portfolios and find that returns on growth stocks are much more predictable than returns on value stocks. Applying the appropriately modified state space approach to the HML portfolio, I build a novel forecaster for the value premium. Consistent with rational theories of the value premium, the expected value premium is time-varying and countercyclical. In the third chapter, based on the joint work with Igor Makarov, I develop a dynamic asset pricing model with heterogeneously informed agents.
(cont.) I focus on the general case in which differential information leads to the problem of "forecasting the forecasts of others" and to non-trivial dynamics of higher order expectations. I prove that the model does not admit a finite number of state variables. Using numerical analysis, I compare equilibria characterized by identical fundamentals but different information structures and show that the distribution of information has substantial impact on equilibrium prices and returns. In particular, asymmetric information might generate predictability in returns and high trading volume.
by Oleg Rytchkov.
Ph.D.
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Setiono, Bambang. "Financial statement information and stock returns." Thesis, University of Manchester, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629949.
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This research investigates the relation between stock returns and financial statement information. There are two main objectives of this research. The first objective is to investigate the ability of financial statement information to predict stock returns. The second objective is to investigate the degree to which the UK stock market anticipates or reacts with a delay to earnings, book value, and other nonearnings information. There are two prediction analyses performed in this study: indirect prediction of stock returns via earnings and direct prediction of stock returns. Using the indirect prediction approach, this research obtains trading profits (abnormal returns) between 7.16 percent and 19.71 percent for a 24 months holding period, depending on the specific measure of abnormal return and weighting scheme involved. Using the direct prediction approach, this study obtains trading profits between 2.02 percent and 3.43 percent for 12 months holding periods and between 2.42 percent and 5.01 percent for 24 months holding periods. Even though the direct prediction approach earns smaller and less significant trading profits, size and book-to-market effects as well as a control for time varying risk cannot explain the abnormal returns from the trading strategy. In contrast, controlling for time varying risk and size might explain the abnormal returns obtained from the indirect prediction approach. This research finds evidence of market anticipation as well as delayed reaction to earnings, book value, and other nonearnings information. The degree of market anticipation and delayed reaction to accounting information are related to market capitalization. There is more evidence of market anticipation to earnings from large firms than to earnings from small firms. On the other hand, there is more evidence of market anticipation to book values from small firms than to book values from large firms. In general, this research finds the degree of delayed market reaction to nonearnings information is higher than the degree of market anticipation of nonearnings information. However, by and large, the delayed market reaction to this nonearnings information is observed more for small firms.
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Klähn, Judith. "The predictability of German stock returns /." Wiesbaden : Wiesbaden : Deutscher Universitäts-Verlag ; Gabler, 2000. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008969264&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Lin, Gang. "Nesting regime-switching GARCH models and stock market volatility, returns and the business cycle /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9906497.
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Kruger, Theunis Lodewicus. "Dividend stability, dividend yield and stock returns on the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52241.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: This study investigates the relationship between dividends and stock returns on the Johannesburg Stock Exchange (JSE). In this mini study project a regression model is used to investigate the relationship between dividend yield portfolios and stock returns. Each of these dividend yield portfolios are further subdivided into dividend stability portfolios which together with a regression model are used to investigate the relationship between dividend stability and stock returns on the JSE. It follows from this study that there is a non-linear relationship between the risk-adjusted returns and dividend yields. A significant finding of this study is the fact that there is an inverse linear relationship between the dividend yield and average stock returns for dividend paying portfolios on the JSE. Investors on the JSE appear to place a premium on capital gains as opposed to dividends. It follows from this study that there is an inverse correlation between dividend stability and the risk-adjusted return with the beta coefficient increasing as dividend stability decreases. Within a particular yield portfolio, it is evident that higher systematic risk is associated with shares with unstable dividend yielding histories. It is clear from the results that this dividend signalling is not limited to high yielding stocks alone. As dividends are not entirely controlled by managers, a low stable dividend yield could signal a low exposure to systematic risk to outsiders.
AFRIKAANSE OPSOMMING: In hierdie studie word die verband tussen dividende en aandeelopbrengste op die Johannesburgse Effektebeurs ondersoek. 'n Regressiemodel is in hierdie mini werkstuk gebruik om die verwantskap tussen dividend opbrengsportfolios en aandeelopbrengs te ondersoek. Elk van hierdie opbrengsportfolios is vervolgens verder verdeel in dividendstabiliteitsportfolios wat tesame met 'n regressiemodel gebruik is om die verband tussen dividendstabiliteit en aandeelopbrengs te bepaal. Dit volg uit hierdie studie dat daar 'n nie-lineêre verband tussen risiko aangepaste aandeelopbrengs en dividendopbrengs bestaan. 'n Noemenswaardige bevinding is die inverse lineêre verwantskap tussen dividend en gemiddelde aandeelopbrengs vir dividend betalende aandele op die Johannesburgse Effektebeurs. Dit blyk asof beleggers op die Johannesburgse Effektebeurs 'n premie plaas op kapitaalgroei ten koste van dividendopbrengs. Dit volg ook uit hierdie studie dat daar 'n inverse korrelasie is tussen dividendstabiliteit en risiko aangepaste aandeelopbrengs met die beta koëffissiënte wat toeneem soos dividendstabiliteit afneem. Binne 'n spesifieke dividendopbrengsportfolio is dit duidelik dat hoër sistematiese risiko geassosieer word met onstabiele historiese dividendopbrengste. Dit volg uit die resultate dat hierdie inligtingoordrag deur middel van dividende, nie beperk is tot hoë dividendopbrengs aandele nie. Aangesien dividende nie uitsluitlik deur bestuurders beheer word nie, kan 'n aandeel met lae maar stabiele dividendopbrengs, 'n boodskap van lae blootstelling aan sistematiese risiko aan die mark oordra.
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Yang, Siyi. "A Study of Swedish Mortgage Interest Rates and Swedbank Stock Returns : Time-varying Mortgage Margins and Stock Returns." Thesis, KTH, Bank och finans, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-109825.
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How banks set the mortgage interest rates and the sizes of the mortgage margins they obtain from making mortgage loans always attract attention from households, government authorities, politicians and market actors. This thesis studies the relationship between Swedish mortgage interest rates and mortgage lending institutions’ costs of obtaining funds, and how the gross margins of mortgage interest rates influence the banks stock returns. In general, banks’ mortgage margins are correlated with their funding costs, which are typically reflected in the yields of mortgage bonds (covered bonds), interbank rates (STIBOR) and the repo rate. How-ever the correlations change over time and sometimes the mortgage margins are relatively low and sometimes relatively high. Since mortgage loans play an important role in banks’ lending business, the related interest rate margins should influence banks’ profitability and therefore the performance of their stock. Everything else equal, higher margins should result in higher stock returns. I have collected and constructed a time-series data set based on Swedbank mortgage rates, Swedbank stock prices, yields on government bonds, yields on mortgage bonds, STIBOR interest rates, and repo rate. Both descriptive analysis and econometric models are applied to analyze the time-varying characteristics of the financial data. The thesis covers unconditional correlation (Pearson correlations), and conditional correlation through applying DCC-GARCH models. Besides, ARCH and GARCH models are employed to measure the ARCH and GARCH effects of the spread (premium) terms between interest rates. The results from descriptive analysis and econometric models present the tight relationships between the mortgage interest rates and the corresponding funding costs, and show the posi-tive but low correlations between mortgage margins and bank’s stock returns. The results also support the existence of time-vary volatilities (risk) of spread (premium) terms and quantify the growth of return for the certain increase in risk taking.
