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Year of publication
Subject
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Börsenkurs 27,528 Share price 27,523 USA 13,189 United States 13,174 Theorie 8,754 Theory 8,753 Aktienmarkt 5,973 Stock market 5,944 Capital income 5,642 Kapitaleinkommen 5,642 Volatilität 5,336 Volatility 5,333 Schätzung 4,845 Estimation 4,844 Announcement effect 2,365 Ankündigungseffekt 2,364 CAPM 1,946 Anlageverhalten 1,749 Behavioural finance 1,745 Deutschland 1,533 Germany 1,524 Welt 1,434 World 1,433 Financial market 1,374 Finanzmarkt 1,373 Portfolio selection 1,356 Portfolio-Management 1,356 Prognoseverfahren 1,273 Forecasting model 1,271 Financial crisis 1,257 Finanzkrise 1,247 ARCH model 1,244 ARCH-Modell 1,244 Efficient market hypothesis 1,171 Effizienzmarkthypothese 1,162 Zeitreihenanalyse 1,030 Time series analysis 1,026 Aktienindex 1,020 Stock index 1,018 Finanzanalyse 996
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Online availability
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Undetermined 5,121 Free 4,433
Type of publication
All
Article 19,426 Book / Working Paper 8,264 Journal 87 Other 17
Type of publication (narrower categories)
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Article in journal 17,927 Aufsatz in Zeitschrift 17,927 Graue Literatur 5,646 Non-commercial literature 5,646 Working Paper 5,147 Arbeitspapier 5,142 Hochschulschrift 1,289 Aufsatz im Buch 1,209 Book section 1,209 Thesis 1,181 Collection of articles written by one author 288 Sammlung 288 Collection of articles of several authors 179 Sammelwerk 179 Bibliografie enthalten 154 Bibliography included 154 Conference paper 83 Konferenzbeitrag 83 Systematic review 58 Übersichtsarbeit 58 Konferenzschrift 57 Amtsdruckschrift 56 Government document 56 Commentary 53 Kommentar 53 Statistik 53 Case study 49 Fallstudie 49 Statistics 45 Conference proceedings 44 Aufsatzsammlung 35 No longer published / No longer aquired 35 Reprint 23 Mehrbändiges Werk 22 Multi-volume publication 22 Handbook 21 Handbuch 21 Glossar enthalten 20 Glossary included 20 Lehrbuch 17
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Language
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English 25,794 German 1,235 French 266 Undetermined 162 Spanish 135 Italian 47 Dutch 27 Indonesian 23 Polish 23 Swedish 18 Portuguese 16 Danish 14 Norwegian 14 Russian 12 Hungarian 9 Czech 7 Croatian 5 Chinese 4 Finnish 3 Bulgarian 2 Lithuanian 2 Turkish 2 Japanese 1 Korean 1 Slovak 1 Ukrainian 1
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Author
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Caporale, Guglielmo Maria 119 Gupta, Rangan 71 McAleer, Michael 64 Stulz, René M. 61 Lux, Thomas 59 Gil-Alaña, Luis A. 56 Narayan, Paresh Kumar 56 Hautsch, Nikolaus 55 Timmermann, Allan 52 Allen, David E. 50 Bohl, Martin T. 50 Madura, Jeff 46 Pierdzioch, Christian 46 Plastun, Alex 46 Campbell, John Y. 44 Theissen, Erik 43 McMillan, David G. 42 Schiereck, Dirk 42 Foucault, Thierry 41 Faff, Robert W. 39 Wohar, Mark E. 38 Engle, Robert F. 37 Härdle, Wolfgang 37 Martikainen, Teppo 37 Ryu, Doojin 36 Shleifer, Andrei 34 Bollerslev, Tim 33 Brooks, Robert D. 32 Booth, G. Geoffrey 31 Grammig, Joachim 31 Hess, Dieter 31 Schwert, George William 31 Hammoudeh, Shawkat 30 Liljeblom, Eva 30 Spagnolo, Nicola 30 Apergēs, Nikolaos 29 Pástor, Ľuboš 29 Subrahmanyam, Avanidhar 29 Tourani Rad, Alireza 29 Jawadi, Fredj 28
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Institution
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International Monetary Fund (IMF) 100 International Monetary Fund 22 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 21 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 18 Ekonomiska forskningsinstitutet <Stockholm> 16 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 13 Chambre de commerce et d'industrie de Paris 11 School of Finance and Business Economics <Perth, Western Australia> 11 Federal Reserve System / Board of Governors 9 Rodney L. White Center for Financial Research 9 Birkbeck College / Department of Economics 8 Center for Economic Research <Tilburg> 8 Federal Reserve System / Division of Research and Statistics 8 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 7 Internationaler Währungsfonds / Research Department 7 The Wharton Financial Institutions Center 7 University of Chicago / Center for Research in Security Prices 7 Centre for Economic Policy Research 6 Federal Reserve Bank of St. Louis 6 Institut für Weltwirtschaft 6 Institute of Finance and Accounting <London> 6 Zentrum für Europäische Wirtschaftsforschung 6 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 