نتایج جستجو برای: abnormal stock return

تعداد نتایج: 286713  

2014
Niu Weining Liu Shancun Jin Jing

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 ...

Journal: :تحقیقات مالی 0
مریم دولو استادیار گروه مدیریت مالی، دانشکدۀ مدیریت و حسابداری دانشگاه شهید بهشتی، تهران، ایران

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...

Journal: :Physica A: Statistical Mechanics and its Applications 2002

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...

Journal: :BAKI (Berkala Akuntansi dan Keuangan Indonesia) 2022

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...

Journal: :APMBA (Asia Pacific Management and Business Application) 2022

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...

2010
Henri Nyberg

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...

Journal: :Inf. Sci. 1996
Chia-Shang James Chu Gary J. Santoni Tung Liu

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 ...

Journal: :Journal of risk and financial management 2021

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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