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MacDonald, John Allan. "Stock returns' variance behavior surrounding stock splits: evidence from trade-by-trade data 1978-1985." Diss., Virginia Polytechnic Institute and State University, 1987. http://hdl.handle.net/10919/49855.
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Accepted financial theory holds that stock splits provide no wealth benefits to stock-holders. The corporate management view is that stock splits add value by placing the stock in a more liquid price range. Empirical explanations of excess returns near the split rely principally upon an information effect. Other findings are that (1) an unexplained, sustained jump in returns' variance occurs at the split, and (2) there appears to be a coincidental decrease in liquidity, not an increase.
Daily returns from CRSP and daily and intradaily returns and daily trading volumes and price change information from trade-by-trade data are used to examine the returns variance increase and any connection it may have with any liquidity change. Binomial probability comparisons of returns' variance measures each side of the split ex-date are used to examine the variance change and liquidity change phenomena. T-tests are also used to examine the mean-variance change and the possible change in several liquidity measures. Linear regression is used to detect impact of the general market variance level, firm-specific variables, and microstructure measures, and liquidity measures upon the returns’ variance change. Findings include: (1) the variance increase is significant and exhibits a firm size effect and is affected by the previous history of splits use and. dividend payout, (2) the increase is primarily related to the price level adjustment and changes in the liquidity measures, (3) a slight change in the demand to hold as measured by the percentage of the firm traded takes place for firms with an increase in variance (4) the bid-ask spread decreases, but increases relative to the new price. Stock splits with increased returns’ variance have significantly different liquidity measures from splits where the variance declined.Ph. D.
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Kayacetin, Volkan Nuri. "Cross-section Of Average Stock Returns On The Istanbul Stock Exchange." Thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/1088756/index.pdf.
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The aim of this master thesis is to examine the explanatory power of some popular company-specific factors for the cross-section of average stock returns in the Istanbul Stock Exchange (ISE) for a period from 1992 to 2001. Factors tested in this thesis are firm size (MVE), book-to-market value of equity (BMR), debt-to-equity ratio (DER), sales-to-price ratio (SPR), gross profit-price ratio (GPPR) and dividend yield (DY).
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Wong, Tek Man. "Seasonality in daily bond and stock returns." Thesis, University of Macau, 2006. http://umaclib3.umac.mo/record=b1637041.
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Moorman, Theodore Clark. "Corporate governance and long-term stock returns." Texas A&M University, 2005. http://hdl.handle.net/1969.1/2341.
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Extant literature finds that long-term abnormal stock returns are generated by a
strategy based on corporate governance index values (Gompers, Ishii, and Metrick
2003). The result is inconsistent with efficient markets and suggests that information
about governance is not accurately reflected in market data. Control firm portfolios are
used to mitigate model misspecification in measuring long-term abnormal returns.
Using a number of different matching criteria and governance indices, no long-term
abnormal returns are found to trading strategies based on corporate governance. The
effect of a change in governance on firm value is mixed, but some support is found for
poor governance destroying firm value. These results have a number of implications for
practitioners, researchers, and policy makers.
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Luan, Xinyang. "Essays on international stock and bond returns." Thesis, University of Essex, 2016. http://repository.essex.ac.uk/17746/.
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This thesis consists of three chapters on the dynamics of asset returns, with a focus on global stocks and bonds. The first chapter investigates the contagion effect between the European stock and bond markets, and between the Greek bond market and other European bond markets. The perspectives of nonlinear contagion effects and the predictability of contagion are also investigated in the first chapter. The main findings are as follows. Firstly, the European sovereign debt crisis generally leads to contagion effects between domestic stock and bond markets, and this is more likely in relatively smaller countries. The financial crisis had generally led to a higher level of flight-to-quality, whilst this has also been found over the tranquil period, especially in the relatively larger countries. Secondly, the contagion effect between the Greek and other European bond markets started appearing at least four months earlier than the beginning of the European debt crisis. Thirdly, strongly significant copula estimation results reinforce the findings of the existence of nonlinear contagion effect in the Eurozone area. In addition, the information asymmetry carried by the counterpart of the GJR model significantly increases the ability of the Student-t copula to detect changes of dependence structure. Finally, conditional volatility as an explanatory variable is found to be statistically significant in explaining and predicting the contagion across at least five countries, and the level of exchange rate shows its predictive power in contagion for at least four countries. The interest rate (the level of risk free rate for the Eurozone area) is found to have the weakest predictive power amongst all the explanatory variables considered. The second chapter examines the bi-directional relationships between stock returns and trading volume, and between trading volume and volatility. By using the nonlinear Granger causality test, we find the existence of both bi-directional relations between stock returns and trading volume, and between trading volume and volatility. Further to this, from limiting the sample period to the widely known tranquil period (1994 to 2006), an interesting result is found. In comparison to the full sample test, statistically significant nonlinear results are also observed from the tranquil period. However, the nonlinear feedback from stock returns to trading volume, and the nonlinear feedback from volatility to trading volume are shown to be much stronger during the tranquil sample period than the other way round. The third chapter evaluates the effects of fundamental factors on international stock returns. Dividend, earnings and interest rate are considered as fundamental factors. The results from the international stock markets are mixed: some markets see dividends playing a more significant role in explaining the variation of stock returns, and some markets see earnings playing a more significant role. However, neither dividend nor earnings can predict the returns changes in a few markets. In order to investigate this problem, we take one step further through estimating the effects of changes of interest rates upon dividend and earnings discount models. However, our analysis only finds a slight influence there. This suggests that other unexamined factors are more important, consequently, further research is required for clarification.
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Baudus, David de. "On international monetary environment and stock returns." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape3/PQDD_0016/MQ47806.pdf.
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Ding, Wenjie. "Investor sentiment and corss-sectional stock returns." Thesis, Cardiff University, 2018. http://orca.cf.ac.uk/117297/.
