Search

Gold is considered the most strategic commodities and the most important financial assets all over the world. This paper investigates the co-movements between the gold price and stock market in China by using the wavelet approach. The results show that gold cannot act as a hedging tool in the short term, which is quite consistent with the results in the UK and US. However, it serves as a hedging tool against stock market only in China in the long term after 2005. We own the hedge attribution of gold in the long term after 2005 only in China to some important market policies shifting, such as the non-tradable share reform in Chinese capital market and the exchange rate reform in 2005. The results also reveal that the stock market in China has been dominated by the gold price over the long term.

The purpose of this paper is to aggregate some of my thoughts and perspectives, which are continuation to my previous papers, from the last months. The paper consists of different independent parts that are separated by headings. These parts are however somewhat linked to each other, and together they constitute a whole. Hence, I have excluded forewords, closing words, and other words not included in these parts from the paper. This paper starts with a relationship between stock price and true value.

This paper examines the information content within several popular stock market factors, asking whether they contain independent explanatory power for stock returns and whether their movements relate to economic variables. Given, the explosion in the number of such factors, it is important to consider whether each factor adds to our understanding of markets and the wider economy. We undertake three related exercises, whether a set of common factors contain independent predictive ability for stock return portfolios, what economic and market variables can explain movements in the factors and whether stock market factors have predictive power for future output growth. The results support the view that several of the considered factors do not contain independent information for stock returns. Further, most of these factors do not provide any predictive power for future output growth and thus appear not to contain any economic content or information regarding economic behaviour. Evidence suggest that movement in the factors is driven by considerations of current economic and market risk. Hence, stock market factors reflect existing economic conditions but do not provide a window on future behaviour.

This study investigates the relationship between investor attention and stock price movements in Japan's startup stock exchanges, Mothers and JASDAQ. We find a positive relationship between search intensity and stock returns and between search intensity and liquidity. The positive correlation between search intensity and stock returns/liquidity tends to be larger for startup firms with a high proportion of individual shareholders. Contrary to prior studies that have reported a reversal after an immediate stock price increase, our results show the possibility that an immediate increase in stock returns of startup firms may not be neutralized in the long run.

This Report is Descriptive Research that is about An Empirical Analysis of Stock on Return of Bangladeshi Banks that provided an analysis of various determining factors of Stock Market and their significance on Multi-Factors. Five Banks had been chosen for this study. They were selected as sample because of holding highest market capitalization under commercial local Bank. For analysis, 8 years of data (2007-2014) had been collected from their financial statements. In this study, profitability was defined as earnings before interest and tax scaled by total asset. Bank size was calculated through the natural logarithm of total assets. Age referred change in Total Revenue and also different ratios represent different function on stock market. There are four Independent variables - Bank Size, Revenue Growth, Dividend Yield, Retained Earning to Total Asset and one dependent variable - Return on Stock. Four hypotheses had to be examined in this study.Objectives: To analyzed different stock market related information to know the stock return of Bangladeshi banking sector.Finding & Significances of the Study: The Independent Variables effect on dependent variable by 22.17%; Significance level is .05 greater than the Probability, so need to increase the level of information.

It is generally believed there is an equilibrium problem associated with contingent capital (CC) with a stock price trigger. In this paper I show that the problem instead reflects an internal inconsistency in the specification of the boundary conditions for conversion. A unique equilibrium will exist for CC with a stock price trigger which penalizes stockholders on conversion. A stock price trigger is ill defined for CC which penalizes CC holders on conversion but a unique equilibrium will exist if the price of the CC rather than the price of the stock is used as the trigger for conversion.

The objective of this paper is to provide a practical tool for stock price evaluation and forecasting under Extreme Value Theory (EVT). Three existing models are reviewed; these models include: Mordern Portfolio Theory, Black-Scholes, and Jarrow-Rudd models. It was found that these models may not be effective tools where option contract is not part of the investment regime. The data used in this research consist of the daily close price from a period of 30 days from 100 companies in the SET100 index. From the sample distribution F(X), extreme values were identified. A tail index E was calculated to verify the distribution for each security was identified. Using EVT, the threshold value was estimated and used as a tool for risk assessment for each stock. It was found that Thailand’s SET100 consists of two groups of stocks according to price distribution. The majority of the stocks are Weibull distributed and the remaining stocks are Frechet distributed. Using Fisher-Tippett-Gnedenko’s Generalized Extreme Value to calculate price volatility, the Weibull group shows the mean value of H = 0.57 , and the Frechet group shows H = 0.05 . The findings may be used as a tool for risk assessment in stock investment. This finding rejects the general assertion that most financial data are fat-tailed distribution. The finding of this paper implies that investors face two categories of stocks: low and high price volatility. The idea of sector diversity becomes secondary. Empirical evidence shows that stocks from different sectors may have the same distribution and stocks of the same sector may have different distributions. Therefore, price volatility index is a better indicator for risk management.

