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Product Market Competition and the Stock Market : Capitalisation, Returns and Betas

Talmain, Gabriel - 2021

We develop a tractable RBC model of the stock market with heterogenous firms. Shares value rests on the rent extracted from proprietary technology à la Dixit-Stiglitz. We prove the existence and uniqueness of the fundamental equilibrium. Closed form solutions are provided for the market...

Persistent link: https://www.econbiz.de/10013245256

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Determinant of Stock Systematic Risks

Pasaribu, Rowland Bismark - 2017

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

Persistent link: https://www.econbiz.de/10012942864

An Econometric Panel-Midas Model of Asset Returns in the Brazilian Stock Market

Moura Costa da Silva, Aline; de Medeiros, Otavio Ribeiro - 2018

The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...

Persistent link: https://www.econbiz.de/10014112120

The Intertemporal Relation between Expected Returns and Conditional Correlations between Precious Metals and the Stock Market

Sakemoto, Ryuta - 2018

This study explores whether conditional correlations between precious metals and stock markets impact upon expected returns on precious metals. The empirical evidence presents that there is no significant trade–off between conditional correlations and expected returns. This study reveals that...

Persistent link: https://www.econbiz.de/10012919487

In Search of Money Illusion in CEE Stock Markets : The CAPM Approach

Orlovaitė, Ernesta - 2019

We investigate whether the hypothesis of money illusion can explain the negative or non-existent stock returns and inflation co-movement, and lead to deviations from the CAPM-implied risk-return relation in ten Central Eastern European (CEE) markets. We employ the Cohen, Polk and Vuolteenaho...

Persistent link: https://www.econbiz.de/10012906159

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Persistence of Size and Value Premia and the Robustness of the Fama-French Three Factor Model : Evidence from the Hong Kong Stock Market

Nartea, Gilbert - 2011

We use Hong Kong stock market data from 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium...

Persistent link: https://www.econbiz.de/10013132723

Option-Implied Equity Premia and the Predictability of Stock Market Returns

Karoui, Mehdi - 2012

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

Persistent link: https://www.econbiz.de/10013113977

Do Five Asset Pricing Anomalies Share a Common Mispricing Factor? Multifaceted Empirical Analyses of Failure Risk Proxies, External Financing, and Stock Returns

Ogden, Joseph P. - 2010

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk-proxy variables, external financing, and stock returns in which a common mispricing factor, involving operating profit and external financing, drives the following five asset...

Persistent link: https://www.econbiz.de/10013147129