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This thesis consists of three essays on investor sentiment and the cross-sections of stock returns. The first essay extends Deling, Shieifer abd Waldman's (1990) noise trader risk module into a module with multiple risky assets to show the asymmetric effect of sentiment in the cross-section. Guided by our module, we also find that the effect of investor sentiment can be decomposed into long and short run components. The empirical tests in the first essay of the thesis present a negative relationship between long-run sentiment component and subsequent stock returns and a positive association between the short run sentiment and contemporaneous stock returns. The second essay explores a previously unexamined sentiment channel through which technical analysis can add value. We construct a daily market TA sentiment indicator from a spectrum of commonly used technical trading strategies. We find that this indicator significantly correlates with other popular sentiment measures. An increase in TA sentiment indicator is accompanied by high contemporaneous returns and predicts high near-term returns, low subsequent returns and high crash risk in the cross-section. We also design trading strategies to explore the profitability of our new TA sentiment indicator. Our trading strategies generate remarkable and robust profits. The third essay focusses on exploring the profitability of trading strategies based on Implied Volatility indicator (VIX) from the sentiment perspective. Our trading strategies involve holding sentiment-prone stocks when VIX is low and sentiment-immune stocks when VIX is high. The shifting asset allocation strategies are based on Abreu and Brunnermeier’s (2003) delayed arbitrage theory and the asymmetric effect of investor sentiment in the cross-section. We find sentiment-prone stock have larger one-day forward retunes following high sentiment and vice versa. Our trading strategies generate substantial higher returns that benchmark portfolios, and the excess returns are not subsumed by well-known risk factors or transaction costs.
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Salhin, Ahmed. "Managerial sentiment, investor sentiment and stock returns." Thesis, Heriot-Watt University, 2017. http://hdl.handle.net/10399/3375.
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It is well established that investor sentiment plays a vital role in global financial markets. However, the sentiment of other economic agents has received less attention in the behavioural finance literature. This thesis aims to address the impact of managerial sentiment on the UK stock market. It investigates the performance of managerial sentiment in predicting stock returns relative to investor and consumer sentiments. In addition, it examines how sentiment is transmitted from managers to investors and whether the response of investor sentiment is asymmetric towards positive versus negative managerial sentiment. Finally, this thesis provides a comparative study of traditional and sentiment-augmented asset pricing models. Using monthly data from January 1985 to December 2014 and a sample of consumer and business confidence indicators provided by the European Commission, the first chapter provides novel evidence on how managerial and consumer sentiment indicators affect stock returns. The findings show no support for consumer confidence as a predictor of stock returns. However, managerial sentiment shows a significant impact on aggregate market and sector return indices. Furthermore, results indicate that parameter estimates for sector groupings are not consistent, implying that the sentiment-return relationship differs across sectors and that parameters are sensitive to industry characteristics. In the second chapter, the investigation extends to assess the long and short run dynamics of the sentiment transmission from managers to investors. Using threshold autoregressive (TAR), momentum threshold autoregressive (MTAR), and asymmetric threshold vector error correction (ATVECM) models, the findings provide evidence on the impact of managerial sentiment on investor sentiment in support of the Catering Theory. Results show that investors' sentiments converge with long-run equilibrium relationships in response to positive rather than negative shocks in managerial sentiment. Furthermore, findings indicate that investor sentiment reacts negatively to positive managerial sentiment with a delay of four months, suggesting an over-confidence in managers' expectations of their future business outcomes. Finally, the third chapter examines the ability of managerial and investor sentiment to explain cross-sectional variation in stock returns. It compares the performance of CAPM, Fama & French (1993) Three factor model and Carhart (1997) four factor model to sentiment-augmented asset pricing models, which incorporate measures of both managerial and investor sentiment. The findings indicate that inclusion of sentiment factors significantly adds to the power of traditional asset pricing models to explain the cross-sectional variation in stock returns. In addition, results show that managerial sentiment outperforms investor sentiment in explaining three out of four test portfolios formed on size, book-to-market, volatility and size/momentum factors. Moreover, findings show that managerial sentiment exhibits stronger prediction power for size premium over short (1-3 months) forecasting horizon relative to investor sentiment. However, value premiums respond to changes in managerial and investor sentiment over the relatively longer time of 12 months. In addition, the investigation failed to find any significant relationship between sentiment indices and momentum premium. This study has several implications for empirical researchers, practitioners and policy makers. It provides academics who are concerned with the empirical tests of asset pricing models with new insights on how the inclusion of managerial sentiment impacts the performance of longer term investigated models. For practitioners, our findings suggest that managerial sentiment and its impact on sector returns provide new opportunities for enhancing trading as well as asset allocation strategies. In developing investment strategies, practitioners may consider sectors that are more or less prone to sentiment in response to investor risk preferences. In addition, results on sentiment-augmented asset pricing models may be of interest to regulators who are concerned with the estimation of businesses' cost of capital when pricing public services.
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Collett, Nick. "Accounting and environmental determinants of stock returns." Thesis, University of Manchester, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631707.
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Significant prior work exists in both the macroeconomics field and in finance and accounting into determinants of stock returns, although very few studies have tried to link both types of information together. This research seeks to bridge that gap. Seven macroeconomic variables and 15 accounting identities are hypothesised to explain stock returns, using a stepwise multiple regression procedure. Three macrovariables, GDP, real interest rates, and an exchange rate variable, together with four accounting variables are found to explain 3 month returns in an estimation sample. The results are confirmed in a holdout sample, which has similar industry and size characteristics. When the same variables are forced into equations for longer time periods, it is found that the variables are still influential for up to 12 months. An alternative specification, dealing explicitly with systematic risk through beta, shows that similar macroeconomic data, and five accounting variables, explain 3 month abnormal returns. Again results are confirmed in the same holdout sample. A second hypothesis proposes that the explanatory power of the accounting data may be enhanced by conditioning the accounting variables upon the macroeconomic variables in turn. For example, gearing might be more influential in explaining stock returns when real interest rates are historically high than when they are low. A new method, within the OLS tradition is used to model conditionality, and this is tested on randomly generated data in a series of simulations. Results show that a number of conditional relationships improve the explanation of both raw returns and abnormal returns. Nominal contracting theories are therefore supported and investors are clearly shown to interpret value relevant accounting information according to the macroeconomic circumstances.
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Wang, Sin-Huen, and 王薪惠. "The Relationship between Return Dispersion and Stock Index Returns." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/72s93p.
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碩士健行科技大學
財務金融系碩士班
103
This study explores whether the return dispersion could as a powerful factor in asset pricing model, and aim at index component stocks of return, including Taiwan 50 Index, medium 100 index, financial and insurance index, electronic index in 2000-2014 years as an sample. Then calculate return dispersion and add it into CAPM and Fama and French three-factor model and GARCH model, to examine its influence and explain ability to the models. The results found that return dispersion as factor in asset pricing model, indeed have significant influence and explain ability, besides, the results of study express return dispersion also can forecast future trend for stock index. Consulting Fama and French(1993) to constructing six portfolio, and we find while regression analyzing, that the model can offer extra explanation ability to the regression model after add to value at return dispersion factor. Express after add to the value at return dispersion factor, the expected stock index return enabling us to be more accurate. To the end, this means the return dispersion factor at the study of asset pricing have representative status.
