Share Price Formation, Market Exuberance and Accounting Design

2010 ◽  
Author(s):  
Yuri Biondi ◽  
Pierpaolo Giannoccolo
Keyword(s):  
Share Price ◽  
Price Formation ◽  
Market Exuberance

Share price formation, market exuberance and financial stability under alternative accounting regimes

2014 ◽  
Vol 10 (2) ◽  
pp. 333-362 ◽  
Author(s):  
Yuri Biondi ◽  
Pierpaolo Giannoccolo
Keyword(s):  
Financial Stability ◽  
Share Price ◽  
Price Formation ◽  
Market Exuberance

Evolution of the IBEX-35 vs other international indices: determinants of market value according to XGBOOST and GLM models

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Juián Martínez-Vargas ◽  
Pedro Carmona ◽  
Pol Torrelles
Keyword(s):  
Market Value ◽  
Financial Statements ◽  
Share Price ◽  
Price Formation ◽  
Coefficient Of Determination ◽  
Gradient Boosting ◽  
Political Factors ◽  
Content Type ◽  
International Trends ◽  
Extreme Gradient Boosting

PurposeThe purpose of this paper is to study the influence of different quantitative (traditionally used) and qualitative variables, such as the possible negative effect in determined periods of certain socio-political factors on share price formation.Design/methodology/approachWe first analyse descriptively the evolution of the Ibex-35 in recent years and compare it with other international benchmark indices. Bellow, two techniques have been compared: a classic linear regression statistical model (GLM) and a method based on machine learning techniques called Extreme Gradient Boosting (XGBoost).FindingsXGBoost yields a very accurate market value prediction model that clearly outperforms the other, with a coefficient of determination close to 90%, calculated on validation sets.Practical implicationsAccording to our analysis, individual accounts are equally or more important than consolidated information in predicting the behaviour of share prices. This would justify Spain maintaining the obligation to present individual interim financial statements, which does not happen in other European Union countries because IAS 34 only stipulates consolidated interim financial statements.Social implicationsThe descriptive analysis allows us to see how the Ibex-35 has moved away from international trends, especially in periods in which some relevant socio-political events occurred, such as the independence referendum in Catalonia, the double elections of 2019 or the early handling of the Covid-19 pandemic in 2020.Originality/valueCompared to other variables, the XGBoost model assigns little importance to socio-political factors when it comes to share price formation; however, this model explains 89.33% of its variance.

scholarly journals The Dynamics of Share-Price Formation

1939 ◽  
Vol 21 (4) ◽  
pp. 153 ◽  
Author(s):  
J. Tinbergen
Keyword(s):  
Share Price ◽  
Price Formation

scholarly journals The Functionality of Book-to-Market Ratio in Chinese Markets

2018 ◽  
Vol 2 (2) ◽  
pp. 50
Author(s):  
Larry Li ◽  
Adela McMurray ◽  
Bo Liu
Keyword(s):  
Stock Returns ◽  
Strong Relationship ◽  
Share Price ◽  
Price Formation ◽  
Leverage Ratio ◽  
Chinese Markets ◽  
Book To Market Ratio

We investigate the question whether the book to market ratio acts as a “risk-based” or “mispricing-based” proxy for share price formation in Chinese markets. We find that a strong relationship is observed between the firms’ book to market ratio and stock returns both in current and following years, while we cannot find a steady relationship between market leverage ratio and stock returns. In addition, the findings support the notion that a mispricing-based explanation is more plausible in China due to the speculative features of the Chinese markets.

Share Return Seasonalities and Price Linkages of Chinese A and B Shares

1999 ◽  
Vol 02 (02) ◽  
pp. 205-229 ◽  
Author(s):  
Richard A. Heaney ◽  
John G. Powell ◽  
Jing Shi
Keyword(s):  
Share Price ◽  
Price Formation ◽  
A Share

This paper investigates share price linkages between Chinese corporations' foreign-designated B shares and the numerically dominant domestic A shares of the same companies. Chinese share return seasonalities are examined and the suggested satellite trading relationships are subsequently tested in order to provide an understanding of the linkages between A and B shares. The seasonality results along with arbitrage activity in the market for Chinese A and B shares suggest that a dominant-satellite relationship is likely to exist whereby the A share market is the dominant market for price formation and the B share market is the satellite. The paper identifies significant price linkages from the A to B share markets which are nevertheless weaker in an economic sense than might be expected.

Factors of Price Formation for Art Objects With the Application of Text Analysis of Twitter News

2020 ◽  
pp. 114-131
Author(s):  
Elena A. Fedorova ◽  
Diana V. Zaripova ◽  
Igor S. Demin
Keyword(s):  
Text Analysis ◽  
Price Formation ◽  
Works Of Art ◽  
Art Objects ◽  
Online Resource ◽  
The Difference

This work confirmed the hypotheses about the influence of the mood index on Twitter on the pricing of art objects and the difference between the experts' estimations and the final price of the auction. The hypotheses were tested with the use of a sample of 83 paintings selected on the basis of ratings of ARTNET's online resource about the most expensive works of art ever sold in the last 10–15 years. The sample consisted of 25 artists, for each of them was made an index of moods on Twitter. This index was created by a sentimental analysis of each tweet about the artist on the hashtag for a period of 2 to 4 months between the announcements of sales in the open sources and the direct sale of the work with the use of the two dictionaries AFINN and NRC.

The economic consequences of voluntary environmental reporting on shareholder wealth

2006 ◽  
Vol 3 (2) ◽  
pp. 1 ◽  
Author(s):  
Ruslaina Yusoff ◽  
Shariful Amran Abd Rahman ◽  
Wan Nazihah Wan Mohamed
Keyword(s):  
Abnormal Return ◽  
Listed Companies ◽  
Shareholder Wealth ◽  
Environmental Information ◽  
Economic Consequences ◽  
Share Price ◽  
Cumulative Abnormal Return ◽  
Environmental Reporting ◽  
Financial Report ◽  
Significant Difference

This study was carried out to examine the economic consequences ofvoluntary environmental reporting on shareholders' wealth among Malaysian Listed Companies that voluntarily disclosed environmental information in their financial report. One hundred andfifty two (152) companies of Bursa Malaysia (MSE) had been identified as a sample in the current study. Seventy six (76) companies were classified as environmental reporting companies while the remaining companies were classified as non-environmental reporting companies. The classification was done in order to determine the differences between share price, profitability and market equity for both types of companies. The study hypothesizes that voluntary environmental reporting leads to an improvement in the shareholders wealth. However, the results show that there is no significant difference between cumulative abnormal return for environmental and non-environmental reporting companies. Based on the results obtained, it can also be concluded that profitability and size of the companies do not have any significant roles in deciding whether or not to produce environmental reporting companies.

Intraday Price Formation in U.S. Equity Index Markets

CFA Digest ◽  
2004 ◽  
Vol 34 (3) ◽  
pp. 56-57
Author(s):  
Robert A. McLean
Keyword(s):  
Price Formation ◽  
Equity Index
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