Stock returns following large 1-month declines and jumps: Evidence of overoptimism in the German market

2006 ◽  
Vol 46 (4) ◽  
pp. 598-619 ◽  
Author(s):  
Jan Ising ◽  
Dirk Schiereck ◽  
Marc W. Simpson ◽  
Thomas W. Thomas
Keyword(s):  
Stock Returns ◽  
German Market

scholarly journals The role of over-reaction and the disposition effect in explaining momentum in Latin American emerging markets

2011 ◽  
Vol 69 (273) ◽  
Author(s):  
Isabel Abinzano ◽  
Luis Muga ◽  
Rafael Santamaria
Keyword(s):  
United States ◽  
Stock Returns ◽  
Latin American ◽  
The United States ◽  
Momentum Effect ◽  
Medium Term ◽  
German Market ◽  
The United Kingdom ◽  
European Markets

Medium-term continuation in stock returns, also known as ‘the momentum effect’, is an empirical pattern found almost universally across both the United States (US) market1 and others (see Rouwenhorst 1998, for various European markets; Chui et al. 2000, or Hameed and Kusnadi 2002, for some Asian Basin markets; Hon and Tonks 2003, for the United Kingdom; Glaser and Weber 2003, for the German market; Muga and Santamaria 2007a, for some Latin-American markets).

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Geographic Concentration of Firm’s Income-Producing Assets and Stock Returns

2018 ◽  
Author(s):  
Stanimira Milcheva ◽  
Yildiray Yildirim ◽  
Zhu Bing
Keyword(s):  
Stock Returns ◽  
Geographic Concentration

The Impact of Dividend Announcement on Stock Returns

2016 ◽  
Vol 7 (1) ◽  
pp. 46
Author(s):  
Naik Priyanka Umesh ◽  
Nezvila Tracy Saldanha ◽  
Y. V. Reddy
Keyword(s):  
Stock Returns ◽  
The Impact
Sign in / Sign up

Export Citation Format

Share Document