Policy risks, technological risks and stock returns: New evidence from the US stock market

2015 ◽  
Vol 51 ◽  
pp. 359-365 ◽  
Author(s):  
Nicholas Apergis
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
The Us ◽  
New Evidence

Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods

2020 ◽  
Author(s):  
Aviral Kumar Tiwari ◽  
Adeolu O. Adewuyi ◽  
Olabanji B. Awodumi ◽  
David Roubaud
Keyword(s):  
Stock Returns ◽  
The Us ◽  
New Evidence

scholarly journals Monetary Stability and Stock Returns: A Bivariate Generalized Autoregressive Conditional Heteroscedasticity Modelling Study

2015 ◽  
Vol 5 (2) ◽  
pp. 1 ◽  
Author(s):  
Ning Zeng
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Return ◽  
Inflation Rate ◽  
Common Stock ◽  
Conditional Correlation ◽  
Monetary Stability ◽  
The Core ◽  
The Us ◽  
Autoregressive Conditional Heteroscedasticity

<p class="ber"><span lang="EN-GB">This paper employs a constant conditional correlation bivariate EGARCH-in-mean model to investigate interactions among the rate of inflation, stock returns and their respective volatilities. This approach is capable of accommodating all the possible causalities among the four variables simultaneously, and therefore could deliver contemporary evidence of the nexus between monetary stability and stock market. The postwar dataset of the US inflation and stock returns is divided into pre- and post- Volcker period and the estimation results show some significant changes of inflation-stock return relation, as well as indirect links between two volatilities. The core findings in this study suggest that promoting monetary stability contributes to more mutual interactions among the four variables, in particular, common stock is a more effective hedge against inflation, and the level of inflation rate is central to explaining the relation between the two volatilities.</span></p>

scholarly journals Retornos anormais e estratégias contrárias

2003 ◽  
Vol 1 (2) ◽  
pp. 165 ◽  
Author(s):  
Marco Bonomo ◽  
Ivana Dall'Agnol
Keyword(s):  
Firm Performance ◽  
Stock Market ◽  
Stock Returns ◽  
Abnormal Returns ◽  
Systematic Evaluation ◽  
Momentum Effect ◽  
The Real ◽  
Contrarian Strategies ◽  
The Us ◽  
Inflation Stabilization

We test the hypothesis that strategies which are long on portfolios of looser stocks and short on portfolios of winner stocks generate abnormal returns in Brazil. This type of evidence for the US stock market was interpreted by The Bondt and Thaler (1985) as reflecting systematic evaluation mistakes caused by investors overreaction to news related to the firm performance. We found evidence of contrarian strategies profitability for horizons from 3 months to 3 years in a sample of stock returns from BOVESPA and SOMA from 1986 to 2000. The strategies are more profitable for shorter horizons. Therefore, there was no trace of the momentum effect found by Jagadeesh and Titman (1993) for the same horizons with US data. There are remaing unexplained positive returns for contrarian strategies after accounting for risk, size, and liquidity. We also found that the strategy profitability is reduced after the Real Plan, which suggests that the Brazilian stock market became more efficient after inflation stabilization.

scholarly journals What Does Vietnam Gain When Its Currency Depreciates?

Economies ◽  
2021 ◽  
Vol 9 (4) ◽  
pp. 185
Author(s):  
Nguyen Thi Thanh Binh
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Regime Switching ◽  
Stock Price ◽  
Time Series Data ◽  
Series Data ◽  
The Us ◽  
High Volatility ◽  
Short Run ◽  
The Impact

The study investigates how the depreciation of the Vietnam dong (VND) against the US dollar (USD) affected export turnover and the stock market in Vietnam during the period from 2000 to 2020. A Markov triple regime-switching model is developed for time-series data involving multistructural breaks. Empirical results reveal that the impact of exchange rates on export turnover and stock price existed both in the long and short run. In the short run, the depreciation of VND led to (i) an increase in export turnover after 12 months; (ii) a decrease in export turnover of the high-growing regime in the short term; (iii) a reduction in stock returns in most cases. In addition, the common cycle from order receipt, preparation, production, and export is about 12 months for all states. The high volatility of export turnover was associated with high export growth. The commonly used phrase of “high risk, high return” seems to not be true for Vietnam’s stock market. The results of this study suggest the feasibility of a slight appreciation of VND against USD, which is the key to escape from being labeled a currency manipulator by the US Treasury.

scholarly journals Impact of M&A Announcement on Stock Returns of Acquirer Companies: New Evidence from Indian Stock Market

2017 ◽  
Vol 3 (1) ◽  
pp. 86
Author(s):  
Richa Vij
Keyword(s):  
Stock Market ◽  
Mergers And Acquisitions ◽  
Stock Returns ◽  
Capital Market ◽  
Stock Return ◽  
Strong Form ◽  
Business Objectives ◽  
Indian Stock Market ◽  
The Impact ◽  
New Evidence

Mergers and Acquisitions (M&As) are often used as preferred tools of corporate structuring to serve a variety of business objectives and add value for the shareholders. Earlier studies have triggered a number of questions regarding the impact of M&As for the shareholders of acquiring companies. This paper focuses on the M&A among Indian companies and the response of the Indian capital market to such attempts as reflected in the changes in the stock return for different window periods close the M&A announcement. The findings of the present study suggest that there is significant impact of M&A announcement on stock returns for almost half of the sample acquirer companies. The study offers evidence in support of the contention that Indian stock market is not efficient in the semi-strong form with respect to M&A announcement information for acquirer companies and emphasizes that  investment analyst cannot ignore the information regarding the M&A deals.

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