scholarly journals Cannabis Stocks Returns: The Role of Liquidity and Investors’ Attention via Google Metrics

2022 ◽  
Vol 10 (1) ◽  
pp. 7
Author(s):  
Stephanos Papadamou ◽  
Alexandros Koulis ◽  
Constantinos Kyriakopoulos ◽  
Athanasios P. Fassas
Keyword(s):  
Stock Returns ◽  
Positive Relationship ◽  
Impulse Response Function ◽  
Return Volatility ◽  
Investor Attention ◽  
Vector Autoregressive ◽  
Shock Transmission ◽  
Return Dynamics ◽  
The Empirical Analysis

This paper studies one of the most popular investment themes over recent years, investing in the cannabis industry. In particular, it investigates relationships between investor attention, as proxied by Google Trends, and stock market activities, i.e., return, volatility, and liquidity. To this end, in the empirical analysis we study how liquidity and investors’ attention affect the return dynamics of an investment in cannabis stocks by augmenting the three-factor Fama–French model. In addition, we use a vector autoregressive approach and the impulse response function to measure shock transmission between the variables under consideration. Our empirical findings show that there is a statistically positive relationship between cannabis stock returns and liquidity. We also find that increased investors’ attention results in higher returns.

scholarly journals Foreign Ownership and Stock Return Volatility in Vietnam: the Destabilizing Role of Firm Size

2019 ◽  
Vol 10 (2) ◽  
pp. 356-377
Author(s):  
Anh Tho To ◽  
Yoshihisa Suzuki ◽  
Bao Ngoc Vuong ◽  
Quoc Tuan Tran ◽  
Khoa Do
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Fixed Effects ◽  
Stock Return ◽  
Foreign Ownership ◽  
Alternative Measure ◽  
Return Volatility ◽  
Stock Return Volatility ◽  
One Year

This study aims to examine the relevance of foreign ownership to stock return volatility in the Vietnam stock market over ten years (2008 - 2017). After applying the fixed effects regressions and the extended instrumental variable regressions with fixed effects, we find that foreign ownership decreases the volatility of stock returns. However, the stabilizing impact of foreign ownership on stock return volatility becomes weaker in large firms since the coeffcient of the interaction term between firm size and foreign ownership turns out to be significantly positive. The estimated results remain robust when we use the future one-year volatility, other than the current one, as an alternative measure of the dependent variable.

Is the effect of Indian energy price shocks asymmetric on the stock market at the firm level? A panel SVAR approach

2020 ◽  
pp. 191-211
Author(s):  
Bhagavatula Aruna ◽  
Rajesh H. Acharya
Keyword(s):  
Stock Returns ◽  
Impulse Response Function ◽  
Electricity Price ◽  
Price Shocks ◽  
Firm Level ◽  
Policy Makers ◽  
Monthly Data ◽  
Vector Autoregressive ◽  
Coal Price ◽  
Asymmetric Impact

This paper examines, using monthly data from 1995 to 2016, whether the oil, coal and electric-ity price shocks have an asymmetric influence on stock returns and inflation. The paper has employed Panel Structural Vector Autoregressive (PSVAR) model with various measures of the oil, coal and electricity price shocks on a dataset containing 1168 firms. Results from Pan-el-SVAR reveal that all oil, coal and electricity price specifications have an asymmetric impact on stock returns. Further, impulse response function reveals that the various dimensions of oil, coal and electricity price shocks lead to volatility in the response variables. It can also be ob-served that negative coal and electricity price shock has a radical impact on stock returns. Overall, the study on asymmetric impact of net oil and coal price increase, deserves attention from the investors and policy makers.

Measuring the Persistency of Earnings Components: Applications of the VAR Model to Long-Run Japanese Data

2017 ◽  
Vol 34 (2) ◽  
pp. 329-342 ◽  
Author(s):  
Keiichi Kubota ◽  
Hitoshi Takehara
Keyword(s):  
Time Series ◽  
Stock Returns ◽  
Stock Prices ◽  
Function Analysis ◽  
Impulse Response Function ◽  
Cash Flows ◽  
Var Model ◽  
Vector Autoregressive ◽  
First Order ◽  
Earnings Components

This study investigates the time-series properties of accounting earnings and their components. We propose a new measure of earnings persistency in accordance with the vector autoregressive (VAR) model–linked earnings and stock returns. As a preliminary analysis, we estimate the first-order autocorrelations and test the stationarity of five variables: earnings, cash flows from operations, total accruals, current accruals, and noncurrent accruals. We then confirm that earnings and noncurrent accruals have a more persistent time-series than cash flows and current accruals. Next, we formulate and estimate the first-order autoregressive model composed of the three variables of utmost interest to accounting researchers, namely, cash flows, current accruals, and noncurrent accruals, and explore how future predictions of these three earnings components are affected by unit impulse shocks. Given the results of the impulse response function analysis, we forecast changes in stock prices based on future innovations of these components, finding that a 1% unit shock in the earnings components affects stock prices by 2% to 2.5%. Finally, we are able to demonstrate excess returns by using the portfolio formation method based on our measure of persistence.

scholarly journals Who Hires Investor Relations Firms? The Role of Managerial Entrenchment

2016 ◽  
Vol 11 (10) ◽  
pp. 1
Author(s):  
Saif Ullah
Keyword(s):  
Stock Returns ◽  
Positive Relationship ◽  
Investor Relations ◽  
Managerial Entrenchment ◽  
Common Definition ◽  
Future Performance ◽  
Method Of Payment ◽  
Definition Of ◽  
The Relationship

