s tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. this study investigates the effect of exchange rate volatility on the stock exchange returns of d8 countries. it takes monthly data during the period (2008:1-2015:6) constituting 90 observations. at first we used panel-garch model to estimate exchange rate volatility in...

in this paper, we have examined abrupt changes in volatility of tepix index in tehran stock exchange during august 23, 2010 to june 12, 2014. applying the iterated cumulative sum of squares (icss) algorithm proposed by inclan and tiao (1994) and the modified version of this algorithm consisting kappa 1 and kappa 2 test statistics developed by sansó et al. (2004), we have specified that the dete...

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as state variables. We find the short rate to be the only robust short-run predictor of excess returns,...

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail dependence is not compatible with the assumption of a joint student -t distribution. A general test for ...

This paper explores the tail features of daily stock returns. Recently developed versions of the Hill estimator are used to measure the extreme positive and negative returns for a small set of individual daily stocks covering the period of 1926 through 2004. The findings report many of the accepted stylized facts about stock returns. Scaling exponents are reliably near 3, and generally stable o...

Marketing decision makers are increasingly aware of the importance of shareholder value maximization, which calls for an evaluation of the long-run effects of their actions on product-market response as well as investor response. However, the marketing literature to date has focused on the sales or profit response of marketing actions such as advertising spending and new-product development, an...

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...

Empirical studies have suggested that stock returns can be predicted by financial variables such as the dividend-price ratio. However, these studies typically ignore the high persistence of predictor variables, which can make first-order asymptotics a poor approximation in finite samples. Using a more accurate asymptotic approximation, we propose two methods to deal with the persistence problem...

We comprehensively examine the effects of stock return volatility on firms’ financial and investment decisions. Consistent with theories of investment with financing frictions, firms with high volatility actively reduce their leverage, cut investment, increase cash holding, cut non-cash current assets such as inventories and account receivables, and cut dividend. The effects of volatility are s...

The results for the dynamic normal linear regression models fit in the previous chapter suggest that there are significant autocorrelation effects in the returns for all eighteen series examined and significant day-of-the-week effects, including a negative Monday effect, for four of the indices and two of the individual stocks. However, misspecification tests for these models reveal a number of...