scholarly journals THE RELATIONSHIP BETWEEN STOCK RETURN SKEWNESS AND BANK FEATURES

2018 ◽  
Vol 06 (02) ◽  
pp. 1850010
Author(s):  
SILVIA BRESSAN ◽  
ALEX WEISSENSTEINER
Keyword(s):  
Stock Returns ◽  
Empirical Evidence ◽  
Stock Options ◽  
Stock Return ◽  
Expected Returns ◽  
The Past ◽  
Small Banks ◽  
The Relationship ◽  
Forward Looking

This paper studies to what extent bank-specific characteristics relate to stock return skewness. The main finding is that stock return skewness decreases significantly in bank size, measured in terms of total assets, i.e stocks of large banks are less skewed than those of small banks. This result holds for backward-looking skewness computed using the past stock returns, as well as for forward-looking skewness extracted from stock options. We interpret the empirical evidence by arguing that bank size increases the likelihood to have severe losses, to the point that investors expect to be compensated by receiving higher expected returns.

Stock Return Asymmetry: Beyond Skewness

2019 ◽  
Vol 55 (2) ◽  
pp. 357-386 ◽  
Author(s):  
Lei Jiang ◽  
Ke Wu ◽  
Guofu Zhou ◽  
Yifeng Zhu
Keyword(s):  
Distribution Function ◽  
Stock Returns ◽  
Empirical Evidence ◽  
Cross Section ◽  
Stock Return ◽  
Central Moment ◽  
The Third ◽  
The Cross ◽  
Asymmetry Measures ◽  
The Relationship

In this article, we propose two asymmetry measures for stock returns. Unlike the popular skewness measure, our measures are based on the distribution function of the data rather than just the third central moment. We present empirical evidence that the greater upside asymmetries calculated using our new measures imply lower average returns in the cross section of stocks. In contrast, when using the skewness measure, the relationship between asymmetry and returns is inconclusive.

scholarly journals Media Coverage and Stock Return in the Taiwan Stock Market

2015 ◽  
Vol 65 (s2) ◽  
pp. 35-53 ◽  
Author(s):  
Kuei-Yuan Wang ◽  
Chien-Kuo Chen ◽  
Hsiao-Chi Wei
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Media Coverage ◽  
Stock Return ◽  
Investment Decisions ◽  
The Past ◽  
Negative Effect ◽  
The Media ◽  
The Relationship ◽  
Positive Effect

The purposes of this paper were to explore the relationship between media coverage and stock returns in Taiwan stock markets. The empirical results were as follows: (1) stock returns showed causality with either media coverage amounts or the degrees of good/bad media coverage; (2) when impacted by the past stock returns, the stock return might finish its response to the impulse around three days and showed a negative effect, whereas when impacted by the past media coverage amounts, the media coverage amount might also finish its response to the impulse within three day and showed a negative effect; (3) when impacted by the degrees of the past good media coverage, the good media coverage degree might finish its response in three days and showed a negative effect, in which a positive effect might be presented on the first two days, while the effect might turn negative on the third day. Given that, when impacted by the past stock returns, the stock return might finish its response to the impulse within three days and showed a negative effect and, when impacted by the degrees of the past good media coverage, the stock return might also finish its response in three days and showed a negative effect. That is, media coverage could be used as an indicator to predict stock returns in the Taiwan stock markets when making investment decisions.

An Examination of the Relationship between Volatility and Expected Returns in the BRVM Stock Market

2018 ◽  
Vol 3 (5) ◽  
pp. 7-11 ◽  
Author(s):  
Godwin Olasehinde-Williams
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
West African ◽  
Expected Returns ◽  
Economic Agents ◽  
The Impact ◽  
The Relationship

Financial theory suggests that volatility affects average stock returns positively. It is claimed that markets reward economic agents for the risk they assume with higher returns. This study uses an ARMA (1, 2)-GARCH (1, 1)-M technique to examine the impact of volatility on BRVM stock returns in the integrated regional West African stock market. A positive but insignificant relationship was found between volatility and stock returns. The study concludes that there is no significant feedback from volatility to average returns in the stock market. Our findings indicate that investors are not compensated for taking risks in the regional stock market.