5 Federal Reserve Bank of New York 5 Springer Fachmedien Wiesbaden GmbH 5 Svenska Handelshögskolan <Helsinki> 5 Banca d'Italia 4 Bank Austria <Wien> 4 Erasmus Research Institute of Management 4 Federal Reserve Bank of San Francisco 4 Goethe-Universität Frankfurt am Main / Institut für Kapitalmarktforschung 4 Kansantaloustieteen Laitos <Tampere> 4 National Bureau of Economic Research 4 New York Stock Exchange 4 Stock Exchange <London> 4 USA / Division of Market Regulation 4 University of Canterbury / Dept. of Economics and Finance 4 University of Exeter / Department of Economics 4 Weltbank / Policy Research Department / Finance and Private Sector Development Division 4 William Davidson Institute <Ann Arbor, Mich.> 4
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Published in...
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Working paper / National Bureau of Economic Research, Inc. 595 The journal of finance : the journal of the American Finance Association 497 Journal of banking & finance 419 Journal of financial economics 373 Applied financial economics 321 The review of financial studies 302 Applied economics letters 267 International review of financial analysis 257 Pacific-Basin finance journal 255 Journal of financial and quantitative analysis : JFQA 249 Applied economics 233 Discussion paper / Centre for Economic Policy Research 233 International review of economics & finance : IREF 203 Review of quantitative finance and accounting 178 The journal of futures markets 176 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 175 Journal of empirical finance 174 Economic modelling 173 International journal of economics and finance 170 Journal of international financial markets, institutions & money 168 Economics letters 165 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 151 The European journal of finance 151 International journal of economics and financial issues : IJEFI 150 Finance research letters 146 Research in international business and finance 144 Journal of economics and finance 124 Energy economics 123 The financial review : the official publication of the Eastern Finance Association 119 Finance India : the quarterly journal of Indian Institute of Finance 111 The journal of corporate finance : contracting, governance and organization 109 The North American journal of economics and finance : a journal of financial economics studies 107 Investment management and financial innovations 106 Review of Pacific Basin financial markets and policies 103 Quarterly journal of business and economics : QJBE 101 CESifo working papers 100 Journal of international money and finance 100 The journal of applied business research 100 Journal of financial markets 98 Global finance journal 96
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Source
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ECONIS (ZBW) 27,544 RePEc 210 BASE 31 EconStor 9
Showing 1 - 50 of 27,794
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Financial performance as mediator on the impact of investment and financial decisions on stock price and future profit : the case of the Jordanian financial sector
Al-Slehat, Zaher Abdel Fattah - In: International journal of economics and financial issues … 10 (2020) 2, pp. 242-247
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Analysis of factors affecting stock prices in mining sector : evidence from Indonesia Stock Exchange
Zakia Maulida Antono; Adam Amril Jaharadak; Abdul Ali … - In: Management science letters 9 (2019) 10, pp. 1701-1710
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Assessment of the correlation between price-earnings ratio and stock market returns of universal banks in the Philippines
Dayag, Antonio Jaramillo; Trinidad, Fernando - In: International Journal of Research in Business and … 8 (2019) 5, pp. 172-181
Persistent link: https://ebtypo.dmz1.zbw/10012146106
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Determinants of return on assets and implications on stock price changes level
Riyani, Yani; Mardiah, Kartawati; Suherma, Linda - In: International journal of economics and financial issues … 9 (2019) 2, pp. 110-114
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The effects of commodity discoveries on small open economies : empirical evidence from the Falkland Islands
Morley, Bruce - In: Economies : open access journal 7 (2019) 4/106, pp. 1-10
The aim of this study is to determine the effects of discovering oil on the performance of a small open economy, in this case the Falkland Islands. Using an event study approach and the return on one of the Falkland Islands´ main companies, the results suggest that the discovery of oil has...
