Stock returns with price impact

This research using data of 27 essential consumer goods firms which are listed on Ho Chi Minh Stock Exchange (HOSE) from 2011 - 2018 in Vietnam, with variables related to ownership structure, to investigate the effect of different ownership structure characteristics on these firms’ market price.

13p vijihyo2711 25-09-2021 16 2   Download

The model predicting Bitcoin price formation remains a mystery to academia and investors. Newly invented cryptocurrencies (alternative coins – altcoins) with enhanced features may be-come close substitutes to Bitcoin in terms of risk diversification.

8p sotritu 18-09-2021 14 1   Download

This paper studies China’s stock prices in the framework of consumption-based capital asset pricing models (CCAPM). Using China’s quarterly stock market data from 1991 to 2019, we estimate and compare four versions of CCAPM: the classical CCAPM, CCAPM with housing service consumption, with habit formation, and with both. We find habit formation affects stock returns only if housing service consumption is considered. Further, although every model is consistent with data to certain extent, the models with habit formation perform substantially better.

12p nguyenanhtuan_qb 09-07-2020 21 4   Download

In this paper, we study the stock returns for large trades with price impact. We use the daily changes in volume-weighted average price (VWAP) as a proxy of the returns for institutional investors. This return is then compared statistically to the daily return using closing price. Using a panel data of NYSE/AMEX stocks, we find a fixed effect contributing to the spread between them and it can be interpreted as an unbiased ex post estimate of price impact.

16p 035522894 13-04-2020 47 3   Download

This paper aims at examining the impact of oil price on GCC countries’ stock market returns. We apply wavelet analysis model for examining the relationship between oil and stock market returns. Using monthly data from May 2005 to December 2011, our results suggest that not all stock market in GCC region have a positive relationship with oil price as some have, instead, negative relationship with oil price. Oil price has a negative relationship with Bahrain, Saudi Arabia and United Arab Emirates.

11p cothumenhmong4 24-03-2020 45 4   Download

In this study, we explore the influence of market timing on insider trading and buy-and-hold abnormal returns by the sample of Taiwan listed companies at stock exchange market and the firms at over-the-counter (OTC) market from 2001 to 2016. According to Dittmar and Field [7], we use the relative repurchase price (RRP) to measure the strength of market timing abilities when firm repurchases its own stock. We find that the stronger market timing ability is accompanied with the greater insider net buying. Thus, insiders can indeed know the company’s future information when firms repurchase.

20p trinhthamhodang2 19-01-2020 46 3   Download

This phenomenon has also been found to hold outside of the United States. Kaplan (1994a, b) finds that turnover probabilities for both Japanese and German executives are significantly related to earnings and stock price performance. Estimates of turnover probability in both countries indicate that stock returns and negative earnings are significant determinants of turnover. 10 Regressions using changes in cash compensation of Japanese executives document a significant impact for pretax earnings and negative earnings, but not for stock returns and sales growth.

14p taisaovanchuavo 26-01-2013 68 4   Download

Our findings also suggest that the economic importance of options’ incentive effects is small. The size and accuracy of our data set enable sufficiently precise measurement to find compelling statistical evidence that there is an effect. However, the size of the effect is such that ordinary option grants have only small impacts on firm risk. Moreover, our tests of stock-price response to option-induced risk-taking find no evidence of costs or benefits to shareholders from this activity.

49p bocapchetnguoi 06-12-2012 67 3   Download

With the above in mind, we argue that a mood variable must satisfy three key characteristics to rationalize studying its link with stock returns. First, the given variable must drive mood in a substantial and unambiguous way, so that its effect is powerful enough to show up in asset prices. Second, the variable must impact the mood of a large proportion of the population, so that it is likely to affect enough investors. Third, the effect must be correlated across the majority of individuals within a country....

36p bocapchetnguoi 05-12-2012 55 1   Download

Furthermore, I would like to thank my colleagues Svitlana Voronkova and Bartosz Gebka who were steady sources of inspiration and discussion. I also appreciate the excellent cooperation in joint projects with both of them. Other colleagues at European University Viadrina who contributed to the success of my work were among others Katarzyna Grinberg, Tomasz Wi´ sniewski, Piotr Korczak, and Dobromi lSerwa. As I presented the papers included in this thesis on several conferences, I obtained valuable insights on the subjects of interest.

42p bocapchetnguoi 05-12-2012 72 2   Download

They found that for the US and Canada this reaction can be accounted for entirely by the impact of the oil shocks on cash-flows. The results for Japan and the UK were inconclusive. Using an unrestricted vector autoregressive (VAR), Huang et al. (1996) show a significant link between some American oil company stock returns and oil price changes. However, they find no evidence of a relationship between oil prices and market indices such as the S&P500.

29p quaivattim 04-12-2012 55 2   Download

We investigate the information reflection capability of stock prices. The paper summarises a quantitative analysis of daily stock market for S&P500 companies considering the potential impacts of publicly available news announcements on daily returns. We semantically analyse news on all S&P500 companies in a 10 years time period to measure the potential impact of news announcements on daily stock market prices. Days with extreme returns are identified for both positive and negative events in terms of extreme positive or negative impact on the stock market.

24p quaivattim 04-12-2012 51 2   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