Interest rate on stock return

By using the multiple regression models we find out the impact of exchange rate and interest rate on stock return of 3 companies which present for 3 difference lines: technology - FPT Joint Stock Company (FPT), Construction trades Kinh Bac City Development Share Holding Corporation (KBC) and food industry - Viet Nam Dairy Products Joint Stock Company (VNM)

7p trinhthamhodang1218 18-03-2021 20 4   Download

The study investigated stock market reactions to oil price fluctuations in Nigeria. A longitudinal design consisting of data on the Nigerian Stock market index, crude oil prices, exchange rate, interest rate, inflation rate and GDP for the period 1984-2019 was employed. The data were subjected to stationarity and cointegration tests using ADF and Johansen’s techniques. Based on the results of the stationarity and cointegration tests, Vector error correction model was used to analyse the research data.

8p kethamoi7 15-08-2020 26 2   Download

A vast literature focuses on the predictability of U.S. and international stock returns using macroe- conomic variables, such as the short government interest rate or the yield spread between defaultable and government bonds. For instance, Ferson and Harvey (1993) nd that returns on international stock indexes are predictable using macroeconomic indicators as conditioning variables. More strikingly, Ferson and Harvey (1999) nd that broad economic variables explain the cross-sectional variation in U.S. individual stock returns better than the Fama and French (1993) empirical factors.

70p khanhchilam 29-03-2013 79 10   Download

A popular approach to measuring the interest-rate risk exposure of a bank is to run regressions of the bank’s stock return on a risk factor, such as an interest rate. The regression coefficient on the interest rate — often referred to as the interest-rate beta, is a measure of the bank’s average exposure to interest rate changes over the sample period considered (Flannery and James 1984a). Interest rate betas do not tell us where the bank’s exposure comes from, that is, what positions generate it.

37p taisaovanchuavo 23-01-2013 62 4   Download

For the data presented on the Bank’s website, the nominal government spot interest rate for n years refers to the interest rate applicable today (‘spot’) on an n year risk-free nominal loan. It is the rate at which an individual nominal cash flow on some future date is discounted to determine its present value. By definition it would be the yield to maturity of a nominal zero coupon bond3 and can be considered as an average of single period rates to that maturity.

27p taisaocothedung 09-01-2013 53 2   Download

Laws designed to prevent usury, or the taking of "excessive" interest, have long been the subject of controversy. While advocates of usury ceilings claim that such controls protect consumers from abusive lending practices and enable them to obtain loans at reasonable rates, their critics argue that they work to consumers' disadvantage by restricting credit flows and distorting financial markets. In economic theory, the credit market is viewed like any other market. There are buyers (borrowers) and sellers (lenders) of credit; the price of credit is the interest rate.

16p taisaocothedung 09-01-2013 79 3   Download

Maghyereh (2002) investigated the long-run relationship between the Jordanian stock prices and selected macroeconomic variables, again by using Johansen’s (1988) cointegration analysis and monthly time series data for the period from January 1987 to December 2000. The study showed that macroeconomic variables were reflected in stock prices in the Jordanian capital market.

36p bocapchetnguoi 05-12-2012 59 2   Download

Maysami and Sims (2002, 2001a, 2001b) employed the Error-Correction Modelling technique to examine the relationship between macroeconomic variables and stock returns in Hong Kong and Singapore (Maysami and Sim, 2002b), Malaysia and Thailand (Maysami and Sim 2001a), and Japan and Korea (Maysami and Sim 2001b).

78p bocapchetnguoi 05-12-2012 71 4   Download

As for the effect of macroeconomic variables such as money supply and interest rate on stock prices, the efficient market hypothesis suggests that competition among the profit-maximizing investors in an efficient market will ensure that all the relevant information currently known about changes in macroeconomic variables are fully reflected in current stock prices, so that investors will not be able to earn abnormal profit through prediction of the future stock market movements (Chong and Koh 2003).

35p bocapchetnguoi 05-12-2012 59 4   Download

Inverse floating-rate securities are a special kind of floater. Their coupon rates increase when general market rates decrease. For example, the coupon may be 8 percent minus the three-month LIBOR. These securities often appeal to investors when the yield curve is very steep, as the coupon formula will give a coupon rate often well above short term financing costs. However, an increase in LIBOR can cause the interest rate on this type of security to drop very low and possibly to zero. If the security has a long maturity, it can lose significant...

0p bocapchetnguoi 05-12-2012 40 2   Download

A put option allows the investor to return the bond, at a price of par, to the issuer prior to its stated maturity. Here, the investor owns the option. Investors will exercise this right when interest rates have risen, since they can reinvest the proceeds at higher available market yields. The put option thus limits price declines when rates rise, because the investor can redeem the bond at par on a specified date. When interest rates fall, however, the price of the security will rise like a bond without option features. Put...

82p bocapchetnguoi 05-12-2012 53 3   Download

The aim of this paper is to compare pricing and performance of mutual funds with two types of guarantees: a lookback guarantee and an interest rate guarantee. In a simulation analysis of different portfolios based on stock, bond, real estate and money market indexes, we first calibrate guarantee costs to be the same for both investment guarantee funds. Second, their performance is contrasted, measured with the Sharpe ratio, omega and Sortino ratio, and a test with respect to first-, second- and third-order stochastic dominance is provided.

19p quaivatdo 18-11-2012 67 6   Download