Persistent link: https://ebtypo.dmz1.zbw/10012132306
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Dispersed information and asset prices
AlbagIi, Elias; Hellwig, Christian; Tsyvinski, Aleh - 2021
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The relationship between the oil price shocks and the stock markets : the example of commonwealth of independent states countries
Syzdykova, Aziza - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 6, pp. 161-166
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Asset price, the exchange rate, and trade balances in China : a sign restriction VAR approach
Kim, Wongi - In: East Asian economic review 22 (2018) 3, pp. 371-400
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Impact of accounting information on financial statements to the stock price of the energy enterprises listed on Vietnam's stock market
Dang Ngoc Hung; Hoang Thi Viet Ha; Dang Thai Binh - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 2, pp. 1-6
Persistent link: https://ebtypo.dmz1.zbw/10011848264
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The effect of adjustment announcement of predicted profit on price and trading volume of listed companies in Tehran Stock Exchange
Pakdel, Majid; Talebbeydokhti, Abbbas - In: Dutch journal of finance and management 2 (2018) 1/49, pp. 1-4
This study investigated the effect of adjustment announcement of predicted profit on price and stocks trading volume of listed companies in Tehran Stock Exchange, in order to determine whether the declaration of adjusted earnings forecast have effect on the two parameters of price and trading...
Persistent link: https://ebtypo.dmz1.zbw/10012063172
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Asymmetric responses of stock prices to money supply and oil prices shocks in Turkey : new evidence from a nonlinear ARDL approach
Altintas, Halil; Yacouba, Kassouri - In: International journal of economics and financial issues … 8 (2018) 4, pp. 45-53
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Influence of accounting information on stock price volatility in Nigeria
Uniamikogbo, E.; Ezennwa, E. O.; Bennee, E. - In: Accounting and taxation review : A&TR 2 (2018) 4, pp. 113-124
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Determinants of firm’s value : evidence from financial industry
Endri, Endri; Fathony, Moch - In: Management science letters 10 (2020) 1, pp. 111-120
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Crowded trades, market clustering, and price instability
Kralingen, Marc van; Garlaschelli, Diego; Scholtus, Karolina - 2020
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree of trading overlap among any two investors in that...
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Crowded trades, market clustering, and price instability
Kralingen, Marc van; Garlaschelli, Diego; Scholtus, Karolina - 2020
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Diverging roads: theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020
We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the quality of their return forecasts. In the low signal-to-noise environment of a one month horizon, we find that it is preferable to rely on a theory-based approach instead of engaging...
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Editorial statement and research ideas for efficiency and anomalies in stock markets
Wong, Wing Keung - In: Economies : open access journal 8 (2020) 1/10, pp. 1-4
The Efficient Market Hypothesis states that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear...
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An empirical study of the earnings-returns association : an evidence from China's A-share market
Alduais, Fahd - In: Future Business Journal 6 (2020) 5, pp. 1-12
This paper aims to investigate the returns-earnings association in the context of the Chinese capital market. Previously, the investigations brought about disputable outcomes concerning the handiness of models utilizing earnings levels or earnings changes as the informative factors. In this...
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Market valuation and acquiring firm performance in the short and long term : out-of-sample evidence from Spain
Farinós Viñas, José Emilio; Herrero, Begoña; … - In: Business research quarterly : BRQ 23 (2020) 1, pp. 1-14
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An empirical analysis of behavioral finance in the Saudi stock market : evidence of overconfidence behavior
Alsabban, Soleman; Alarfaj, Omar - In: International journal of economics and financial issues … 10 (2020) 1, pp. 73-86
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Illiquidity premium and monetary conditions in emerging markets : an empirical examination of Taiwan stock markets
Chen, Chia-Cheng; Tai, Chia-Li; Liu, Yi-Sheng - In: International journal of economics and financial issues … 10 (2020) 1, pp. 109-117
Persistent link: https://ebtypo.dmz1.zbw/10012151235
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How do calendar anomalies affect an investment choice? : a proposal of an analytic hierarchy process model
Rossi, Matteo; Marcarelli, Gabriella; Ferraro, Antonella; … - In: International journal of economics and financial issues … 10 (2020) 1, pp. 244-249
Persistent link: https://ebtypo.dmz1.zbw/10012151328
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Stock holding decisions of foreign investors in emerging stock markets : a case study in Vietnam
Bui Ngoc Toan - In: Management science letters 10 (2020) 3, pp. 625-630
Persistent link: https://ebtypo.dmz1.zbw/10012151338
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Reaction of stock market index to oil price shocks
Shirazi, Masoud; Meibodi, Ali Emami - In: Iranian economic review : journal of University of Tehran 24 (2020) 1, pp. 99-128
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
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Persistent link: https://ebtypo.dmz1.zbw/10012156426
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Implied Volatility Duration : a measure for the timing of uncertainty resolution
Schlag, Christian; Thimme, Julian; Weber, Rüdiger - 2020 - This version: January 27, 2020
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...
