Postfundamentals Price Drift in Capital Markets: A Regression Regularization Perspective

2021 ◽  
Author(s):  
Doron Avramov ◽  
Guy Kaplanski ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Capital Markets ◽  
Equity Market ◽  
Moving Averages ◽  
Market Prices ◽  
Profit Margins ◽  
Regularization Techniques

Regression regularization techniques show that deviations of accounting fundamentals from their preceding moving averages forecast drifts in equity market prices. Deviations-based predictability survives a comprehensive set of prominent anomalies. The profitability applies strongly to the long leg and survives value weighting and excluding microcaps. We provide evidence that the predictability arises because investors anchor to recent means of fundamentals. A factor based on our fundamentals-based index yields economically significant intercepts after controlling for a comprehensive set of other factors, including those based on profit margins and earnings drift. This paper was accepted by Gustavo Manso, finance.

scholarly journals Current Developments in the New Zealand Stock Exchange

2013 ◽  
Vol 2 (2) ◽  
pp. 4
Author(s):  
Tim Bennett
Keyword(s):  
Economic Growth ◽  
New Zealand ◽  
Capital Markets ◽  
Stock Exchange ◽  
Equity Market

New Zealand’s capital markets are riding on the crest of a wave. But unlike past peaks inthe equity market that have been few and far between, the wave we are currently ridingis the first in a set of breakers that will transform our capital markets and support a stepfunction change in New Zealand’s economic growth.

Diversification strategies and equity market performances

2019 ◽  
Vol 29 (3) ◽  
pp. 207-225 ◽  
Author(s):  
Burhan F. Yavas ◽  
Kathleen Grave ◽  
Demosthenes Vardiabasis
Keyword(s):  
Capital Markets ◽  
Capital Market ◽  
Direct Investment ◽  
Multinational Enterprises ◽  
Equity Market ◽  
Strategic Decision ◽  
Target Market ◽  
Risk And Uncertainty ◽  
Market Returns ◽  
Content Type

Purpose This paper aims to investigate the linkages among foreign direct investment (FDI – greenfield and mergers and acquisitions [M&A]) decisions and equity market returns and volatilities. The main premise is that FDI decisions by multinational enterprises (MNE) are influenced by risk and uncertainty indicated by equity market returns and volatilities in the destination (host) countries. This is so because the events on the stock markets in general and their volatilities in particular signal the vitality of the investment climate of the target market. Understanding volatility in capital markets is important for determining the cost of capital and for evaluating direct investment and asset allocation decisions. Design/methodology/approach Surveys and structured interviews were conducted with senior managers of 11 MNEs based in the USA to collect the data used in this study from November 2017 to October 2018. The paper investigates if FDI decisions of the MNE managers are influenced by risk and uncertainty indicated by equity market returns and volatilities. The paper endeavors to make a contribution to the IB literature in highlighting the role played by equity returns and volatilities in FDI decisions and therewith attempts to integrate finance (capital markets) with international business/strategic decision-making. Findings Capital market performances (returns and volatilities) were found to influence the country choice for location of production facilities (FDI – both greenfield and M&A decisions) as well as timing of the FDI by a MNE. In other words, the share of production capacity optimally located abroad and M&A activities are affected by capital market returns and volatilities.

Funds may bide their time on Saudi equities

2019 ◽  
Keyword(s):  
Saudi Arabia ◽  
Capital Markets ◽  
Direct Investment ◽  
Equity Market ◽  
Investment Funds ◽  
Content Type ◽  
Minimum Standards ◽  
Local Firms

Significance The move was in recognition that recent reforms have brought the country's capital markets into conformity with the minimum standards expected by major global investment funds. However, inflows of both portfolio and direct investment have so far fallen short of expectations, although Saudi bonds have attracted interest. Impacts Fund inflows into Saudi Arabia mean outflows from other indexed markets, which could be concentrated in a few countries. Some funds could face criticism from their investors over the ethics of holding Saudi assets. A deeper and more liquid equity market will help local firms raise financing and invest to grow the non-oil economy.

Capital Market Efficiency and Arbitrage Efficacy

2016 ◽  
Vol 51 (2) ◽  
pp. 387-413 ◽  
Author(s):  
Ferhat Akbas ◽  
Will J. Armstrong ◽  
Sorin Sorescu ◽  
Avanidhar Subrahmanyam
Keyword(s):  
Market Efficiency ◽  
Capital Markets ◽  
Capital Market ◽  
Capital Flows ◽  
Equity Market ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Subsequent Performance ◽  
The Future

AbstractEfficiency in the capital markets requires that capital flows are sufficient to arbitrage anomalies away. We examine the relation between flows to a quantitative (quant) strategy that is based on capital market anomalies and the subsequent performance of this strategy. When these flows are high, quant funds are able to implement arbitrage strategies more effectively, which in turn leads to lower profitability of market anomalies in the future, and vice versa. Thus, the degree of cross-sectional equity market efficiency varies across time with the availability of arbitrage capital.

scholarly journals Does Heterogeneity in COVID-19 News Affect Asset Market? Monte-Carlo Simulation Based Wavelet Transform

2021 ◽  
Vol 14 (10) ◽  
pp. 463
Author(s):  
Asima Siddique ◽  
Ghulam Mujtaba Kayani ◽  
Saira Ashfaq
Keyword(s):  
Wavelet Transform ◽  
Continuous Wavelet Transform ◽  
The United States ◽  
Equity Market ◽  
Policy Implications ◽  
Continuous Wavelet ◽  
Market Prices ◽  
Jones Index ◽  
International Investors ◽  
Wavelet Coherency

