Over the last decade we have witnessed the rise and fall of the so-called new economy stocks. One central question is to what extent these new firms differ from traditional firms. Empirical evidence suggests that stock returns are not normally distributed. In this article we investigate whether this also holds for portfolios of stocks from a growth industry. Furthermore, we will compare this ty...

explanation relation between risk and return and capital asset pricing are concepts which is appointed as dominator and major paradigms in capital markets. so far as after offering capm by sharp & lintner, this model has been revised and criticized frequently. in this paper another version of capm has been tested versus traditional capm in tehran stock exchange. this version of capm measures se...

We estimated carbon and nitrogen stocks in aboveground biomass (AGB) and belowground biomass (BGB) along an elevation range in forest sites located on the steep slopes of the Serra do Mar on the north coast of the State of São Paulo, southeast Brazil. In elevations of 100 m (lowland), 400 m (submontane), and 1000 m (montane) four 1-ha plots were established, and above- (live and dead) and below...

In this paper we consider the measurement and pricing of distress risk. We present a model of corporate failure in which accounting and market-based measures forecast the likelihood of future …nancial distress. Our best model is more accurate than leading alternative measures of corporate failure risk. We then use our measure of …nancial distress to examine the performance of distressed stocks ...

The Anatomy of Fluctuations in Book/Market Ratios We analyze trading activity accompanying equities' year-to-year switches from " growth " (low book-to-market ratios) to " value " (high book-to-market ratios), and vice versa. We find that a large book/market ratio increase, i.e., a shift from growth to value, is accompanied by a strongly negative small-trade order imbalance. Large-trade imbalan...

Previous studies find that small stocks have higher average returns than large stocks, and the difference between the returns can not be accounted for by the systematic risk, b. In my analysis of Compustat and CRSP data from 1976 to 1995, and simulation experiments based on the data, I find the size effect can be largely explained by data truncation that is caused by survival. Small stocks’ ret...

This paper investigates a unique dataset that enables us to determine the aggregate buy and sell volume of individual investors for a large cross-section of NYSE stocks. We find that individuals trade as if they are contrarians, and that the stocks that individuals buy exhibit positive excess returns in the following month. These patterns are consistent with the idea that risk-averse individual...

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains variation in weekly excess return of stocks. The finds that estimated abnormal portfolio based on intensity is significantly high for stocks with higher and low lower intensity. Further, observes that, when SAI high, returns are value, volatility, sensitivity. Interes...

In this journal, Best, Best and Yoder (2000) recently demonstrated that portfolios of US value stocks dominate portfolios of US growth stocks in terms of second-order stochastic dominance (SSD). However, we cannot conclude from this finding that the market is SSD inefficient, because market portfolio efficiency generally does not require growth portfolios to be efficient. Furthermore, stochasti...

Empirical literature on reallocation of resources during business cycles provides an evidence of increased reallocation of labor across firms during downturns. In this paper I build a theoretical model with search frictions in the labor market, that is consistent with this observation, and study implications of search and match frictions for the cross section of stock returns. In the model firm...