Can Earnings Innovations Explain The Inverse Relationship Between Unanticipated Inflation And Stock Returns?

2011 ◽  
Vol 9 (2) ◽  
pp. 10 ◽  
Author(s):  
Jon A. Hooks
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Inverse Relationship ◽  
Explanatory Power ◽  
Earnings Forecast ◽  
Capitalization Rate ◽  
Relationship Of ◽  
The Impact ◽  
The Relationship ◽  
Unanticipated Inflation

Hooks (1991) argues that the explanatory power of unanticipated inflation in stock return models appears to result from the relationship of unanticipated inflation with the earnings capitalization rate and not the impact inflation has on the level or growth rate of earnings. Here we extend this line of investigation by examining the relationship between unanticipated inflation and the earnings innovation extracted from a univariate earnings forecast. We show that unanticipated inflation has no significant relationship with innovations in conventional earnings. However, we find that unanticipated inflation has a significant positive relationship with the magnitude of the earnings innovation during the 1955-85 period when earnings are adjusted to account for the effects of inflation on firms assets and liabilities.

scholarly journals Can Common Stocks Provide Hedge against Inflation? Evidence from SAARC Countries

2012 ◽  
Vol 51 (4II) ◽  
pp. 435-448
Author(s):  
Syed Zulfiqar Ali Shah ◽  
Zafar Mueen Nasir ◽  
Muhammad Naeem
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Negative Relationship ◽  
Expected Return ◽  
Negative Results ◽  
Expected Inflation ◽  
Inflation Rates ◽  
Fisher Hypothesis ◽  
The Relationship ◽  
Real Assets

The theory says that if stocks provide an effective hedge against inflation then the effect of expected inflation should be compensated in the form of nominal stock return. As Fisher Hypothesis (1930) concluded that nominal expected return on a security is a function of expected inflation rate as well as expected real interest rate. Bodie (1976) worked on Fisher Hypothesis and found that actual nominal return depends on expected and unexpected inflation rates and also it depends on expected and unexpected nominal returns. According to Geske and Roll (1983) a positive relationship exists between stock returns and inflation, based on the assumption that securities represent claims on real assets. When there is an increase in rate of inflation, it is expected that prices of real assets will also rise, thereby improving the value of securities representing a claim on such real assets. We found that various studies in this area reported against the hypothesis, showing a negative relationship between the two. However, certain other studies support the theory asserting that the relationship existing between stock returns and inflation is positive. While the negative relationship between inflation and stock return is against the theory, negative results have led to formation of hypothesis such as tax augmented hypothesis. The tax augmented hypothesis states that when we deduct tax from the stock returns, their relationship with inflation tends to get negative as the quantum and rate of taxes also rise along with inflation. This hypothesis also opines that initial researcher did not consider the tax impact when they were empirically testing the relationship between stock returns and inflation.

scholarly journals The Primary Origin of the Financial Crisis

2021 ◽  
Author(s):  
Aloui Mouna ◽  
Jarboui Anis
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Simultaneous Equation ◽  
Independent Directors ◽  
Return Volatility ◽  
Outside Directors ◽  
Stock Return Volatility ◽  
Negative Effect ◽  
Primary Origin ◽  
The Relationship

This paper examines the relationship between the stock return volatility, outside directors, independent directors, and variable control using simultaneous-equation panel data models for a panel of 89 France-listed companies on the SBF 120 over the period of 2006–2012. Our results showed that the outside directors (FD) and audit size increase the stock return volatility. Furthermore, the results indicate that the independent directors and ROA have a negative effect on the stock return volatility; this result indicates that these variables contribute to decrease and stabilize the stock return volatility. This study employs a variety of econometric models, including feedback, to test the robustness of our empirical results. Also, we examine the relationship between the corporate governance and the stock returns volatility, exchange rate, and treasury bill using GARCH-BEKK model for a panel of 99 French firms over the period of 2006–2013.

