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Hyung-Chan Jung,Hyun-Jung Nam
AbstractBackground: As financial professionals including policy-makers tend to base decisions on research performed using large machine-readable financial databases, the accuracy of the financial data provided by database companies has a direct impa...
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Li Zhao, Nathee Naktnasukanjn, Ahmad Yahya Dawod and Bin Zhang
The efficient capital markets hypothesis (EMH) posits that security prices incorporate all available information in capital markets. Nevertheless, real stock markets often exhibit speculative behavior due to information asymmetry and the limited rational...
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Jayen B. Patel
The January Barometer or the Other January effect suggests that January returns can predict future performance of the stock market. In this study, it is examined if any particular calendar month return can effectively be used as a monthly barometer to ac...
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Melody Nyangara,Davis Nyangara,Godfrey Ndlovu,Takawira Tyavambiza
Pág. 365 - 379
We test the empirical validity of the Capital Asset Pricing Model (CAPM) on the Zimbabwe Stock Exchange (ZSE) using cross-sectional stock returns on 31 stocks listed on the ZSE between March 2009 and February 2014. We conclude that, although the explanat...
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Camila Cardoso Pereira,Regis A. Ely,Cláudio Djissey Shikida
Pág. 611 - 634
We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate a...
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Arben Zibri, Agim Kukeli
The paper studies the differences in risk reduction among global minimum variance portfolios (GMVPs) derived from the optimization of weekly and monthly return. This research follows the analysis of Zibri and Kukeli (2014) regarding differences in perfor...
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Loc Dong Truong, Giang Ngan Cao, H. Swint Friday and Nhien Tuyet Doan
The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5...
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Mimoun Benali, Karima Lahboub and Abdelhamid El Bouhadi
In this study, the reliability of the Fama?French Three-Factor model (FF3F) and the Carhart Four-Factor model (C4F) is examined thoroughly. In order to determine which of the asset pricing models is the best to explain portfolio returns on the Moroccan s...
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Asmâa Alaoui Taib and Safae Benfeddoul
This study empirically tests and compares the performances of three famous financial asset valuation models in the Moroccan stock exchange: CAPM, the Fama and French three-factor model, and the Fama and French five-factor model. Our sample considers mont...
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Milo? Ðakovic,Jelena Andra?ic,Danica Cicmil
Pág. 183 - 197
One of the basic types of portfolio valuation as well as valuation of individual company shares is the CAPM (Capital Asset Pricing) model, which uses a well-known measure of systemic risk in its analysis, which is beta. The CAPM model in its analysis use...
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Soleman Alsabban,Omar Alarfaj
Pág. 73 - 86
Theoretically, investors are considered to be rational decision makers in regards to trading in stock markets, however, some empirical studies have statistically discredited this believe. Evidence shows that investors seem to act irrationally in the fina...
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Grigoris Giannarakis,Alexandros Garefalakis,Christos Lemonakis,Nikolaos Sariannidis
Pág. 556 - 561
The scope of this study is to address the impact of stock index returns on exchange rate. In particular, it aims to fill the literature gap regarding the determinant role of socially responsible companies on the exchange rate Trade Weighted U.S. Dollar I...
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Iqbal Thonse Hawaldar,Shakila B.,Prakash Pinto
Pág. 426 - 436
In financial literature we find numerous studies examining the presence of diverse types of calendar anomalies in different stock exchanges of the world. The current paper aims to investigate the month of the year effect in randomly selected ten companie...
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Nurasyikin Jamaludin,Shahnaz Ismail,Syamimi Ab Manaf
Pág. 37 - 45
This paper aims to examine the effect of macroeconomic variables namely inflation, money supply, and exchange rate on both conventional and Islamic stock market returns in the three selected ASEAN countries (Singapore, Malaysia, Indonesia) by utilising m...
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Grigoris Giannarakis,Christos Lemonakis,Asterios Sormas,Christos Georganakis
Pág. 155 - 160
The predictability of stock returns by investors has been a crucial issue updating over the time. The aim of this study is to investigate the effect of economic leading indicator of Baltic Dry Index (BDI) on stock returns of socially responsible stock in...
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Michael Segun Ogunmuyiwa
Pág. 39 - 73
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Kiran Kumar Kotha,Bhawna Sahu
Pág. 1081 - 1091
The rapid growth of Indian economy during the last two decades raises empirical questions regarding the fundamental connection between stock price and key macroeconomic indicators. This paper aims to examine long and short run relations between selected ...
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Faisal Khan,Saif Ur Rehman Khan,Hashim Khan
Pág. 551 - 561
While investigating the role of age effect in detecting the risks-return tradeoff, various volatility dynamics and macroeconomic exposure of firm returns, this research study employs monthly data from Pakistani stock market for the period from 1998 to 20...
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Faleh Alrashidi, Manzoor Ahmed, Fahad Beneid
This paper is aimed to determine a change in the stock markets returns or its volatility from the globally selected Islamic mutual funds during the month of Ramadan, as all Muslims around the world eagerly and enthusiastically follow the rituals of the h...
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Prince C. Nwakanma, Arewa Ajibola, Hudson C. Nwakanma
The studies on beta variability have been fully documented in the literature with various empirical stances, meaning that a concession has not been reached. In view of this we employ the variable Mean Response Regression Model to investigate the random m...
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