Of Shepards, Sheep, and the Cross-Autocorrelations in Equity Returns PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Of Shepards, Sheep, and the Cross-Autocorrelations in Equity Returns PDF full book. Access full book title Of Shepards, Sheep, and the Cross-Autocorrelations in Equity Returns by S.G. Badrinath. Download full books in PDF and EPUB format.
Author: S.G. Badrinath
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We present an economic mechanism, and supportive empirical evidence, for the transmission of information between equity securities first documented by Lo and MacKinlay (1990). It is argued that the past returns on stocks held by informed institutional traders will be positively correlated with the contemporaneous returns on stocks held by noninstitutional uninformed traders. Evidence consistent with this hypothesis is then presented. We document that the returns on the portfolio of stocks with the highest level of institutional ownership lead the returns on portfolios of stocks with lower levels of institutional ownership. This effect persists after firm size is controlled for and is apparent at longer lags than the size-related lag effects documented in Lo and MacKinlay (1990).
Author: S.G. Badrinath
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We present an economic mechanism, and supportive empirical evidence, for the transmission of information between equity securities first documented by Lo and MacKinlay (1990). It is argued that the past returns on stocks held by informed institutional traders will be positively correlated with the contemporaneous returns on stocks held by noninstitutional uninformed traders. Evidence consistent with this hypothesis is then presented. We document that the returns on the portfolio of stocks with the highest level of institutional ownership lead the returns on portfolios of stocks with lower levels of institutional ownership. This effect persists after firm size is controlled for and is apparent at longer lags than the size-related lag effects documented in Lo and MacKinlay (1990).
Author: Dr. Othmar M. Lehner
Publisher: ACRN Publishing House
ISBN: 3950351817
Category : Business & Economics
Languages : en
Pages : 575
Get Book Here
Book Description
Proceedings of the 14th FRAP Finance, Risk and Accounting Perspectives conference taking place in Cambridge UK.
Author: Tokuo Iwaisako
Publisher:
ISBN:
Category :
Languages : en
Pages : 70
Get Book Here
Book Description
Author: Wing-Keung Wong
Publisher: MDPI
ISBN: 3039365312
Category : Business & Economics
Languages : en
Pages : 382
Get Book Here
Book Description
The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply finance, and corporate finance. The topics in economics including economic growth, income poverty, and political economics.
Author: François-Serge Lhabitant
Publisher: John Wiley & Sons
ISBN: 0470181699
Category : Business & Economics
Languages : en
Pages : 502
Get Book Here
Book Description
Brings together today's best financial minds across the world to discuss the issue of liquidity in today's markets. It is often proxied by trade-based measures (such as trading volume, frequency of trading, dollar value of shares trade, etc), order based measures and price impact measures.
Author: Irene Aldridge
Publisher: John Wiley & Sons
ISBN: 0470909641
Category : Business & Economics
Languages : en
Pages : 210
Get Book Here
Book Description
The only book that examines the economic events relevant to economic indicators Economic indicators are often the primary drivers of value in various financial securities, from equities and fixed income to foreign exchange, commodities, and various derivative instruments. Most indicators are released on a fixed schedule, known well in advance. However, aggregating the schedules of all the announcements is a lot of work. That's where The Quant Investor's Almanac 2011comes in handy. This reliable guide identifies the release dates of data used by leading indicators, which are widely used by traders, and then puts this information in perspective – all while organizing this valuable information into an easy to use calendar format. Highlights the latest research related to each economic indicator Includes an online application where you can find daily updates to economic events and expanded references Provides a ready reference for properly anticipating changes in securities given various economic announcements The right information can make all the difference in your trading or investing endeavors. This book will show you exactly what you need to know in order to enhance your financial performance.
Author:
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 608
Get Book Here
Book Description
Author: Cheng-Few Lee
Publisher: Center for PBBEFR & Airiti Press
ISBN: 9868518245
Category : Business & Economics
Languages : en
Pages : 304
Get Book Here
Book Description
Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession. The papers in this volume cover a wide range of topics including corporate finance and debt management, earnings management, equity market, auditing, option pricing theory, and interest rate theory. In this volume there are eleven chapters, five of them are corporate finance and debt management: 1. Liquidity and Adverse Selection: Evidence from the Five-or-Fewer Rule Change; 2. Changing Business Environment and the Value of Relevance of Accounting Information; 3. Pricing Risky Securities in Hidden Markov-Modulated Poisson Processes; 4. An Empirical Assessment of Alternative Dividend Expectation Models; 5. Quantitative Market Risk Disclosure, Bond Default Risk and The Cost of Debt: Why Value At Risk? There are two of the other six chapters which cover interest rate theory: 1. Positive Interest Rates and Yields: Additional Serious Considerations; 2. Collapse of Dimensionality in the Interest Rate Term Structure. The remaining four chapters cover financial analysts earnings forecasts, equity market, auditing, and option pricing theory. These four papers are: 1. Investors’ Apparent Under-weighting of Financial Analysts’ Earnings Forecasts: The Role of Share Price Scaling and Omitted Risk Factors; 2. Predicting Stock Price by Applying the Residual Income Model and Bayesian Statistics; 3. Intertemporal Associations Between Non-Audit Services and Auditors’ Tendency to Allow Discretionary Accruals; 4. Put Option Portfolio Insurance vs. Asset Allocation.
Author:
Publisher:
ISBN:
Category : Futures
Languages : en
Pages : 788
Get Book Here
Book Description
Author: Greg N. Gregoriou
Publisher: CRC Press
ISBN: 1420099558
Category : Business & Economics
Languages : en
Pages : 654
Get Book Here
Book Description
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
