نتایج جستجو برای: abnormal stock return
تعداد نتایج: 286713 فیلتر نتایج به سال:
We analyze the factors that affect security issuance and its impacts on the volatility of stock returns before and after the issuance under heterogeneous beliefs and short sale constraints using the issuing sample of convertible bonds, corporate bonds and stocks in China’s security market during 2007 to 2012. The empirical tests identify that abnormal turnover can portray heterogeneous beliefs ...
this paper investigates asset growth pricing in firm-level cross section stock return in tehran stock exchange for the period from 1379 to 1389. in order to test cross section stock return predictability by the firm's asset growth, the relation between asset growth rate and subsequent stock return is examined in a sample of 280 firms using portfolio analysis approach and fama-macbeth (1973...
Objective: Market anomalieschange with economic conditions, stock markets, selected samples, time periods and differences between industries. Revision of past forecasts leads to forecast error. The revisions result from new information. On the other hand, some managers slowly revise their forecasts in responding to new information. Therefore, the purpose of this research is to investigate the r...
Much research has introduced linear or nonlinear models using statistical models and machine learning tools in artificial intelligence to estimate Iran's rate of return. The primary purpose of these methods is simultaneously use different independent variables to improve stock return rates' modeling. However, in predicting the rate of return, in addition to the modeling method, the degree of co...
This study aims to analyze stock market reactions large-scalesocial restrictions policy implementation announcements. Themethod used is event study. 7, 5, and 3 daysevent window 120 days estimation for calculatingabnormal return. The samples of this are 32 companies inthe tourism, hotel, restaurant sub-sector listed in IndonesiaStock Market which were determined by purposive samplingmethod. res...
This study aims to examine the impact of Covid-19 pandemic on Indonesia Composite Index (ICI) and reaction Indonesian capital market events related in Indonesia. There were two observed, first event was announcement positive case Indonesia, second determination status a national disaster by government. Testing effect Covid19 stock prices carried out using an independent sample t-test against av...
In the empirical finance literature findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock market return with the business cycle indicator defining the regime. Estimation results show that there is...
This paper relates variation in stock market volatility to regime shifts in stock market returns. We apply a Markov switching model to market returns and examine the variation in volatility in different return regimes. We find that stock returns are best characterized by a model containing six regimes with significantly different volatility across the regimes. Volatility is higher when returns ...
This paper studies the reaction of share prices in Chilean securities market at sectoral level to arrival COVID-19 country. The following question is answered: Did act efficiently before COVID-19? To answer this question, an event study using a 10-day investment return window was applied industrial sectors that make up IPSA (Selective Stock Price Index). obtain abnormal returns (AR) and cumulat...
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