scholarly journals The Impact of Corporate Cultural Behaviour on Common Stock Return: Some Implications for Corporate Governance

2018 ◽  
Vol 80 (1) ◽  
pp. 115-130
Author(s):  
Chamil W. Senarathne
Keyword(s):  
Corporate Governance ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Common Stock ◽  
Listed Firms ◽  
It Impacts ◽  
Research Questions ◽  
The Impact ◽  
The Relationship

AbstractThis paper examines the relationship between common stock return and corporate cultural behaviour of twenty listed firms from Shanghai Stock Exchange. The particular research questions of this study include: whether corporate cultural behaviour impacts common stock returns and under what conditions it impacts shareholder expectations and corporate governance.

Doping scandals in professional cycling: impact on primary team sponsor’s stock return

2016 ◽  
Vol 17 (1) ◽  
pp. 37-55 ◽  
Author(s):  
Karen Danylchuk ◽  
Jelmer Stegink ◽  
Katie Lebel
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Grand Tour ◽  
Content Type ◽  
Time Period ◽  
Study Methodology ◽  
The Impact ◽  
The Relationship ◽  
Professional Cycling ◽  
Event Study Methodology

Purpose – The purpose of this paper is to examine the impact of doping scandals (n=25) in professional cycling Grand Tour events on the primary team sponsor’s daily stock return. Design/methodology/approach – Event study methodology. Findings – Overall it was found that during the time period and events under examination in this study doping scandals had no significant impact on the primary team sponsor’s stock returns. Originality/value – There is limited research to explain the economic impact of widespread doping in cycling and its commercial shareholders. This study addresses this gap by examining the relationship between doping scandals in professional cycling and the daily stock return of the involved team’s primary sponsor.

Employees’ Attitudes Toward Equity-Based Compensation

2012 ◽  
Vol 44 (5) ◽  
pp. 246-253 ◽  
Author(s):  
Menachem (Meni) Abudy ◽  
Efrat Shust
Keyword(s):  
Stock Options ◽  
Field Survey ◽  
Financial Education ◽  
Employee Stock Options ◽  
The Past ◽  
Black Scholes Model ◽  
Subjective Value ◽  
Black Scholes ◽  
Objective Value ◽  
The Relationship

This article presents a field study that examines the subjective value of equity-based compensation and investigates the relationship between attitude toward risk and compensation preferences. The participants in the field survey received equity-based compensation in the past but lack financial education background. We find that the respondents exhibit difficulty in estimating the value of employee stock options, which usually results in a subjective value that is lower than the objective value (calculated using the Black–Scholes model). Additional findings demonstrate the presence of behavioral biases such as priming and mental anchoring. Finally, we document an absence of transitivity in the preferences of 10% of the respondents.

Board Activity and Firm Performance

2017 ◽  
Vol 10 (1) ◽  
pp. 44-57
Author(s):  
Jyoti Paul
Keyword(s):  
Firm Performance ◽  
Empirical Evidence ◽  
Performance Measures ◽  
Firm Value ◽  
The Past ◽  
Point Estimates ◽  
Board Monitoring ◽  
The Impact ◽  
The Relationship

Because of recent failures in the past, the role of Board and the Board monitoring have become important. The directors are expected to be more accountable. In this study, the researcher tries to investigate the relationship between the level of board activity and firm value for firms in FMCG sector over a three-year period from 2010–2011 to 2012–2013. The primary aim of the article is to provide empirical evidence and specifically find out the impact of board activity measured by number of meetings and its impact on firm performance. The results indicate that the attendance in board meetings is significantly positively correlated with ROA. The OLS results with both the performance measures show that the point estimates of attendance at board meetings were significant indicating that attendance in such meetings is perceived to be an indicator of good monitoring activities of the board.

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