Much has been written about the efficiency of markets in general and of the market for equities in particular, and of its implications for the more-orless random-like behavior of stock prices. The conventional argument is that opportunistic trading by rational investors will arbitrage away any gains that can be made from predictable patterns; what is left are the perturbations in asset values c...

The purpose of this study is to empirically examine the effect Return on Assets (ROA) and Earnings Per Share (EPS) stock prices. analytical tool used in was multiple linear regression. total population 29 companies or all banking sector listed IDX 2016, sampling techniques using purposive method, which sampled were as many 12 companies. results showed that variable ROA (X1) had a significant St...

Observation of sudden, large movements in the prices of financial assets has led to the use of stochastic processes with discontinuous trajectories – jump processes – as models for financial assets. Exponential Lévy models provide an analytically tractable subclass of models with jumps and the flexibility in choice of the Lévy process allows to calibrate the model to market prices of options an...

In recent years there has been a resurgence of research on the transmission of monetary policy through the financial system, fueled in part by empirical findings showing that monetary policy affects asset prices and the financial system in ways not explained by the New Keynesian paradigm. In particular, monetary policy appears to impact risk premia in stock and bond prices, and to effectively c...

Stock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was ...

in this study, the effect of audit quality on agency costs and information asymmetry has been examined. among the accepted companies 99 ones in tehran stock exchange were selected for statistical samples from 1385 to 1392 in order to attain the research purposes. to measure the audit quality, it has been used the observable variables such as the percentage of institutional investors, the type o...

I construct a model of an asset market subject to search frictions, in an environment where both asset liquidity and market composition are determined endogenously. The analysis predicts that higher asset prices resulting from exogenously higher asset earnings imply: (i) a shorter search duration for sellers (higher liquidity), (ii) a shorter owner tenure before listing assets for resale (turno...

Focuses on several key industries like Textile, Plastics, and Electronics, this study applies the Vector Autoregressive Moving Average (VARMA) Model on the industrial sales index and industrial stock prices index to observe the dynamic relationship between sales and stock prices. Our empirical result has shown a consistent pattern of relationship between sales and stock prices among all industr...

The emergence of big data analytics enables real time news analysis. Such analysis offers the possibility to instantly extract the sentiment conveyed by any newly published, textual information source. This paper investigates the existence of a causal relationship between news sentiment and stock prices. As such, we apply news sentiment analysis for unstructured, textual data to extract sentime...