An Investigation Into the Cross-sectional Determinants of Expected Stock Returns in the London Stock Exchange PDF Download
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Author: George Leledakis
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: George Leledakis
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Author: George N. Leledakis
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This study is an investigation into the cross-sectional determinants of stock returns in a small market - the Athens Stock Exchange - where the Fama and French portfolio grouping procedure that is normally used to counter the error in variables problem in estimating beta is problematic due to the small number of stocks. A maximum likelihood technique is applied, similar to that developed by Litzenberger and Ramaswamy (Journal of Financial Economics, 7, 163-95, 1979), which is arguably a better procedure than the portfolio grouping method even for investigating large (developed) markets. A further empirical problem that was addressed was the possibility that the results were being driven by the 'January effect'. The findings for the Athens market suggest that there is only one substantive variable in explaining the cross-sectional variation of market and that is market equity ME (which captures a size effect).
Author: S. P. Kothari
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 51
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Author: Jean-Paul Sursock
Publisher:
ISBN:
Category :
Languages : en
Pages : 122
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Author: Ian R. Davidson
Publisher:
ISBN: 9781899275809
Category : Corporations
Languages : en
Pages : 30
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Author: Michael J. Brennan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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We analyze the relation between equity returns, risk, and a rich set of security characteristics that includes institutional ownership, Samp;P 500 index membership, analyst following, and dispersion in analyst forecasts, in addition to previously examined variables such as the book-to-market ratio, firm size, the bid-ask spread, and lagged returns. Our primary objective is to determine whether these characteristics have marginal explanatory power relative to the Connor and Korajczyk (1988) risk factors. We also compare the different approaches that have been used to test asset pricing models against specific alternatives. We find that inferences are extremely sensitive to the sorting criteria used for portfolio formation, so that results based on regressions using portfolio returns should be interpreted with caution. Fama-MacBeth type regressions for individual securities suggest some new findings: risk-adjusted stock returns show a puzzling negative (and strongly significant) relation to the bid-ask spread, a negative relation with both size and share turnover, and a positive relation with both Samp;P 500 membership and analyst following. However, previously noted book-to-market and size effects are eliminated once account is taken of the above characteristics.
Author: J. Benson Durham
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 60
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Author: Ana Paula Serra
Publisher:
ISBN:
Category :
Languages : en
Pages : 39
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This paper looks at the cross-section of stock returns for the particular case of emerging markets. For each of 21 emerging markets I investigate the role of a set of a priori specified factors in the cross-section of returns, and subsequently assess whether the important factors are common. I use new data on emerging markets' individual stocks from the Emerging Markets Data Base. My results indicate that the most important pricing factors are common to the emerging markets in my sample, and that these important factors are similar to those identified for mature markets. Among the top six factors are technical factors and stock price level attributes. The payoffs to these factors are not correlated suggesting that even if investors across markets elect similar factors to price assets, those factors' risk premia are local.
Author: Fangzhou Huang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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In this thesis, we investigate the relationship between the US stock returns and downside risk in a cross-sectional context. When the classic market model with a moving window approach is adopted, downside risk estimated coefficients exhibit a positive impact on stock returns. However, when two other non-linear time-varying models; the cuiic piecewise polynomial function (CPPF) and the Fourier Flexible Form (FFF) models are adopted, downside risk estimated coefficients show a negative impact on stock returns, Cross-sectinally, the reisk estimated coefficients of the town non-linear models produce a much better fit than the classic market model. The predictive power for future stock returns of downside risk estimated coefficients are found to be weak. Two more risk factors: commodityh market risk and Aruoba-Diebold-Scotti (ADS) business condition index risk (both downside and upside versions thereof), are shown to have a significant effect on stock returns.