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Ho, Po-Hsin, and 何柏欣. "Industries and Stock Returns." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/35746723314826281144.
Full textAbstract:
碩士國立中央大學
財務金融研究所
92
We investigate the industry aspect of cross-sectional stock returns from a few different angles. First, we test the implied returns which are related to firms of the same industry in a CAPM world. The empirical results suggest that the implied return cannot subsume the size and book-to-market equity ratio (BM hereafter) effects. Second, we examine the within- and across-industry components based on the characteristic model. The empirical results show that both the within-industry component and the across-industry component affect the stock returns. However, the difference between the within-industry component and the across-industry components are not statistically significant. Third, we extract five industry factors from the industry portfolios and examine the explanatory power of the industry factors. We find that the industry factors can provide additional explanatory power beyond size and BM, but the significance of size and BM cannot be subsumed by the industry factors. Finally, based on the prospect theory, we further investigate the asymmetric relation between return and firms' characteristics (such as size and BM) using industry median as a reference point. The empirical results reveal that, there exists an asymmetric relation between return and size and BM. Additionally, the asymmetric effect cannot be explained by the characteristics of firms' past operating performance.
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Te, Wang Yao, and 王耀德. "The Relationship Between Stocks Valuation Models and Stock Returns." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/sqztt8.
Full textAbstract:
碩士國立高雄應用科技大學
金融資訊研究所
102
This study used Peter Lynch Evaluation method, calculate a stock's valuation of prices, with the price of a stock price, if the appraisal price is less than the market price, you can consider investing in the underlying, even the proposal to amend the methods of evaluation, such as the Peter Lynch Evaluation method in the ratings for the "cheap" mode for optional unit is convinced that with its profitable investment effects; but when evaluating the price closer to the market price of stocks, approach is not to buy into, because profits will be greatly discounted the possibility of. Announcement effects of dividend yield, will become the Peter Lynch method added to effect, but was reduced to stock market investing with an effect due to ex-dividend income and investors do not want to participate in the ex-dividend income to form the selling pressure. Peter Lynch evaluation method and net rate of market prices for all effects. When a unit financing balance increases, it is inappropriate to approach investing in the stocks, in contrast, are advised to approach investing in the shares when stock when margin balances increases are advised to approach investing in the stocks, on the contrary, it is inappropriate to approach investing in the stocks. Investment in the three major legal interpretation, the study found that investment trust industry to invest mining higher speculative element, is a short-short corporate and direction of foreign capital and investment dealers trading is the most direct effect on the price of appraisal or market changes, and are directly related.
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Wang, June-Te, and 王榮得. "The Impact of Stock Repurchase On Stock Returns." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/92539949489270501558.
Full textAbstract:
碩士大葉大學
企業管理學系碩士班
103
This study investigates the impacts of stock repurchase on the short-term and long-term stock returns. The results indicate that the announcement of stock repurchases leads to short-term and long-term abnormal stock returns. The market reaction to repurchasing announcement is lagged and the firm is also under-valued. Moreover, this study examines whether the stock repurchases protect the stock prices as facing the global financial crisis in 2008. The result supports the hypothesis of stock price protection. Finally, this paper examines the factors which contribute to the abnormal stock returns by conducting a regression analysis. In the short run, small firms and firms with high institutional ownership are more likely to generate the abnormal returns. In the long run, firms with high book-to-market ratios are more likely to have abnormal returns.
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Ni, Xiaoyan. "Stock option returns, a puzzle /." 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3269992.
Full textAbstract:
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2007.Source: Dissertation Abstracts International, Volume: 68-07, Section: A, page: 3069. Adviser: Allen M. Poteshman. Includes bibliographical references (leaves 49-52) Available on microfilm from Pro Quest Information and Learning.
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Lin, Tse-Feng, and 林澤峰. "Information Uncertainty and Stock Returns." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/73029361028643568695.
Full textAbstract:
碩士國立臺灣大學
國際企業學研究所
94
There are many substantial evidences of short-term stock price continuation, the prior literatures often attribute it to investor behavioral biases, for example, the underreaction to new information in the market. If short-term stock price continuation is due to investor behavioral biases, we should see the greater stock price anomalies under greater information uncertainty. As a result, the greater information uncertainty is expected to generate relatively higher future returns following good news and relatively lower future returns following bad news. This paper investigates the effects to stock price continuation and cross-section returns under information uncertainty.
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Chang, Shih Hsien, and 張世賢. "Liquidity and Expected Stock Returns." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/31035861119736779928.
Full textAbstract:
碩士國立交通大學
統計學研究所
98
In this paper, we form 10 portfolios based on the predicted liquidity betas and examine that stocks’ “liquidity betas,” the sensitivities to innovations in aggregate liquidity, is important in asset pricing. We find stocks with higher liquidity betas contribute to higher expected returns using Pastor and Stambaugh (2003)’s liquidity measure and GMM estimation. Between January 1966 and December 2002, the average return on stocks with high liquidity beta exceeds that for stocks with low liquidity beta by 6.29 percent per year, adjusted for exposures to the market return, size, value (Fama-French Factors) and momentum factor.
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Tsai, Pei-ju, and 蔡佩儒. "Institutional Ownership and Stock Returns." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/67527015719714228285.
Full textAbstract:
碩士國立中央大學
財務金融研究所
97
Firms with higher institutional ownership (hereafter IO) are those whose managers are more efficiently monitored and whose information is more accessible to investors. Hence, institutional ownership can be viewed as a proxy for a risk factor. The risk of firms with high institutional ownership is predicted to be low, and a low compensation required by investors. We find that institutional ownership is negatively related to returns, consistent with efficient-monitoring and information transparency hypotheses. After controlling for the size effect, however, IO lacks independent explanatory ability, suggesting that IO does not provide significant explanatory power beyond the size effect.
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Chiu, Chu-fang, and 邱菊芳. "Dividend Yield and Stock Returns." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/28257760636425803885.
Full textAbstract:
碩士國立高雄第一科技大學
財務管理研究所
103
In this study, we adopt a sample of Taiwan listed firms that declared dividend payment between2003 and 2013 to explore whether high dividend yield stocks canbe profitable investment targets.The results indicate that, for all firms in the sample, investors buy and hold dividend-declared stock yield a six months cumulative abnormal returns of -4.30%. However, when investors buy and hold stocks with dividend yield of 5%(or 9%), the cumulative abnormal returns will reach 4.23% (or 7.19%) in six months period, or annual rateof 8.46% (or 14.38%).Research findings support that high dividend yield stocks is investor''s choice for profitability targets. In addition, we find that investors will get higher six-months return through buy-and-hold strategy on "Non-Electronic Industry High Dividend Yield Stocks" than on "Electronic Industry High Dividend Yield Stocks". Keywords: dividend yield, CAR ,event study
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Pereira, Fábio Miguel Sousa. "Reputation and stock abnormal returns." Master's thesis, 2016. http://hdl.handle.net/10400.8/2334.
