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Informational Content of Open-to-Close Stock Returns
Open-to-Close Returns Opening Returns Stock Price Reversals
2016/1/27
In the present study, I explore interday correlations between open-to-close and opening stock returns. Employing intraday price data on all the stocks that were S&P 500 Index constituents during the p...
Impact of Earnings Smoothness on Stock Prices, Stock Returns and Future Earnings Changes – the Polish Experience
Earnings smoothness Stock returns Stock valuation Valuation multiples
2016/1/27
Capital markets appreciate stability. It means that companies reporting smooth earnings patterns tend to be priced relatively high. However, the empirical issue is whether such valuation premiums for ...
Comment on ‘The Use of a Monetary Aggregate to Target Nominal GDP’ by Martin Feldstein and James Stock
Monetary Aggregate GDP
2015/8/4
Comment on ‘The Use of a Monetary Aggregate to Target Nominal GDP’ by Martin Feldstein and James Stock.
On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree
ultrametricity minimum spanning tree liquidity Jakarta Stock Exchange
2015/7/31
We analyze the evolving price °uctuations by using ultrametric distance of minimally spanning ˉnancial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transfo...
Discussion of "The Cross Section and Time Series of Stock and Bond Returns" by Koijen, Lustig & Van Nieuwerburgh
Cross Section Stock and Bond Returns
2015/7/23
A￠ ne model in which:
ñ 3 priced factors explain the cross section of bond and stock returns:
level, CP, DP
ñ 2 factors explain the time variation in bond and stock returns:
CP, DP
Economists are as perplexed as anyone by the behavior of the stock market. Figure 1 shows a broad measure of stock-market value in relation to GDP from 1947 through 2000. In addition to saw-tooth move...
The value of a firm’s securities measures the value of the firm’s productive assets. If the assets include only capital goods and not a permanent monopoly franchise, the value of the securities measur...
How does the market react to news regarding large uncertain projects?
We analyze stock market reactions to information about changes in opening dates of
movies, and present two main findings. ...
Do International Agreements Make Reforms More Credible? The Impact of NAFTA on Mexican Stock Prices
Reforms More Credible Mexican Stock Prices
2015/6/5
This paper argues that international commercial agreements can enhance the credibility of trade
liberalization by mitigating two problems – adverse selection and time-inconsistency – that
sometimes ...
The Impact of Shareholder Activism on Financial Reporting and Compensation:The Case of Employee Stock Options Expensing
Shareholder Activism Shareholder Votes Stock Option Expensing Executive Compensation
2015/5/13
We examine the economic consequences of more than 150 shareholder proposals to expense employee stock options (ESO) submitted during the proxy seasons of 2003 and 2004, the first case in which the SEC...
Do Executive Stock Options Encourage Risk-Taking?
Risk and Uncertainty Motivation and Incentives Stock Options Executive Compensation
2015/5/13
Executive stock options create incentives for executives to manage firms in ways that maximize firm market value. Since options increase in value with the volatility of the underlying stock, executive...
Stock Price Fragility
Financial Liquidity Stocks Price Market Transactions Ownership Risk and Uncertainty
2015/4/22
We investigate the relationship between ownership structure of financial assets and non-fundamental risk. An asset is fragile if its owners collectively have to buy or sell. Such assets are susceptibl...
In an unexpected mashup of financial and mechanical engineering, researchers have discovered that the same modeling used to forecast fluctuations in the stock market can be used to predict aspects of ...
Common Mistakes when Applying Computational Intelligence and Machine Learning to Stock Market modelling
Computational intelligence machine learning stock market equities automated stock tradin mistakes.
2012/9/17
For a number of reasons, computational intelligence and machine learning methods have been largely dismissed by the professional community. The reasons for this are numerous and ...
A quantum mechanical model for the relationship between stock price and stock ownership
quantum mechanical model relationship between stock price stock ownership
2012/9/14
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is between traders, that is,...