Всего статей в данном разделе : 115
Опубликовано на портале: 16-04-2007Ricardo P. C. Leal, Andre L. Carvalhal-da-Silva SSRN Working Papers. 2005.
We construct a corporate governance practices index (CGI) from a set of 24 questions that can be objectively answered from publicly available information. Our goal was to measure the overall quality of corporate governance practices of the largest possible number of firms without the biases and low response ratios typical of qualitative surveys. CGI levels have improved over time in Brazil. CGI components demonstrate that Brazilian firms perform much better in disclosure than in other aspects of corporate governance. We find very high concentration levels of voting rights leveraged by the widespread use of indirect control structures and non-voting shares. Control has concentrated between 1998 and 2002. We do not find evidence for either entrenchment or incentives in Brazil using ownership percentages but find that the separation of control from cash flow rights destroys value. The CGI maintains a positive, significant, and robust relationship with corporate value. A worst-to-best improvement in the CGI in 2002 would lead to a .38 increase in Tobin's q. This represents a 95% rise in the stock value of a company with the average leverage and Tobin's q ratios. Considering our lowest CGI coefficient, a one point increase in the CGI score would lead to a 6.8% rise in the stock price of the average firm in 2002. We found no significant relationship between governance and the dividend payout but there are indications that dividend payments are greater when control and cash flow rights concentration are greater. We place our results in context by offering a comparative analysis with Chile. We would offer a sound "yes" if asked whether good corporate governance practices increase corporate value in Brazil.
Опубликовано на портале: 22-10-2007Michael R. Gibbons, Patrick Hess Journal of Business. 1981. Vol. 54. No. 4. P. 579-596.
Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange [статья]
Опубликовано на портале: 22-10-2007Manoj Dalvi, Golaka C. Nath
Опубликовано на портале: 22-10-2007Ercan Balaban Applied Economics Letters. 1995. Vol. 2. No. 5. P. 139-153.
The primary objective of this paper is to investigate day of the week effects in an emerging stock market of a developing country namely Turkey. Empirical results verify that although day of the week effects are present in Istanbul Securities Exchange Composite Index (ISECI) return data for the period January 1988-August 1994, these effects change in direction and magnitude through time.
Опубликовано на портале: 22-10-2007Anat R. Admati, Paul Pfleiderer Review of Financial Studies. 1989. Vol. 2. No. 2. P. 189-223.
This article develops a model in which pattern in buy and sell volume, order imbalances, and expected price changes arise endogenously. The model covers cases in which the market maker is competitive and is a monopolist. Our results provide an explanation for the existence of patterns in mean returns within the trading day and across trading days.
Dividends, Taxes, and Common Stock Prices: The Ex-Dividend Day Behavior of Common Stock Prices Before the Income Tax [статья]
Опубликовано на портале: 02-10-2003Michael J. Barclay Journal of Financial Economics. 1987. Vol. 19. No. 1. P. 31-44.
This study examines the ex-dividend day behavior of common stock prices before the enactment of the federal income tax. On ex-dividend days during the pre-tax period, stock prices fell, on average, by the full amount of the dividend. The data are consistent with the hypothesis that (i) investors in the pre-tax period value dividends and capital gains as perfect substitutes and (ii) the differential taxation of dividends and capital gains has since caused investors to discount the value of taxable cash dividends in relation to capital gains.
Опубликовано на портале: 22-06-2006S. G. M. Fifield, D. M. Power, C.D. Sinclair Applied Financial Economy. 2002. Vol. 12. No. 3. P. 213-229.
Over the last decade, a number of studies have examined the costs and benefits from investing in equities traded on emerging stock markets (ESMs). The general conclusion to emerge from these studies is that investors have been able to improve portfolio performance significantly by including an emerging equity market component in investment portfolios. However, the ex-post framework utilized in past analyses potentially overstates the true level of gains which can be obtained from an emerging market diversification strategy; they are computed on the assumption that, with respect to the inputs to the portfolio decision, investors are blessed with perfect foresight. This paper attempts to overcome this problem by estimating the ex-ante gains available from investing in emerging stock markets. In particular, the paper investigates whether, by using a simple strategy based on historical data to forecast portfolio inputs, all of the gains which are available from ex-post analyses of diversification can be achieved in practice. The results obtained point overwhelmingly to the inadvisability of relying on historical data to identify ex-ante optimal emerging market portfolios; the strategies examined in this paper achieved very few of the gains attained in ex-post analyses of diversification. Copyright 2002 by Taylor and Francis Group
Опубликовано на портале: 22-10-2007Sunil Poshakwale Finance India. 1996. Vol. X. No. 3. P. 605-616.
Stock market efficiency is an important concept, for understanding the working of the capital markets particularly in emerging stock market such as India. The efficiency of the emerging markets assumes greater importance as the trend of investments is accelerating in these markets as a result of regulatory reforms and removal of other barriers for the international equity investments. There is enough evidence on market efficiency and day of the week effect in the developed markets, however, the same is not true for the emerging stock markets. This study provides empirical evidence on weak form efficiency and the day of the week effect in Bombay Stock Exchange over a period of 1987-1994. The results provide evidence of day of the week effect and that the stock market is not weak form efficient. The day of the week effect observed on the BSE pose interesting buy and hold strategy issues.
