Are Stock Market Returns in the CEE Countries and in the Eurozone, Russia, and the United States Asymmetric?

2013 ◽  
Vol 51 (6) ◽  
pp. 34-53
Author(s):  
Silvo Dajcman
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals Rule Britannia! British Stock Market Returns, 1825-1870

2009 ◽  
Vol 69 (4) ◽  
pp. 1107-1137 ◽  
Author(s):  
Graeme G. Acheson ◽  
Charles R. Hickson ◽  
John D. Turner ◽  
Qing Ye
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Equity Returns ◽  
British History ◽  
Market Returns ◽  
Stock Market Returns ◽  
Survivorship Bias ◽  
Real Returns ◽  
Modern Era

This article presents a new series of monthly equity returns for the British stock market for the period 1825-1870. In addition to calculating capital appreciation and dividend yields, the article also estimates the effect of survivorship bias on returns. Three notable findings emerge from this study. First, stock market returns in the 1825-1870 period are broadly similar for Britain and the United States, although the British market is less risky. Second, real returns in the 1825-1870 period are higher than in subsequent epochs of British history. Third, unlike the modern era, dividends are the most important component of returns.

Stock Market Returns and Suicide Rates: Evidence From the United States

2016 ◽  
Vol 44 (1) ◽  
pp. 89-102
Author(s):  
Sujung Choi
Keyword(s):  
United States ◽  
Stock Market ◽  
The United States ◽  
Market Returns ◽  
Stock Market Returns ◽  
Financial Decisions ◽  
Market Participants ◽  
Emotional Factors ◽  
Suicide Rates ◽  
Male Suicide

I investigated whether or not social mood is associated with the financial decisions of market participants in the United States, using the monthly suicide rate to represent the degree of negative social mood in a society. From monthly suicide data collected over the period from January 1981 through to December 2012, I found that suicide rates are associated with stock market returns, in aggregate. Specifically, suicide rates predicted future stock market returns, showing contemporaneous and lagged relationships with U.S. stock market returns. Furthermore, small-cap stocks were found to be more likely to be affected by suicide rates than were large-cap stocks. Female suicide rates had a stronger effect on market returns than male suicide rates did, suggesting that this suicide effect is not induced by economic reasons but, rather, is related to emotional factors (e.g., investor mood).

Post-operating performance of construction mergers and acquisitions of the United States of America

2006 ◽  
Vol 33 (3) ◽  
pp. 266-277 ◽  
Author(s):  
Jongsoo Choi ◽  
Donald Harmatuck
Keyword(s):  
United States ◽  
Stock Market ◽  
Mergers And Acquisitions ◽  
Construction Industry ◽  
United States Of America ◽  
Operating Performance ◽  
The United States ◽  
Market Returns ◽  
Stock Market Returns ◽  
Research Outcomes

A previous study assessed stock market returns (ex ante expectations), and this study examines the actual operating performance (ex post-operating performances) of the mergers and acquisitions (M&A) observed during the past two decades (1980-2002) in the construction industry in the United States of America. Utilizing various statistical tools and longitudinal data analysis modeling techniques, three hypotheses were tested. First, the level of synergistic gains, measured as operating cash flow returns, was not improved significantly after firm integration. Second, regarding the management wealth maximization hypothesis, the size of firms dramatically increased after the integration of the firms, and the operating performance was slightly improved compared with that before the event. Research outcomes also indicated that the previous research findings concerning stock market returns on M&A were consistent with the long-term operating performance, and thus supported the market efficiency hypothesis. Lastly, M&A guidelines for the construction industry are presented based on the research outcomes from both stock market return and operating performance analysis. Key words: mergers and acquisitions, diversification strategy, operating performance.

scholarly journals Correlation of stock market returns in the West African region from 2008 to 2016

2019 ◽  
Vol 16 (3) ◽  
pp. 120-130 ◽  
Author(s):  
Eseosa Obadiaru ◽  
Alex Omankhanlen ◽  
Barnabas Obasaju ◽  
Henry Inegbedion
Keyword(s):  
United States ◽  
United Kingdom ◽  
Stock Market ◽  
United States Of America ◽  
Composite Index ◽  
The United States ◽  
The Other ◽  
Sample Period ◽  
Entire Sample ◽  
Stock Market Returns

Stock markets over the world have become more interconnected due to activities of foreign investors in search for alternative financial assets and markets to invest in order to diversify their portfolio. Stock market indices and index returns have been known to reflect linkages between different markets. This study assesses the extent of correlation of stock market index returns in West Africa and those of the United States of America (US) and United Kingdom (UK) from 2008 to 2016. The correlation between the index returns for the entire sample period and yearly samples were considered for Nigeria, Ghana, the BRVM, the USA and the UK. The indices selected for the five countries considered are the Nigerian All-Share Index, Ghanaian Composite Index, the BRVM Composite Index, the Financial Times 100 Index and the Standards and Poor’s 500 Index. Daily index returns data were used for the study and analyzed using correlation and multiple regression analysis. Findings revealed that the returns of the pairs of the United States of America (US) and the United Kingdom (UK) exhibited stronger positive correlation with each other than the other market pairs in the study both in the entire sample period and the yearly sub-period analysis. The correlations between the other market pairs were either positively or negatively weak or very weak indicating more diversification opportunities.

