stock return is usually considered to be affected by firm’s financial ratios as well as economic variables. fundamental method assume that stock returns is not solely related to the stock market. most result come from the company condition , industry situation and whole economy. in this paper, this relationship between stock return and fundamentals is studied using the data for 22 pharmaceutica...

The purpose of this study is to investigate and find out the performance of Turkish insurance companies listed on the Istanbul Stock Exchange (ISE) and to analyze the performance of the insurance companies by using variance analysis, ratios and cash flow analysis. The insurance companies in the European Union have close contact with the European banking industry through a cross-selling process....

This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theorem conjectured by Steve Ross. Implied volatility and smile asymptotics and long rates JEL Classification: G13 Mathematics Subject Classification (2000): 60G44, 91B70

The study investigates the role of financial sector in mobilization oil resources for development Nigerian economy. While period covers between 1981 and 2019, research utilizes principal component analysis (PCA) approach to construct a composite proxy from five variable indicators. Also, deploys fully modified ordinary least squares (FMOLS) estimate impact revenue on Nigeria’s economic growth. ...

The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...

This paper analyzes the performance consequences of employee stock options for a broad sample of firms during the period 1996-1999. Our tests are performed separately for the top-5 executives and all other employees. We estimate the expected level of option incentives based on each firm’s economic characteristics. We examine the association between the unexpected level of option incentives and ...

This paper investigates the forecasting ability of five different versions of GARCH models. The five GARCH models applied are bivariate GARCH, GARCH-ECM, BEKK GARCH, GARCH-X and GARCH-GJR. Forecast errors based on four emerging stock futures portfolio return (based on forecasted hedge ratio) forecasts are employed to evaluate out-ofsample forecasting ability of the five GARCH models. Daily data...

Introducing extrapolation bias into a standard one-sector production-based real business cycle model with recursive preferences reconciles salient stylized facts about business cycles (low consumption volatility and high investment volatility relative to output) and financial markets (high equity premium, volatile stock returns, and a low and smooth riskfree rate) with low relative risk aversio...

Article history: Received 15 February 2010 Received in revised form 13 February 2013 Accepted 21 February 2013 Available online 19 March 2013 This paper investigates the sources of the dynamic relationship between real exchange rates and stock return differentials in relation to the US market for the developed and emerging Asian markets. We, first, derive the dynamic conditional correlation (DC...