Full textAbstract:
A relação entre reputação organizacional e desempenho nanceiro das empresas tem
sido alvo de estudo ao longo dos últimos anos. Empresas com elevados padrões de
reputação apresentam maior probabilidade de manter um elevado e sustentado desempenho
ao longo do tempo. Seguindo esta linha de pensamento, acionistas que investem
em empresas com elevada reputação exigem menos rendibilidades, uma vez que, à
partida, o risco a que estão sujeitos é menor.
Com o intuito de estudar se empresas com elevada reputação, medida pela presença
no ranking de 2015 World's Most Admired Companies da revista Fortune, rejeitam a
hipótese das rendibilidades anormais serem iguais a zero, garantindo, por sua vez, um
risco inferior, foram utilizados dados em painel que incluem 24,486 observações, entre
26 de dezembro 2014 e 1 de janeiro 2016, de uma amostra total de 462 empresas norte
americanas cotadas nos índices bolsistas NYSE e NASDAQ.
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Lee, Jia-Ying, and 李佳穎. "Stock Returns and Earnings Changes." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/82992369808473626266.
Full textAbstract:
碩士國立交通大學
管理科學系所
95
We study the stock reaction to aggregate earnings news. We use three methods which are aggregate, equal-weighted and value-weighted to measure seasonally differenced quarterly earnings, defined as earnings in the current quarter minus four quarters prior. From our results, we find that returns are unrelated to past earnings, suggesting that prices neither underreact nor overreact to aggregate earnings news. Besides, aggregate returns correlate negatively with concurrent earnings. We also use two-stage ordinary least regression to analysis the relationship between stock returns and earnings surprises under controlling the components of economic condition. Our empirical results suggest that stock returns correlate negatively with seasonally differenced quarterly earnings on the next quarter of earnings measured.
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Fu, Hsueh-Yu, and 傅學鈺. "Default Risk and Stock Returns." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/25h4r6.
Full textAbstract:
碩士國立中興大學
財務金融學系所
106
Carr and Wu (2011) points out the company exists the default corridor that stock price will never enter in. Under the assumption, this paper use deep out-of-the-money (DOTM) American put option to build up URC which can predict default probability. Moreover, this paper use Friewald, Wagner and Zechner (2014) to calculate the default risk premium from the equity option market, and then establish five equal-weighted portfolio according to firms default risk premia. Since CDS database is hard to get, this paper proceeds to discuss whether the portfolio of URC can replace CDS as company default probability basis. The hypothesis of whether high default risk premia will cause high expect stock return, is tested based on the strategy of buying the high-default-risk premium portfolio and selling the low-default-risk premium portfolio. Furthermore, the paper uses the CAPM model, Fama-French 3-factor model, 4-factor model and 5-factor model to examine whether our strategy has significant positive excess returns. The empirical result shows a significant positive relationship between default risk premia (RP) calculated from DOTM put and expected stock return. During the full sample period, financial crisis period and the period after financial crisis, the abnormal return (α) base on 99% confidence interval significant positive by our portfolio strategy. This paper confirms that using DOTM American equity put option to build up a default corridor can predict default risk premia and leads to the high expected stock return.
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TSAI, MIN-FANG, and 蔡旻芳. "Google searches and stock returns." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/whfrku.
Full textAbstract:
碩士國立高雄科技大學
財務管理系
107
Fama et al. (1969), French and Roll (1986) argued that information plays a very important role in the capital market. In order to reduce the effects of information asym-metry, rational investors often search the Internet before investment deals, to ensure they make the most appropriate investment decisions. Taking the search volume index (SVI) of Google trends as the proxy variable for investors’ information needs, this study aimed to explore the effects of Internet search of retail investors on their stock trading activities. With the study period from 2006 to 2018, the constituent stocks in FTSE TWSE Taiwan 50 Index were taken as the study objects for empirical analysis by reference with the practice of Bijl et al. (2016). The empirical results show that, search volume index (SVI) is positively related to stock return, and SVI of t-2 period means that a higher search volume indicates a lower future excess return. In addition, that the coefficient of SVI variable is statistically sig-nificant, the regression results show that the predictive ability of SVI is similar during financial crisis and under normal market conditions. It is found in this study that a high Google search volume can predict the positive return in the previous week, followed by the negative return, with the phenomenon of price reversals. Therefore, the result that Google search volume can predict the stock return is supported, which is consistent with the findings in the empirical study of the scholars such as Da et al. (2011a) and Joseph et al. (2011).
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"Analysts forecast dispersion and stock returns in Hong Kong." 2008. http://library.cuhk.edu.hk/record=b5896824.
Full textAbstract:
Hung, Chun Man.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 71-74).
Abstracts in English and Chinese.
Abstract --- p.i
摘要 --- p.ii
Acknowledgement --- p.iii
Table of Content --- p.iv
Chapter 1. --- Introduction --- p.1
Chapter 1.1 --- Hong Kong securities market background --- p.2
Chapter 1.2 --- Purpose and brief results --- p.4
Chapter 1.3 --- Organization of the paper --- p.5
Chapter 2. --- Literature Review --- p.6
Chapter 2.1 --- Theoretical Studies --- p.6
Chapter 2.2 --- Empirical Studies --- p.8
Chapter 3. --- Methodology --- p.14
Chapter 3.1 --- Hypothesis development --- p.14
Chapter 3.2 --- Data and Sample Characteristics --- p.16
Chapter 3.3 --- Sample selection rules --- p.17
Chapter 3.4 --- Variables definitions --- p.19
Chapter 3.5 --- Estimation of market betas (pre-ranking and post-ranking) --- p.23
Chapter 3.5.1 --- Betas estimation procedure --- p.23
Chapter 3.5.2 --- Results and findings --- p.25
Chapter 4. --- Size- Dispersion Portfolio Strategy --- p.27
Chapter 4.1 --- Formation of size-beta portfolio --- p.27
Chapter 4.2 --- Results and findings --- p.28
Chapter 5. --- Fama-MacBeth cross-sectional regressions --- p.32
Chapter 5.1 --- Relation between dispersion and other firm characteristics --- p.32
Chapter 5.2 --- Relation between future stocks returns and firm characteristics --- p.33
Chapter 5.3 --- Robustness check --- p.38
Chapter 5.3.1 --- Sub-period regressions --- p.38
Chapter 5.4 --- Possible Explanations --- p.39
Chapter 6. --- Conclusion Remarks --- p.44
Chapter 6.1 --- Conclusion --- p.44
Chapter 6.2 --- Limitations and future direction --- p.45
Tables --- p.47
Table 1 Key statistics for the Hong Kong stock market --- p.47
"Table 2 Sectoral distribution of market capitalization (per cent of total),1997-2006" --- p.48
"Table 3 Market capitalization: top twenty firms (percentage of total market), 2006" --- p.49
Table 4 Summary of empirical literature of dispersion on stock returns --- p.50
Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003 --- p.51
Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.52
Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.53
Table 6 Sample properties based on sectoral distribution --- p.54
Table 7 Descriptive statistics for the analysts´ة forecasts dispersion: 1997-2003 --- p.55
Table 8 Properties of the nine size-beta portfolio for the sample period from January 1997 to December 2003 --- p.56
Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.57
Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.58
Table 10 Mean Portfolio Dispersion by Size and Dispersion in Analysts´ة Forecasts --- p.59
Table 11 Fama-MacBeth cross-sectional regressions of analysts´ة forecasts dispersion on lagged firm characteristics --- p.60
Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics --- p.61
Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (continue) --- p.62
Table 13 Overall monthly correlation matrix between explanatory variables for the period January 1997 to December 2003 --- p.63
Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) --- p.66
Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) (continue) --- p.67
Figures --- p.68
Figure 1 Growth trend of the Hong Kong stock market --- p.68
Figure 2 Equities funds raised by H shares enterprise for GEM --- p.69
Appendix one --- p.70
References --- p.71
35
"Analyst forecast accuracy, dispersion, and stock returns before and during stock market crashes." 2008. http://library.cuhk.edu.hk/record=b5893641.