The Impact of US Economic Policy Uncertainty Shock on GCC Stock Market Performance

2019 ◽  
Vol 10 (2) ◽  
Author(s):  
Abdullah Alqahtani ◽  
Michael Taillard
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
The United States ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Oil Markets ◽  
The Impact

Abstract This study examines the impact of the United States’ Economy Policy Uncertainty (US EPU) shocks on the Gulf Cooperation Council (GCC) countries’ stock market returns which are heavily related through global oil markets. Using monthly data spanning from 31/01/2010 to 31/08/2018, we employ a Non-Structural Vector Autoregression (VAR) and Vector Granger Causality Tests (VGCT) in order to ascertain the magnitude of transmitted shocks and to primarily evaluate if US EPU affects stock market returns in any of the GCC countries. Our OLS and VAR results suggest that US EPU has little impact on the GCC markets with the exception of Bahrain. The Vector Granger Causality Test confirms that changes in US EPU influence returns on Qatar’s stock market. These results will help GCC nations to stabilize global energy markets and prevent economic ripples to policy shocks.

scholarly journals Do Industry Specialist Auditors Add Value in Mergers and Acquisitions?

2015 ◽  
Vol 31 (4) ◽  
pp. 1245 ◽  
Author(s):  
Ho-Young Lee ◽  
Vivek Mande ◽  
Jong Chool Park
Keyword(s):  
Stock Market ◽  
Mergers And Acquisitions ◽  
Abnormal Returns ◽  
Financial Statements ◽  
The United States ◽  
Market Returns ◽  
Stock Market Returns ◽  
Audit Firm ◽  
External Auditors ◽  
Acquiring Firms

This study examines whether the stock market returns surrounding announcements of mergers and acquisitions (M&A) are higher for acquiring firms audited by industry specialists. External auditors are uniquely positioned to provide assurance on the financial statements of their acquiring clients both before and after an acquisition. Also, an important aspect of due diligence in M&A transactions is the external auditors review of the accounting records, financial statements, internal controls and information systems of the target company. Using a sample of 4,283 M&A announcements between 1988 and 2011 in the United States of America, we report the results from our main regressions, controlling for all the bidder traits and deal characteristics. We examine incremental effect of audit firm specialization on cumulative abnormal returns. We also measure the effect of audit firm industry specialization in a reduced sample of 3,946 acquisitions after removing all non-Big N auditors. We use Heckmans (1979) two-step procedure to ensure that announcement period return to the size of the audit firm is not driven by the determinants related to auditor choice. Consistent with the idea that industry specialists provide higher quality assurance and possibly superior M&A advisory services, we find that the stock market returns are higher when acquiring firms are audited by industry specialists.

scholarly journals An Investigation Of Investors’ Use Of Reported Cash Flow And Accrual Information For Eight Countries

2011 ◽  
Vol 23 (4) ◽  
Author(s):  
Joan Hollister ◽  
Victoria Shoaf
Keyword(s):  
United States ◽  
Hong Kong ◽  
Stock Market ◽  
Cash Flow ◽  
Stock Prices ◽  
The United States ◽  
Cash Flows ◽  
Stock Market Returns ◽  
The United Kingdom ◽  
The Uk

Using 1995 through 1999 data from the United States and seven other countries with different sets of national accounting standards (Canada, France, Germany, Hong Kong, Japan, Malaysia, and the United Kingdom), we test whether the cash flow component of earnings is more persistent than the accrual component, and then whether the relative persistence of these two earnings components is reflected in stock market returns. Using the Mishkin model employed by Sloan (1996) to test the data for each of the countries, we find that, while reported cash flows are significantly more persistent than accruals in each of the eight accounting regimes, Canadian companies are the only ones for which the pricing of equity securities is clearly efficient with regard to cash flow and accrual information. While there is some evidence for this stock market efficiency for the UK and German companies, it is not conclusive. For firms from France, Hong Kong, Japan, Malaysia, and the United States, the differences observed between the persistence of cash flows and accruals are not reflected in stock prices.

scholarly journals The Impact Of Weekly Money Supply Announcements ON Stock Market Returns: A Multiprocess Mixture Model Approach

2011 ◽  
Vol 9 (3) ◽  
pp. 100
Author(s):  
James P. LeSage ◽  
Andrew Solocha
Keyword(s):  
Stock Market ◽  
Money Supply ◽  
Mixture Model ◽  
The United States ◽  
Multiple Models ◽  
Efficient Markets ◽  
Market Returns ◽  
Stock Market Returns ◽  
Efficient Markets Hypothesis ◽  
The Impact

This study provides evidence concerning the impact of anticipated and unanticipated components of the weekly money supply announcements on stock market returns in the United States and Canada on the date after the announcement. The innovative aspect of this study is the use of a multiprocess mixture model recently proposed by Gordon and Smith (1990) for modeling time series that are subject to several forms of potential discontinuous change and outliers. The technique involves running multiple models in parallel with recursive Bayesian updating procedures which extend the standard Kalman filter. The results provide strong evidence in favor of the efficient markets hypothesis that only the unanticipated component of the money supply announcement influences the stock market returns in both the United States and Canada.The use of OLS estimated in the present study produces results which suggest that both anticipated and unanticipated components of the money supply announcement exert a statistically significant influence on stock market returns in both countries. In contract, the multiprocess mixture model estimation method produces results which support the efficient markets hypothesis. The difference in findings between OLS and multiprocess estimation methods is attributed to the ability of the multiprocess techniques to model discontinuous structural shifts in the parameters and accommodate outliers in the stock return-weekly money relationship. The multiprocess mixture method provides evidence that numerous discontinuities and outliers exist in the stock market returns-weekly money relation and produces posterior probabilities for the multiple models running in parallel. These probabilities suggest that the OLS model has low posterior probability relative to the structural shift and outlier models which suggest poor inferences regarding the significance of anticipated and unanticipated money arise from the use of OLS estimation techniques.

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