<p>This paper investigates the role of managerial entrenchment in the decision to hire an investor relations specialist. Managers of small and mid-cap firms spend considerable resources on hiring investor relations (IR) firms. This paper proposes a hypothesis to explain this spending. We argue that more entrenched managers are less likely to hire IR firms, because such managers are less likely to have their compensation tied to stock returns and be more wary of outside attention from the market. Using a common definition of managerial entrenchment, we show that entrenched managers are indeed less likely to hire an IR firm. We also examine the relationship between the method of payment of the IR firm (cash or stock) and future performance of the client. If an IR firm is paid in stock, it has an incentive to expend more effort on its client’s behalf, thus leading to increased client performance. Our evidence shows that there is indeed a positive relationship between payment in stock and future client performance.</p>

Investor sentiment and aggregate stock returns: the role of investor attention

2018 ◽  
Vol 53 (2) ◽  
pp. 397-428 ◽  
Author(s):  
Cedric Mbanga ◽  
Ali F. Darrat ◽  
Jung Chul Park
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Investor Attention

scholarly journals Measuring the effects of investor attention on China's stock returns

2021 ◽  
Vol 1 (4) ◽  
pp. 327-344
Author(s):  
Yi Chen ◽  
◽  
Zhehao Huang ◽  
Keyword(s):  
Stock Returns ◽  
Investor Attention ◽  
Replacement Method ◽  
High Quantiles ◽  
Turbulent Times ◽  
Market Search ◽  
The Mean ◽  
The Relationship ◽  
Role Of Information

<abstract> <p>The increasing abundance of information leads to the scarcity of investor attention, which has become an important factor affecting the financial market. Search engines play the role of information retrieval and record the search behavior of investors, which is a direct and accurate measure of investor attention. This paper investigates the relationship between investor attention and China's stock market. Considering the relationship with stock returns as the mainline, we take the Baidu index as a substitute variable of investor attention to deeply study the correlation and the time-varying nature between investor attention and China's stock returns. To this end, we used quantile regression to examine the relationship over the period 2006–2021 to capture its evolution during calm and turbulent times. We thus investigated the effect of investor attention on the mean and other quantiles. Our findings show that the relationship between investor attention and China's stock returns exhibits time-variation as investor attention significantly impacts the dynamics of China's stock returns, but its sign and effect vary per quantile: investor attention is negatively correlated with stock returns at low quantiles, but it turns positive at high quantiles. In addition, to test the model's robustness, variable replacement method and model replacement method are used to conduct significance tests, respectively. The results are equally significant.</p> </abstract>

Whose Disagreement Matters? Household Belief Dispersion and Stock Trading Volume

2021 ◽  
Author(s):  
Dan Li ◽  
Geng Li
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Trading Volume ◽  
Positive Relationship ◽  
Theoretical Models ◽  
Equity Market ◽  
Stock Trading ◽  
Trading Activities ◽  
The Cross

Abstract Theoretical models have long recognized the role of investor disagreements in the marketplace, but little evidence is documented regarding how belief dispersion affects trading activities in the broad equity market. Using over three decades of data from a survey of US households, we introduced a novel measure of household macroeconomic belief dispersion and document its positive relationship with market-wide stock trading volume, even after controlling for an array of professional analysts’ belief dispersion. Results are more pronounced for the belief dispersion among households who are more likely to own stocks. Furthermore, we show that the household belief dispersion is priced in the cross-section of stock returns, whereas that among professional analysts is not.

Credit constraints and Rural Migration: Evidence from Six Villages in Uttar Pradesh

2018 ◽  
Vol 15 (3) ◽  
pp. 389-398
Author(s):  
Ruchi Singh
Keyword(s):  
Credit Constraints ◽  
Uttar Pradesh ◽  
Binary Logistic Regression ◽  
Binary Logistic Regression Model ◽  
Male Migration ◽  
Rural Economies ◽  
And Migration ◽  
The Relationship ◽  
The Empirical Analysis

Rural economies in developing countries are often characterized by credit constraints. Although few attempts have been made to understand the trends and patterns of male out-migration from Uttar Pradesh (UP), there is dearth of literature on the linkage between credit accessibility and male migration in rural Uttar Pradesh. The present study tries to fill this gap. The objective of this study is to assess the role of credit accessibility in determining rural male migration. A primary survey of 370 households was conducted in six villages of Jaunpur district in Uttar Pradesh. Simple statistical tools and a binary logistic regression model were used for analyzing the data. The result of the empirical analysis shows that various sources of credit and accessibility to them play a very important role in male migration in rural Uttar Pradesh. The study also found that the relationship between credit constraints and migration varies across various social groups in UP.

Evaluation of Fiscal Policy Effect of China’s Photovoltaic Industry

2018 ◽  
pp. 111-116 ◽  
Author(s):  
Gang AN ◽  
Hang WANG
Keyword(s):  
Fiscal Policy ◽  
Research And Development ◽  
Operating Performance ◽  
Fiscal Policies ◽  
Micro Data ◽  
Policy Effect ◽  
Policy Suggestions ◽  
Asset Size ◽  
The Empirical Analysis

To explore the role of fiscal policies in promoting the development of photovoltaic industry, the effects of financial subsidies on the development of China’s photovoltaic industry were analyzed by using the micro data of listed companies. The empirical analysis results in this study indicate that the fiscal policies represented by financial subsidies play a remarkable positive impetus function and financial subsidies are positively correlated with the operating performance of Photovoltaic enterprises. With larger the asset size and higher the Research and Development (R&D) investments, the operating performance of Photovoltaic enterprises is the better. Based on the above results, this study puts forward some policy suggestions on optimizing fiscal policy tools and further promoting the development of photovoltaic industry.

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