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Corporate Responses to Stock Price Fragility

Friberg, Richard; Goldstein, Itay; Hankins, Kristine Watson - 2022

This study shows that firms regard stock price fragility - exposure to non-fundamental demand shocks stemming from the composition of equity ownership - as a salient corporate risk. We model ex-ante corporate responses to higher potential for future stock market misvaluation and then empirically...

Persistent link: https://www.econbiz.de/10013291761

Risk spillovers among crude oil, gold, and China equity sub-sectors

Zou, Zong-feng; Zhang, Chao; Sun, Xi-yun - In: Cogent economics & finance 12 (2024) 1, pp. 1-20

hedging tool for risk in China's stock market. This paper analyzes return spillovers between crude oil, gold, and Chinese …

Persistent link: https://www.econbiz.de/10015192507

The impact of dividend policy on share price volatility in the Macedonian stock market

Mladenoska, Aleksandra - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 37-50

The intention of this paper is to examine the relationship between the dividend policy and share prices of companies on the Macedonian Stock Exchange in order to define whether the dividend policy is a factor determining the share price volatility, and if so, how to use this possibility to...

Persistent link: https://www.econbiz.de/10011862135

Does residual state ownership increase stock return volatility? : evidence from China's secondary privatization

Xie, Feng; Anderson, Hamish D.; Chi, Jing; Liao, Jing - In: Journal of banking & finance 100 (2019), pp. 234-251

Persistent link: https://www.econbiz.de/10012162539

Does Decomposing Realized Volatility Help in Risk Prediction : Evidence from Chinese Mainland Stocks

Liao, Yin - 2011

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual stocks, and reveals the important role that jumps can play in risk prediction. I firstly investigate dynamic pattern of jumps in three Chinese stocks, and find that relative to...

Persistent link: https://www.econbiz.de/10013131542

Asymmetric Risk Spillovers Between China and ASEAN Stock Markets

Chen, Jiusheng; Wang, Xianning - 2023

This study attempts to investigate the interdependence and risk spillover effects between China and ASEAN-6 stock … pair of China and Singapore exhibited the highest dependence structure, whereas Vietnam was least likely to have dependence … structures with China stock market. Upside and downside CoVaRs are symmetric and display similar temporal dynamics throughout the …

Persistent link: https://www.econbiz.de/10014254518

Capital supply uncertainty, cash holdings, and investment

Hugonnier, Julien; Malamud, Semyon; Morellec, Erwan - 2011

We develop a model of investment, payout, and financing policies in which firms face uncertainty regarding their ability to raise funds and have to search for investors when in need of capital. We show that capital supply uncertainty leads firms to value financial slack and to adjust their...

Persistent link: https://www.econbiz.de/10009375158

The Dynamics of BRICS's Country Risk Ratings and Stock Markets, U.S. Stock Market and Oil Price

Hammoudeh, Shawkat M.; Sari, Ramazan; Liu, Tengdong; … - 2011

BRICS (Brazil, Russia, India, China and South Africa) are viewed currently as pillars of relative political, economic … China hold strong sensitivity to political risk and India demonstrates special sensitivity to higher oil prices. Among the …

Persistent link: https://www.econbiz.de/10014043055

Competition and Operating Volatilities around the World

Makaew, Tanakorn - 2017

Numerous papers have shown that developing economies are more volatile. This paper shows despite greater aggregate and industry stability, performance and size of individual firms in developed countries are more volatile. In developing countries, market imperfections insulate incumbent firms...

Persistent link: https://www.econbiz.de/10012974482

CAPM и Диверсификация Инвестиционного Портфеля в Условиях Неоднородной Волатильности (CAPM and Diversification of an Investment Portfolio in the Conditions of Non-Uniform Volatility)

Minasyan, Vigen Babkenovich - 2015

The theory of cost of capital (long-term) assets [Sharpe, 1964, Lintner, 1965, Mossin, 1966] based on G. Markovits's model [Markovitz, 1952,1059], for many years forms base for estimated calculations in the investment analysis and corporate finance. But it implicitly means an assumption that the...

Persistent link: https://www.econbiz.de/10013025979