scholarly journals Salience and Asset Prices

2013 ◽  
Vol 103 (3) ◽  
pp. 623-628 ◽  
Author(s):  
Pedro Bordalo ◽  
Nicola Gennaioli ◽  
Andrei Shleifer
Keyword(s):  
Asset Pricing ◽  
Simple Model ◽  
Stock Market ◽  
Asset Prices ◽  
Equity Premium ◽  
Market Valuation ◽  
Market Returns ◽  
Stock Market Returns ◽  
Risky Assets ◽  
Very High

We present a simple model of asset pricing in which payoff salience drives investors' demand for risky assets. The key implication is that extreme payoffs receive disproportionate weight in the market valuation of assets. The model accounts for several puzzles in finance in an intuitive way, including preference for assets with a chance of very high payoffs, an aggregate equity premium, and countercyclical variation in stock market returns.

scholarly journals Simple Model for Market Returns Distribution

2013 ◽  
Vol 23 (2) ◽  
pp. 185 ◽  
Author(s):  
Chu Thuy Anh ◽  
Do Hong Lien ◽  
Nguyen Ai Viet
Keyword(s):  
Relaxation Time ◽  
Simple Model ◽  
Stock Market ◽  
Large Time ◽  
Boltzmann Distribution ◽  
Time Parameter ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Data ◽  
The Stability

It has been observed that at the large time scales the distributionof stock market returns is convergent from Boltzmann distribution to Gaussianasymptotic one. To explain this universal phenomenon, we propose a new andsimple dynamic model to describe this convergence by the time parameter inassociation with the introducing the concept of relaxation time for nancialmarkets. The analysis of stock market data packages in dierent time intervalsshowed that our model ts well the nancial market data. The meaning ofso{called relaxation time has been qualitatively made clear, as a measure toestimate the stability of the market.

scholarly journals Stock Market Volatility And Presidential Election Uncertainty: Evidence From Political Futures Markets

2017 ◽  
Vol 34 (1) ◽  
pp. 143-150
Author(s):  
David R. Bowes
Keyword(s):  
Stock Market ◽  
Presidential Election ◽  
Asset Prices ◽  
Futures Markets ◽  
Futures Market ◽  
Electronic Market ◽  
Stock Market Volatility ◽  
Market Returns ◽  
Stock Market Returns ◽  
On Line

Uncertainty about the economy can increase volatility in financial market returns. One potential source of uncertainty is the outcome of an upcoming national election. This paper uses a GARCH model to estimate the effect of uncertainty surrounding U.S. Presidential elections on the volatility of U.S. stock market returns from 1992-2012. Uncertainty in these elections is measured using asset prices from the Iowa Electronic Market (IEM), an on-line futures market based on real-world events, including U.S. elections. The empirical results show that the conditional variance in S&P 500 returns increases when IEM presidential election futures market asset prices indicate greater uncertainty about the outcome of an upcoming election.

Relationship between Foreign Portfolio Investments (FPI), Domestic Institutional Investors, and Stock Market Returns in India

GIS Business ◽  
2017 ◽  
Vol 12 (6) ◽  
pp. 1-9
Author(s):  
Dhananjaya Kadanda ◽  
Krishna Raj
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Negative Relationship ◽  
Trading Strategies ◽  
Market Returns ◽  
Stock Market Returns ◽  
Foreign Portfolio Investment ◽  
Stock Market Return ◽  
Indian Stock Market ◽  
Feedback Trading

The present article attempts to understand the relationship between foreign portfolio investment (FPI), domestic institutional investors (DIIs), and stock market returns in India using high frequency data. The study analyses the trading strategies of FPIs, DIIs and its impact on the stock market return. We found that the trading strategies of FIIs and DIIs differ in Indian stock market. While FIIs follow positive feedback trading strategy, DIIs pursue the strategy of negative feedback trading which was more pronounced during the crisis. Further, there is negative relationship between FPI flows and DII flows. The results indicate the importance of developing strong domestic institutional investors to counteract the destabilising nature FIIs, particularly during turbulent times.

Causal Relationships and Short-Term Dynamics Between Oil Price and Stock Market Returns in Malaysia

2020 ◽  
Vol 24 (02) ◽  
pp. 1184-1204
Author(s):  
Arif Rasheed ◽  
Mitra Saeedi ◽  
Nalini Gebril ◽  
Kumaraseh Hariraj
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Causal Relationships ◽  
Market Returns ◽  
Short Term ◽  
Stock Market Returns

Media Coverage of Corporate Governance Scandals and Stock Market Returns

2011 ◽  
Author(s):  
Raymond Siu Yeung Chan ◽  
See Tin Tang ◽  
Roy F. Ying ◽  
Sun Wing Tam
Keyword(s):  
Corporate Governance ◽  
Stock Market ◽  
Media Coverage ◽  
Market Returns ◽  
Stock Market Returns
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