Full textAbstract:
Wang, Xiaolei.Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 34-39).
Abstracts in English and Chinese.
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Identification of Stock Market Crashes --- p.5
Chapter 2.1 --- Identification Criteria --- p.7
Chapter 2.2 --- Identification Results --- p.8
Chapter Chapter 3. --- Data --- p.10
Chapter 3.1 --- Data Issue for Chapter 4 --- p.10
Chapter 3.2 --- Data Issue for Chapter 5 --- p.12
Chapter 3.3 --- Data Issue for Chapter 6 --- p.12
Chapter Chapter 4. --- Examination of AFE --- p.13
Chapter 4.1 --- Definition of AFE and MAAFE --- p.13
Chapter 4.2 --- Examination of MAAFE --- p.14
Chapter 4.3 --- Examination of AFE by Grouping Duration --- p.15
Chapter Chapter 5. --- Examination of AFD --- p.18
Chapter Chapter 6. --- Examination of the Relationship between AFD and ESR --- p.22
Chapter 6.1 --- Portfolio Strategy - Sorting by Size and Dispersion --- p.23
Chapter 6.2 --- Portfolio Strategy - Sorting by Size and Book to Market Ratio --- p.26
Chapter 6.3 --- Fama-French Time Series Regression Test (Three-Factor Model) --- p.28
Chapter 6.4 --- Fama-French Time Series Regression Test (Three-Factor Model with Dispersion on the Right Hand Side) --- p.30
Chapter 6.5 --- Introduction of a Nonlinear Form of AFD to the Fama-French Model --- p.31
Chapter Chapter 7. --- Conclusions --- p.32
References --- p.34
Appendix Table I to Table XVI --- p.40-55
Figure I to Figure VI --- p.56-61
36
FAN, YEN-CHEN, and 樊彥辰. "Real Options, Volatility, and Stock Returns-Taiwan Stock Market." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/cux73f.
Full textAbstract:
碩士國立中正大學
財務金融系研究所
105
This study uses the data of Taiwanese firms from January 2010 to December 2014 to examine the relationship between stocks returns and volatility coming from firm’s real option. We find that the value of companies with abundant investment opportunities (firm size, firm age and R&D intensity) is highly sensitive to change in volatility. But firms with more operating flexibility is not shown a strong evident between volatility and returns. Moreover, firms with plenty of growth and strategic options (biotechnological firms) tend to exhibit a strong volatility-return relation.
37
Tu, Chaw-Ping, and 凃朝坪. "Taiwanese Firms’ Stock Repurchase Announcement Effects on Stock Returns." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/62477839117998541872.
Full textAbstract:
碩士國立雲林科技大學
財務金融系碩士班
100
The purpose of this research is making an in-depth exploration on the effect of announcing treasury stock on listed companies in Taiwan, on account of the treasury stock system is the investing activity frequently implemented on public market. This research employs event study method to explore the announcing effect on treasury stock by sampling the Taiwanese listed companies between 2006 and 2010; furthermore, exploring the effects on implement on announcing treasury stock within fundamental status, execution and others factors, in order to construct market model for the purpose of estimating the expected rate of return by adopting the ordinary least squares method (OLS). In this research, we find that there are relationships among book ratio, stock-selling price, the holding rate and changing rate of board of directors and supervisors, capitalization, and accumulative abnormal returns. Moreover, the share-price abnormal returns response to the purpose of implementing treasury stock, predicting-repurchasing rate, and the executed rate. Meanwhile, there are others elements, such as boom lights, whole markets and foreign shareholder rate, influencing on stock return as well.
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Liao, Ung-Hsuan, and 廖泳瑄. "The option to stock volume ratio and stock returns." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/ge6338.
Full textAbstract:
碩士國立交通大學
財務金融研究所
106
This research examines the future return predictability of the daily option-to-stock ratio (O/S). The Fama-MacBeth regression result shows that the daily option-to-stock ratio plays an essential role in the prediction with a significantly negative impact on the following trading day’s return. We also look into the predictability of the daily signed option ratio, whereby the daily open buy call to stock ratio and open buy put to stock ratio are strong predictors of it, and that closing position ratios lose their predictability in non-expiration week. Lastly, the O/S ratio shows no effect on predicting cumulative return near earnings announcement day, no matter whether investors exhibit high sentiment or low sentiment.
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Cao, Jie 1981. "Two essays on the impact of idiosyncratic risk on asset returns." 2009. http://hdl.handle.net/2152/9661.
Full textAbstract:
In this dissertation, I explore the impact of idiosyncratic risk on asset returns. The first essay examines how idiosyncratic risk affects the cross-section of stock returns. I use an exponential GARCH model to forecast expected idiosyncratic volatility and employ a combination of the size effect, value premium, return momentum and short-term reversal to measure relative mispricing. I find that stock returns monotonically increase in idiosyncratic risk for relatively undervalued stocks and monotonically decrease in idiosyncratic risk for relatively overvalued stocks. This phenomenon is robust to various subsamples and industries, and cannot be explained by risk factors or firm characteristics. Further, transaction costs, short-sale constraints and information uncertainty cannot account for the role of idiosyncratic risk. Overall, these findings are consistent with the limits of arbitrage arguments and demonstrate the importance of idiosyncratic risk as an arbitrage cost. The second essay studies the cross-sectional determinants of delta-hedged stock option returns with an emphasis on the pricing of volatility risk.
