This paper shows that most admired companies generate admirable stock performance relative to the market. The current study analyses risk premiums and risk-adjusted excess returns of a portfolio of firms ranked as the most admired companies in the United States from 2006 to 2011. The results...

This study finds firms that pay their employees' health-care premiums earn average positive risk premiums and positive risk-adjusted excess returns. The problem of the study is to analyze risk premiums and risk adjusted returns of an equal-weighted portfolio of firms that pay 100% of their...

This study is to assess the dynamics effects of business confidence and consumer confidence on stock market risk premiums and to determine the relative importance of business confidence and consumer confidence in forecasting the variability of stock market risk premiums though a variance...

This study examines if economic policy uncertainty in the U.S. has any effect on the returns on stock markets in the BRIC (Brazil, Russia, India and China) countries. The current study also investigates how stock market returns in the four countries respond to the U.S. economic policy...

This study investigates the effect of the changes of economic policy uncertainty in the U.S. on the returns on stock markets of Indonesia, Malaysia, Philippines, Singapore and Thailand. The current study also examines how the stock market returns in the five countries respond to the changes in...

This study finds that return on the NYSE largest-cap portfolio significantly increases following the shock to the percentage change in NYSE odd lot purchase volume. Based on the analysis of monthly data from 1970M2 to 2012M12, the results reveal a causal linkage between return on the NYSE...

This study examines the dynamic response of the S&P 500 price-to-earnings ratio (PE) to credit spread (CS) shock and causal direction between these two variables. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results reveal that PE significantly jumps immediately following...

This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results show that credit spread significantly rises immediately following shock to the S&P 500 dividend yield. The results...

This study investigates how credit spread dynamically responds to the change in aggregate Tobin's q ratio. The VAR results from analyzing quarterly data from 1951 Q4 to 2012 Q4 reveal that credit spread drops significantly following the shock to the change in aggregate Tobin's q ratio. There is...

This study examines the dynamic response of credit spread (CS) to corporate profit growth (CP) shock. Using the bivariate VAR model to analyze quarterly data from 1952Q1 to 2012Q4, the results show that credit spread drops immediately following the positive shock to corporate profit growth, and...