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Variance decomposition in dividend policy at three levels
Perveen, Farzana; Aksar, Muhammad; Ul Haq, Ayaz; … - In: International journal of management, economics and … 9 (2020) 1, pp. 24-36
Dividend is an unresolved puzzle in corporate finance and present study attempted to resolve this puzzle by testing the impact of industry, firm, and firm year on dividend policy. The study applied the variance decomposition technique in order to investigate the variance in dividend payout...
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Efficient market hypothesis in the presence of market imperfections : evidence from selected stock markets in Africa
Kelikume, Ikechukwu; Olaniyi, Evans; Iyohab, Faith A. - In: International journal of management, economics and … 9 (2020) 1, pp. 37-57
This paper investigated the weak axiom of the efficient market hypothesis (EMH) as it applies to fifteen (15) leading stock markets in Africa. There are currently over twenty-nine stock exchanges in Africa with a significant degree of disparities ranging from market size, trading volume, number...
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Effects of carbon tax on electricity price volatility : empirical evidences from the Australian market
Comincioli, Nicola; Vergalli, Sergio - 2020
Among the wide variety of policy options adopted worldwide to control carbon emissions, one of the most environmentally effective and economically efficient is represented by carbon tax, that aims to recoup the damage arising from polluting production processes. In this paper, we focus on the...
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Time-varying effect of oil price shocks on the stock market returns : evidence from oil-importing and oil-exporting countries
Mokni, Khaled - In: Energy reports 6 (2020), pp. 605-619
This paper performs a two-stage methodology based on the Structural VAR and time-varying parameter regression models to examine the dynamic reaction of a set of oil-related countries' stock markets to oil price shocks. Oil prices are studied by disentangling demand and supply shocks. Based on...
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The frequency of one-day abnormal returns and price fluctuations in the FOREX
Caporale, Guglielmo Maria; Plastun, Alex; Oliinyk, Viktor - 2020
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
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Stock price related financial fragility and growth patterns
Aßmuth, Pascal - 2020
The total output of an economy usually follows cyclical movements which are accompanied by similar movements in stock prices. The common explanation relies on the demand side. It points out that stock market wealth drives consumption which triggers production afterwards. This paper focuses on...
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Does individual investor attention to financial information influence the pricing of stocks?
Song, Shiwon - 2020 - Revised version of 2018/37/ACC
Persistent link: https://ebtypo.dmz1.zbw/10012199473
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Valuation ratios, surprises, uncertainty or sentiment : how does financial machine learning predict returns from earnings announcements?
Schnaubelt, Matthias; Seifert, Oleg - 2020
We apply state-of-the-art financial machine learning to assess the return-predictive value of more than 45,000 earnings announcements on a majority of S&P1500 constituents. To represent the diverse information content of earnings announcements, we generate predictor variables based on various...
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What the stock market tells us about the consequences of COVID-19
Ramelli, Stefano; Wagner, Alexander F. - In: Mitigating the COVID economic crisis : act fast and do …, (pp. 63-70). 2020
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Essays in empirical asset pricing and international finance
Niu, Zilong - 2020
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News-driven expectations and volatility clustering
Inoua, Sabiou M. - In: Journal of risk and financial management : JRFM 13 (2020) 1/17, pp. 1-14
Financial volatility obeys two fascinating empirical regularities that apply to various assets, on various markets, and on various time scales: it is fat-tailed (more precisely power-law distributed) and it tends to be clustered in time. Many interesting models have been proposed to account for...