We find that the average delta-hedged option returns are significantly negative for most stocks, and they decrease monotonically with both total and idiosyncratic volatility of the underlying stock. Our results are robust and cannot be explained by the Fama-French factors, market volatility risk, jump risk, or the effect of past stock return and volatility-related option mispricing. Our results strongly support a negative market price of volatility risk specification that is proportional to the volatility level. Reflecting this volatility risk premium, writing covered calls on high volatility stocks on average earns about 2% more per month than selling covered calls on low volatility stocks. This spread is higher when it is more difficult to arbitrage between stock and option.text
40
Lin, Jihn-yih, and 林進益. "Do the U.S. Stock Returns Affect Asian Stock Returns? Evidence of the Asian Four Litter Dragons." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/rv36v3.
Full textAbstract:
博士國立中山大學
財務管理學系研究所
96
In the literature, it is a common belief that the U.S. stock market is the single most influential market in the world. The U.S. stock market is a global factor, affecting both developed and emerging markets. This dissertation empirically investigates the interactions between equity markets of the Asian four little dragons (Hong Kong, Korea, Singapore, and Taiwan) and the U.S. equity market. In order to assess correctly the effect of the U.S. stock return rates on emerging equity markets, we incorporate the assumption that returns on the U.S. stock market affect the stock returns on emerging markets but not vice versa. In other words, it is assumed that the U.S. stock exchange performance is not affected by one of the four Asian equity market; however, the latter is affected by both its own dynamics and the U.S. stock exchange. This dissertation consists of three essays. In order to estimate the dynamic impulse responses of the emerging markets’ return rates to random shocks in the U.S. return rates, the first essay uses block exogenous VAR models which suggested in the papers of Zha (1996), Cushman and Zha (1997), and Zha (1999), and it finds that return rates on the U.S. positively affect stock return rates of the four Asian markets. By using the method of Rapach and Wohar (2005a, 2006a), and the second essay also finds that return rates on the U.S. have in-sample and out-of-sample predictive ability for return rates of the respective emerging market. The last essay follows the econometric methodology of Bai and Perron (1998, 2003a, 2003b, and 2004) and it points out that there exists at least one structural change in the predictive regression model of the respective empirical equity market. The results suggest that an emerging equity market’s sensitivity to shocks from the U.S. return rates is related to its degree of openness.
41
Zhang, Lijuan. "Accruals quality, stock returns seasonality and the cost of equity capital." Phd thesis, 2014. http://hdl.handle.net/1885/155532.
Full textAbstract:
Despite considerable interest among accounting researchers in recent years regarding whether accruals quality should be priced by equity markets, and whether any pricing effect detected is attributable to risk, these questions remain among the more controversial in accounting research. This thesis comprises a brief introduction to theory underpinning the pricing of information risk, followed by three essays investigating the empirical relationship between accruals quality and the cost of capital. The final chapter presents my conclusions. Essay 1 examines whether previously documented associations between accruals quality (AQ) and the cost of equity capital for US firms are driven singularly by returns in the month of January, consistent with a tax-loss selling effect (Mashruwala and Mashruwala, 2011). However, I argue that controlling for potential biases arising from low-priced stocks is essential when testing the seasonality of AQ pricing, as the biased returns of low-priced stocks are likely to be systematically related to the tax-loss selling effect. Consequently, I re-examine seasonality in the pricing of AQ and find that (1) for samples excluding low-priced stocks, poor-AQ firms outperform good-AQ in a number of non-January months and collectively across non-January months; and (2) there is a significant AQ premium reflected in the implied cost of equity capital. Overall, my results suggest that the documented AQ premium is unlikely to be singularly driven by tax-loss selling. Essay 2 employs three separate analyses to investigate the source of the observed AQ premium. First, I examine the impact of an exogenous shock to taxation incentives, the introduction of 1986 Tax Reform Act (TRA); Second, I investigate whether the AQ premium is conditioned by the level of competition for firms' stock; and third, I examine the pricing of the quality of specific accruals. I find that: (1) although a November AQ premium exists in the post-TRA period, this premium is unlikely due to tax-loss selling because it is concentrated in the last trading week of the month; (2) the pricing effect of AQ outside January is concentrated in firms with low market competition for their stock; and (3) specific accruals which have the greatest effect on the pricing of equity are priced in stock markets. Overall, my results support the argument that AQ premium is likely to reflect information risk. Essay 3 employs an international sample comprising large market economies where tax-loss selling incentives exist, but which differ in their tax year end dates. I find that abnormal returns to AQ-based hedge portfolios are significantly positive if low-priced returns are controlled. I further show that the apparent AQ premium concentrates in firms with low market competition for their stock. Finally, I demonstrate that poor AQ is associated with higher implied costs of equity capital. Collectively, my results are consistent with the existence of an AQ premium, which is not singularly driven by tax-loss selling effects. Chapter 1 provides a brief introduction essay, which focuses on theory common to the three essays. Chapters 2, 3, and 4 present Essay 1, 2 and 3, respectively, and Section 5 concludes.
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MACLEAN, MACLEAN. "THE RELATIONSHIP BETWEEN ANALYST COVERAGE AND THE DISTRIBUTION OF SECURITY RETURNS." Thesis, 2010. http://hdl.handle.net/1974/5994.
Full textAbstract:
The current study investigates the relationship between analyst coverage and the moments of the return distribution. Results are presented to support a time-varying pattern in the premiums associated with the higher moments of returns, particularly for the fourth moment of the distribution. In addition, evidence is presented to suggest that there exists some ex-post and ex-ante forecasting ability based on the use of the higher moments of the return distribution as stock selection criteria. In the second half of the study, results show that as the number of analysts following a firm increases, the third and fourth moments of the return distribution are impacted, with the former being reduced and the latter increased. In addition, the initiation and discontinuation of analyst coverage are both found to be related to the higher moments of the return distribution. The initiation of analyst coverage is associated with a reduction in skewness and an increase in excess kurtosis, while the discontinuation of coverage results in an increase in both of the higher moments of the distribution.
Taken together, the results of the two main questions in the current research study suggest that investors seeking higher distributional moments of returns may favor neglected firms over their followed counterparts, particularly in periods of heightened market volatility. In addition, the results show that the two main competing hypotheses concerning the causes of non-normal security returns, namely firm information structure and security liquidity, both impact the higher moments of the return distribution.Thesis (Ph.D, Management) -- Queen's University, 2010-08-26 12:18:47.528
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Muzenda, Simon. "Analysis of predictable behaviour of security returns on the JSE." Thesis, 2014.
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Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013.This paper replicates Jegadeesh`s (1990) paper entitled “Evidence of Predictable Behavior of Security Returns”. Jegadeesh (1990) states that by using the observed systematic behaviour of stock returns it is possible to make “one-step-ahead return forecasts”. That is forecast the return one month in the future. The aim of this research is to assess the predictability of monthly returns on the Johannesburg Stock Exchange (JSE) by analysing the monthly returns of stocks and portfolios of stocks from the JSE. This thesis will show that it is not possible to accurately or reliably forecast future returns for individual stocks or portfolios of stocks from the JSE. In addition the findings in this paper also indicate that stocks and portfolios of stocks from the JSE follow the random walk theory.