Explaining Monday Returns [статья]
Опубликовано на портале: 25-10-2007Paul Draper, Krishna Paudyal The Journal of Financial Research. 2002. Vol. 15. No. 4. P. 507-520.
The Monday effect is reexamined using two stock indexes and a sample of 452 individual stocks that trade on the London Stock Exchange. The results based on conventional test methods reveal a negative average return on Monday. Extending the analysis to examine the effects of various possible influences simultaneously, the average Monday return becomes positive and does not differ significantly from the average returns of most other days of the week. Fortnight, ex-dividend day, account period, (bad) news flow, trading activity, and bid-ask spread effects are all controlled for. The results broadly support the trading time hypothesis.
Finance: A Selective Survey [статья]
Опубликовано на портале: 19-11-2007Andrew W. Lo Journal of the American Statistical Association. 2000. Vol. 95. No. 450. P. 629-635.
Ever since the publication in 1565 of Girolamo Cardano's treatise on gambling, Liber de Ludo Aleae (The Book of Games of Chance), statistics and financial markets have become inextricably linked. Over the past few decades many of these links have become part of the canon of modern finance, and it is now impossible to fully appreciate the workings of financial markets without them. This selective survey covers three of the most important ideas of finance---efficient markets, the random walk hypothesis, and derivative pricing models---that illustrate the enormous research opportunities that lie at the intersection of finance and statistics
Опубликовано на портале: 02-10-2003Owen Lamont, Christopher Polk, Jesus Saa-Requejo Review of Financial Studies. 2001. Vol. 14. No. 2. P. 529-554.
Authors tested whether the impact of financial constraints on firm value is observable in stock returns. They formed portfolios of firms based on observable characteristics related to financial constraints, and test for common variation in stock returns. Financially constrained firms stock returns move together over time, suggesting that constrained firms are subject to common shocks. Constrained firms have low average stock returns in our 1968-1997 sample of growing manufacturing firms. They finded no evidence that the relative performance of constrained firms reflects monetary policy, credit conditions, or business cycles.
Опубликовано на портале: 22-06-2006Martin Bibby, Michael Sorensen Finance and Stochastics. 1996. Vol. 1. P. 25-41.
In the present paper we consider a model for stock prices which is a generalization of the model behind the Black-Scholes formula for pricing European call options. We model the log-price as a deterministic linear trend plus a diffusion process with drift zero and with a diffusion coefficient (volatility) which depends in a particular way on the instantaneous stock price. It is shown that the model possesses a number of properties encountered in empirical studies of stock prices. In particular the distribution of the adjusted log-price is hyperbolic rather than normal. The model is rather successfully fitted to two different stock price data sets. Finally, the question of option pricing based on our model is discussed and comparison to the Black-Scholes formula is made. The paper also introduces a simple general way of constructing a zero-drift diffusion with a given marginal distribution, by which other models that are potentially useful in mathematical finance can be developed.
Опубликовано на портале: 25-10-2007Wilson Tong The Journal of Financial Research. 2000. Vol. 13. No. 4. P. 495-522.
Recent studies on the U.S. market find that the Monday effect is observed mainly when the rettim on the previous Friday is negative or when the Monday falls within the last two weeks of the month. I look for international evidence and examine whether such properties of the Monday effect are related to another anomalous phenomenon—high weekend correlation. By examining twenty-three equity market indexes, I find that the negative Friday is, in general, important to the Monday effect. Furthermore, Monday returns tend to be lowest on the fourth week of the month. Although high weekend correlation is also common to these markets, it seems not related to the bad-Friday factor and shows no seasonality across weeks of the month.
Investing in equity mutual funds [статья]
Опубликовано на портале: 03-10-2003Lubos Pastor, Robert F. Stambaugh Journal of Financial Economics. 2002. Vol. 63. No. 3. P. 351-380.
Authors construct optimal portfolios of equity funds by combining historical returns on funds and passive indexes with prior views about asset pricing and skill. By including both benchmark and nonbenchmark indexes, authors distinguish pricing-model inaccuracy from managerial skill. Modest confidence in a pricing model helps construct portfolios with high Sharpe ratios. Investing in active mutual funds can be optimal even for investors who believe managers cannot outperfofm passive indexes. Optimal portfolios exclude hot-hand funds even for investors who believe momentum is priced. Our large universe of funds offers no close substitutes for the Fama-French and momentum benchmarks.
Опубликовано на портале: 12-11-2004Benjamin F. King Journal of Business. 1966. Vol. 39. No. 1. P. 139-190.
The analysis of the interdependence of an ensemble of security prices changes carries with it implications for such seemingly diverse financial topics as (1) methods of portfolio selection, (2) the design of index numbers, and (3) the theory of cost of capital. The concluding section of this work will attempt to relate these subjects to the principal statistical results in addition to suggesting further research that can capitalize on the present finding.