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Equity option pricing with systematic and idiosyncratic volatility and jump risks
Li, Zhe - In: Journal of risk and financial management : JRFM 13 (2020) 1/16, pp. 1-18
Recently, a large number of empirical studies indicated that individual equity options exhibit a strong factor structure. In this paper, the importance of systematic and idiosyncratic volatility and jump risks on individual equity option pricing is analyzed. First, we propose a new factor...
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On the market efficiency and liquidity of high-frequency cryptocurrencies in a bull and bear market
Zhang, Yuanyuan; Chan, Stephen; Chu, Jeffrey; Sulieman, Hana - In: Journal of risk and financial management : JRFM 13 (2020) 1/8, pp. 1-14
The market for cryptocurrencies has experienced extremely turbulent conditions in recent times, and we can clearly identify strong bull and bear market phenomena over the past year. In this paper, we utilise algorithms for detecting turnings points to identify both bull and bear phases in...
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The long memory of equity volatility and the macroeconomy : international evidence
Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; … - 2020
This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates...
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How do corporate social responsibility and corporate governance affect stock price crash risk?
Hunjra, Ahmed Imran; Mehmood, Rashid; Tayachi, Tahar - In: Journal of risk and financial management : JRFM 13 (2020) 2/30, pp. 1-15
We investigate the impact of corporate social responsibility (CSR) and corporate governance on stock price crash risk in manufacturing sector of India and Pakistan. We collect data of nine years from 2010 to 2018 from DataStream of 353 manufacturing firms. We apply the Generalized Method of...
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The equity curve and its relation to future stock returns
Stotz, Olaf - In: Journal of risk and financial management : JRFM 13 (2020) 2/19, pp. 1-16
Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equity curve is associated with higher future...
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Liquidity and corporate governance
Berglund, Tom - In: Journal of risk and financial management : JRFM 13 (2020) 3/54, pp. 1-9
This paper discusses the relationship between stock market liquidity and corporate governance. Both concepts are widely investigated from different angles in the literature. It is generally agreed that they are related so that better corporate governance implies higher liquidity for shares of...
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GARCH option pricing models and the variance risk premium
Zhang, WenJun; Zhang, Jin E. - In: Journal of risk and financial management : JRFM 13 (2020) 3/51, pp. 1-21
In this paper, we modify Duan’s (1995) local risk-neutral valuation relationship (mLRNVR) for the GARCH option-pricing models. In our mLRNVR, the conditional variances under two measures are designed to be different and the variance process is more persistent in the risk-neutral measure than...
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A general family of autoregressive conditional duration models applied to high-frequency financial data
Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of risk and financial management : JRFM 13 (2020) 3/45, pp. 1-20
In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape...
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Follow the assets : is the US listing gap "real"?
Eckbo, B. Espen; Lithell, Markus - 2020
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
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The short-term and long-term trade-off between risk and return: chaos vs rationality
Liu, Chang; Shi, Haoming; Wu, Liang; Guo, Min - In: Journal of business economics and management 21 (2020) 1, pp. 23-43
This paper used the composite construction method proposed by Haugen (1999) and its application by Zhao and Wang (2010) for the Chinese stock market. Utilizing the Shanghai A-share market stocks data, this paper first selected the shares listed on the Shanghai Stock Exchange during January 1,...
Persistent link: https://ebtypo.dmz1.zbw/10012176152
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Forecasting, valuation and portfolio returns of stock market evolution: problems, paradoxes and efficient information : worldwide implications and Romanian evidence
Turcaş, Florin; Dumiter, Florin Cornel; Brezeanu, Petre; … - In: Journal of business economics and management 21 (2020) 1, pp. 87-114
The purpose of this paper is to make a quantitative and qualitative critical analyse regarding the three important aspects of stock market evolution. First, the forecasting problems are presented and analyse in order to establish the main problems and the potential solutions. Second, the...
Persistent link: https://ebtypo.dmz1.zbw/10012176187
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The dynamic impact of FX interventions on financial markets
Menkhoff, Lukas; Rieth, Malte; Stöhr, Tobias - 2020
Evidence on the effectiveness of FX interventions is either limited to short horizons or hampered by debatable identification. We address these limitations by identifying a structural vector autoregressive model for the daily frequency with an external instrument. Generally, we find, for freely...
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