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Hung, Pei-Yuan, and 洪培元. "Market Sentiment Indicators and Stock Returns." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/82448416462431683666.
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碩士國立雲林科技大學
財務金融系碩士班
92
Market sentiment of investors becomes Behavior Finance desire to study a new issue at near year. However, for the most related literature of market sentiment study that market sentiment will influence stock returns and doesn’t include analysis of bullish and bearish .In this paper, we apply VAR model (Vector Auto regression model) to investigate the connection between market sentiment indicators and stock returns, included the Variance Decomposition and Impulse Response Function of bullish and bearish. We can find the connection between market sentiment indicators and stock returns between bullish and bearish. Our empirical result show：（1）the market sentiment disappear on influence of stock returns, however ,it remains significant that stock returns will influence the various market sentiment variables（2）analysis of bullish and bearish about the connection between market sentiment indicators and stock returns has no difference. It was found that investor market sentiment is influenced with stock returns on bullish market is more significant than bearish market.
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Yu, Chia-Te, and 俞佳德. "Corporate Governance, Learning and Stock Returns." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/y75v42.
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碩士國立交通大學
財務金融研究所
104
The learning effect is: from 1990 to 2000, we can use the E Index to explan the excess return, however, the correlation disappeares subsequently. We use the method of Bebchuk et al. (2009) to construct the E Index, and use the factors in Fama-French five-factor model as control variables to test whether the learning effect still exists. We use MISPP (the absolute value of MISP, which is the Mispricing Index) as the proxy of learning effect and add the information variables to better describe the learning process. In addition, we construct the E Index from 2007 to 2014 as new sample period and find out that there is a new interpretation in this sample period. The E Index should be a proxy of the independency and the stability of the strategy for the specific company during the new sample period.
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Hwang, Chein-Fen, and 黃千芬. "Relationship Between Liquidity and Stock Returns." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/69896756957592861986.
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碩士國立臺灣大學
國際企業學研究所
98
This study investigates the liquidity of Taiwan stock market using the systematic liquidity measure proposed by Pastor and Stambaugh（2003.） Most existing studies examine the traditional measures of microstructure-based liquidity of stock returns. Investors under liquidity risk have to pay more cost or sell at large discount price. As a result, bid-ask spread, trading period, or other market variables could be used as proxies of liquidity. Different from most existing studies, the measure of Pastor and Stambaugh focuses on the risk that values of stocks may drop due to lower liquidity when investors need to trade. Therefore, greater return reversals may be induced by the change of the order flow when liquidity is lower. Daily data of 50 firms listed on the Taiwan Security Exchange during 1981 to 2009 are used when estimating the liquidity measure. Financial holding stocks are found to have stronger effects on Taiwan stock market than other sectors. When market is in distress, financial holding stocks can provide extra liquidity to reduce the impact of negative shocks. However, when the liquidity of financial holding stocks decrease, it will amplify the negative shocks effects. Furthermore, the observed results that portfolios constitute of liquid stocks perform better than the Taiwan Weighted Stock Index, one month deposit, and momentum trading portfolios show that stock liquidity is a leading indicator of one month stock returns.
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Jong, Jiing Tyng, and 鍾景婷. "Stock Returns and Inflation --- Taiwan Evidence." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/15633827948462775924.
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Mo, Chiao-Min, and 莫教民. "Does Earnings Management Predict Stock Returns?" Thesis, 2014. http://ndltd.ncl.edu.tw/handle/78019639349787960229.
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碩士國立臺灣大學
商學研究所
102
This paper examines the stock return predictability of both accrual-based earnings management and real earnings management. We collect whole U.S. listed companies during 1987 to 2012, and consider two measures to capture accrual-based earnings management and three measures to capture real earnings management. Then we conduct Fama and MacBeth (1973) regressions to test the stock return predictability of the five measures. Finally, we examine if the return predictive power differs in the pre- and post- Sarbanes Oxley Act periods Our empirical results suggest both accrual-based and real earnings management predict stock returns during 1987 to 2001. Firm-years with stronger tendency engaging in earnings management experience significantly lower future stock returns. However, the stock return predictability associated with earnings management disappears after 2002, which is probably because after Sarbanes-Oxley Act, financial reports become more transparent, and investors also pay more attention to earnings management and price stocks more rationally. We make three contributions to the literature. First, we complement existing literature by documenting the stock return predictability of real earnings management in the whole U.S. listed companies. Second, we find both the stock return predictability of accrual-based earnings management and real earnings management disappear after Sarbanes-Oxley Act. Third, we show that reducing discretionary expenses does not pose significantly negative influence on firms’ stock returns.
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Yu, Sheng-Yun, and 俞聖筠. "INDUSTRY CONCENTRATION, PROFITABILITY AND STOCK RETURNS." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/28654064494771278694.
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碩士大同大學
事業經營學系(所)
98
Global competition is not only accelerate the speed of adjustment of industrial structure, but also allow industry to adjust according the direction of its move. The change of industrial structure, makes the firms must respond to changes in the structure to make the right decisions, and also affect performance. This study using traditional SCP (Structure-Conduct-Performance) model to understand the relationship of market structure within the industry, conduct and performance, we using TEJ to classify Taiwan listed companies into 85 industries and use Herfindahl-Hirschman index to measure industry concentration to understand the relationship between industry concentration and profitability and industry concentration and stock returns. This study conclusion as follows: (Ⅰ)We find that changes in industrial concentration will affect the profitability, the results of each index is different, using different classification categories shows that more concentrated industries have higher profitability. (Ⅱ)E/A(earnings to assets) is higher for the firms in highly concentrated industries, also represents the firms in highly concentrated industries, its profitability will increase; the value of R&D/A shows the firms in lower concentrated industries, , the more willing to engage in R&D work. (Ⅲ)We using BINS classification, it shows firms in more concentrated industries earn lower stock returns, on the other hand, using QUANT classification, it shows firms in more concentrated industries earn higher stock returns.
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Tsai, Wen-Ching, and 蔡玟靜. "The predictability analysis of stock returns." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/52713276688155569081.
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碩士國立屏東商業技術學院
國際企業所
94
Cause manages money matters in making the investment the idea is in vogue in recent years, the same social the masses have already made the investment and changed direction to invest from the simple bank in all kinds of and manage money matters gradually. However, the way of investing the fund in the stock market is still the partiality of masses. Stock market is fast changing, the factor of influencing the change has been to make the research direction in which people have been interested in all the time. In the paper, we examine the predictability of stock returns using macro economic variables in seven countries. We will adopt bootstrap and consider both in-sample and out-of-sample test of predictive ability. With the out-of-sample test, we employ recently developed forecast accuracy test and forecast encompassing test. In addition to analyzing the predictive ability of each macro variable in turn, we use a procedure that combines general- to-specific model selection with out-of-sample tests of forecasting ability in an effort to identify and test the “best” forecasting model of stock returns in each country.