The current study investigates the connectedness between US COVID-19 news, Dowes Jones Index (DJI), green bonds, gold, and bitcoin prices for the period 22 January 2020–3 August 2021. The study has employed wavelet coherency, the continuous wavelet transform, and the wavelet-based Granger causality methods to obtain the dependence result. The continuous wavelet transform (CWT) analysis reveals that the United States equity market prices are extremely sensitive with regard to spreading coronavirus (USCOVID-19) news and changes in the oil price. Green bonds, gold, and bitcoin have minimal connectedness with the equity market, which might lead to the hedge and safe haven role of these assets during the COVID-19 crisis period. Lastly, very strong comovement was found between bitcoin and gold during the entire sample. The results of the present study offer a number of fresh and noticeable policy implications for international investors and asset managers.

Quantification of sovereign risk: Using the information in equity market prices

2005 ◽  
Vol 6 (4) ◽  
pp. 346-362 ◽  
Author(s):  
Naoto Oshiro ◽  
Yasufumi Saruwatari
Keyword(s):  
Equity Market ◽  
Sovereign Risk ◽  
Market Prices

scholarly journals A földrajzi diverzifikáció szerepe a globális tőkepiacokon

2020 ◽  
Vol 144 (3) ◽  
pp. 258-273
Keyword(s):  
Decision Making ◽  
Real Time ◽  
Market News ◽  
Capital Markets ◽  
Capital Market ◽  
Statistical Data ◽  
Investment Decision ◽  
Market Prices ◽  
Investment Decision Making ◽  
Geographical Diversification

This study illustrates the effectiveness of geographical diversification using capital market data. The paper uses historical capital market prices to show how the neglect of geographical diversification results in a deterioration in investment decision-making. In addition, the correlations between the capital markets of the former socialist countries are presented, which in many cases can be explained by real economic processes and geopolitical events. Quantitative, real-time financial and statistical data provided by capital markets can also be used to justify the dependence systems between countries and groups of countries, but the method can also be used in many cases to show the economic and geopolitical changes between countries. The study shows how concentrated the world’s stock markets are, which means that smaller capital markets cannot separate themselves from economic events, money and capital market news, or events of the largest ones.

scholarly journals Emerging Capital Markets Development: A Case Study of Pakistani Equity Markets

2000 ◽  
Vol 39 (4II) ◽  
pp. 963-978 ◽  
Author(s):  
Syed Furqan Haider Shamsi ◽  
Nighat Bilgrami-jaffery
Keyword(s):  
Capital Markets ◽  
Equity Market ◽  
Stock Exchanges ◽  
Complex Structures ◽  
Growth Prospects ◽  
Emerging Capital Markets ◽  
Productive Assets ◽  
Effective Source

The purpose of the study is to trace and review the growth and development of the Pakistani Equity Market. The capital markets in Pakistan has been undergoing a major restructuring programme. Number of measures have been taken to liberalise investment procedures and encourage capital formation through stock exchanges, enlarge size and depth of capital markets. We are witnessing globally a remarkable pace of change from a social and economic perspective. Capital markets being driven by the floods of competition and technology are experiencing so many new challenges and changes inducing them to incline more towards complex structures which would not have been considered possible few time back. Capital markets play an important role in the economic development of emerging capital markets. These markets are an important and efficient conduit to channel and mobilise funds to enterprises, and provide an effective source of investment in the economies they serve. Well functioning markets ensure that both corporations and investors get or receive fair prices for their securities. Their role for mobilising savings for investment in productive assets is acute which subsequently enhance the country’s long term growth prospects. Therefore we can deduce here that their role is like a major catalyst for transformation of the country’s economy into a more efficient and competitive emporium within the global workroom.

scholarly journals From national marketplaces to global providers of financial infrastructures: Exchanges, infrastructure & power in global finance

2020 ◽  
Author(s):  
Johannes Petry
Keyword(s):  
Capital Markets ◽  
Global Economy ◽  
Equity Market ◽  
Global Finance ◽  
Structural Power ◽  
Financial Products ◽  
Financial Infrastructure ◽  
Trading Activities ◽  
Global Exchange

This paper analyses the role of (stock and derivative) exchanges as powerful actors in global finance. While most IPE accounts of exchanges analyse ‘exchanges as marketplaces’ and focus on equity market trading, they miss how exchanges have fundamentally transformed in the last 25 years. Through marketisation, internationalisation and digitisation, the business model of exchanges has fundamentally changed and led to the emergence of global exchange groups that dominate the exchange industry. Thereby, exchanges transformed from national marketplaces to global providers of financial infrastructures. They control the infrastructures that enable the functioning of capital markets: from market data, indices, financial products, trading platforms to post-trading activities such as clearing, exchanges create the rules according to which market transactions take place. This provision of financial infrastructures enables them to shape capital markets and represents a source of structural power, as exchanges potentially influence the actions of companies, investors and states entangled with these infrastructures. By shedding light on exchanges and their changed role and activities within capital markets, this paper makes a case for including exchanges as powerful actors into IPE analyses of global finance and for more closely analysing the structural power of (financial) infrastructure providers in the global economy.

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