Search Results - subject:"STOCK PRICES"

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How Much Leverage is too Much, or Does Corporate Risk Determine the Severity of a Recession?

Ivaschenko, Iryna V. - International Monetary Fund (IMF) - 2003

Economic theory suggests that vulnerable financial conditions of the corporate sector can trigger or worsen an economy-wide recession. This paper proposes a measure of corporate vulnerability, the Corporate Vulnerability Index (CVI) and analyses whether it can explain the probability and...

Persistent link: https://www.econbiz.de/10005599303

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Kisinbay, Turgut - International Monetary Fund (IMF) - 2003

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity...

Persistent link: https://www.econbiz.de/10005599661

Small African Stock Markets; The Case of the Lusaka Stock Exchange

Marone, Heloisa - International Monetary Fund (IMF) - 2003

In trend with a global pattern and following recommendations of the World Bank and the International Finance Corporation (IFC), the number of stock markets in African countries has increased dramatically over the last ten years. Despite a scarcity of studies on the impact of stock markets on...

Persistent link: https://www.econbiz.de/10005605066

Corporate Balance Sheet Restructuring and Investment in the Euro Area

Jaeger, Albert - International Monetary Fund (IMF) - 2003

The recent boom-bust cycle in the euro area's equity valuations has left nonfinancial corporations saddled with a legacy of high debt or leverage. Models of corporate investment behavior based on imperfect capital markets predict that highly leveraged balance sheets can act as a brake on...

Persistent link: https://www.econbiz.de/10005605417

The Efficiency of the Japanese Equity Market

Nagayasu, Jun - International Monetary Fund (IMF) - 2003

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

Persistent link: https://www.econbiz.de/10005825859

Portfolio Flows Into India; Do Domestic Fundamentals Matter?

Gupta, Poonam; Gordon, James P. F. - International Monetary Fund (IMF) - 2003

This paper analyzes the factors affecting portfolio equity flows into India using monthly data. Flows to India are small compared to other emerging markets, but seem to be relatively less volatile. They also seem to be quite resilient. The paper shows that portfolio flows are determined by both...

Persistent link: https://www.econbiz.de/10005826441

Stock prices, firm size, and changes in the federal funds rate target

Guo, Hui - Federal Reserve Bank of St. Louis - 2003

and have maintained it since then. For both periods, we find that stock prices reacted significantly to unanticipated … WORKING PAPER SERIES Stock Prices, Firm Size, and Changes in the Federal Funds Rate ….gatewayarch.com Stock Prices, Firm Size, and Changes in the Federal Funds Rate Target Hui Guo * Federal Reserve Bank of St. Louis First …

Persistent link: https://www.econbiz.de/10005707792

Evaluating the riskiness of initial public offerings: 1980-2000

Peristiani, Stavros - Federal Reserve Bank of New York - 2003

In the wake of the dot.com collapse, investor sentiment toward initial public offerings (IPOs) has turned negative. To many investors, IPOs have come to symbolize the insider abuses and stock market excesses of the Internet bubble period; to others, investing in IPOs is inherently fraught with...

Persistent link: https://www.econbiz.de/10005726616

Fifteen minutes of fame? The market impact of internet stock picks

Antunovich, Peter; Sarkar, Asani - Federal Reserve Bank of New York - 2003

We examine 120 Nasdaq and Over-the-Counter "buy" recommendations made by Internet sites from April 1999 to June 2001. The stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about them. For example, liquidity one year after the pick...

Persistent link: https://www.econbiz.de/10005726621

Stock market valuation in the United States

Bisciari, Patrick; Durré, Alain; Nyssens, Alain - Nationale Bank van België/Banque national de Belqique (BNB) - 2003

) stock prices was reached, the real S&P 500 exceeded the upper band of the 95 p.c. confidence intervals during both periods …. For each of them, the Q model showed earlier and more persistent signals of significant overvaluation of stock prices than …

Persistent link: https://www.econbiz.de/10005031931