We investigate the impact of family control on both the nominal share price level and the decision to split the firm’s stock. Low stock prices are associated with higher volatility and have been shown to attract more speculative trading, which may force managers to excessively focus on short-term earnings. Moreover, a reduction in the stock price level is often associated with a loss of prestige. We hypothesize that family owners, who are typically long-term investors and are especially concerned about corporate reputation, prefer to set higher stock prices to mitigate short-termism, focus on long-term planning, and reinforce the firm’s prestige. We find a positive correlation between nominal share prices and family control. Our investigations also indicate that family firms are less likely to conduct price reductions through stock splits. These findings suggest that a high stock price is a distinctive feature of family firms and that family owners have a specific norm in mind around nominal prices.

We investigate the impact of short-sale and margin-purchase on stock price crash risk in the Chinese markets. China lifted bans on short-sale and margin-purchase for stocks on an expanding designated list since March 2010. Results of difference in different tests reveal that the removal of bans on short-sale and margin-purchase is followed by a reduction in stock price crash risk over the subsequent six months. Utilizing firm-level daily short-sale and margin-purchase turnover data, we find that short sales reduce future stock price crash risk whereas margin purchases add to the risk.

The majority of present-day investigators have come to the general consensus, according to which for an objective evaluation of the top management activities in a company, it is imperative that the results of their performance be evaluated by the market, rather than by the subjective human factor (in the person of the same top managers). With all attractiveness of evaluating top-managers' motivation through the use of warrants, it is evident that this motivation, as any other, must have a certain value for the company that needs to be pre-evaluated. In order to valuate European options, the Black-Scholes model is used in most cases since it provides a conservative, i.e. lowest, option value. However, for more realistic corporate business presentation, a model with dividends for a European-type warrant should be used. In such a case, the warrant and stock values can be theoretically adjusted until the warrant value has become equal to zero. The stock value, however, will significantly decrease as compared to the original market value. But in actual practice, markets ineffectually respond to issuing warrants by companies; therefore, the stock value declines in a minor way. You may wish to decide upon that adjustment of the fair stock price, which would be following the first specification of the fair warrant price. In this case, the price of motivating top managers using warrants is calculated through multiplying the magnitude of reduction in the stock value by the number of the company shares in circulation.

This paper aims to study how the stock market operates and the reasons for fluctuation in the stock market that wipes out investors’ money in majority of cases. It tries to find out how the retail investor can easily decide which stock to invest so that he would have minimal effect of stock-market crash. This paper also tries to suggest a few steps for the Government authorities to take so that even if the retail investor made mistake in choosing the right scrip, he would not lose out in the investment plan. The sole aim of the paper has been to find out avenues for safeguarding the interest of the retail investor from stock market fluctuation. This initiative may probably help protect the stock market by supplying necessary elixir for the business and a remunerative, inflation-riding return to the investor. This paper would probably initiate further study in the direction of integrating stock market, investor, promoter and broker for a smooth and developing society.

This paper uses Altman (1968) Z-Score measure of financial distress to calculate Z-scores of a sample data set of three major companies in the US PC industry over the period of 2004-2014.The companies are Apple, HP and Lenovo. Financial data for calculating Z-score measures is obtained from the annual reports of each company and historical stock quotes are used to calculate stock returns. The paper then attempts to establish a relationship between the two calculated variables: Z-scores and stock returns. A deep comparative analysis between companies is carried out using the results of the regression. Several arguments are also presented in order to justify the results which show a positive relationship between Z-scores and Stock returns, indicating a high Z-score or low financial distress reflects higher stock prices.

This study investigates the low-price effect on the Polish stock market. By adopting sorting, cross-sectional tests and checks of the monotonic relation, we have examined the performance of the portfolios formed on the prices of over 850 companies listed on the Polish stock market within the years 2000-2014. Contrary to the globally prevailing evidence, the expensive stocks have significantly outperformed the cheap stocks. Additional sorts on value, size and momentum may be used further to improve the price-based strategies while the strongest anomaly has been identified among the growth companies. We hypothesize that the reverse character of the low-price anomaly may be explained by the impact of another phenomena: the underperformance of lottery-stocks. With the exception of the growth stocks, the reverse low-price effect is no longer significant after the exclusion of NewConnect companies. Finally, by adopting an alternative methodology, we have provided convincing out-of-sample evidence in support of the hypothesis of Baker et al. (2009) stating that corporate managers cater to investors by splitting their company shares in response to time-varying catering incentives.

The price of a security potentially contains incremental information regarding its (unobservable) required rate of return, since price depends partly on required return. We construct a simple model in which we use Bayesian updating to show that the cross-sectional expectation of the required rate of return should be negatively related to the logarithm of split-adjusted price. Our model provides a theoretical explanation of the split-adjusted price anomaly first documented by Brown & Pfeiffer (2007). There is strong empirical evidence linking split-adjusted price with subsequent realised US stock returns. Among more than 100 anomaly hedge portfolios constructed using the same US stock return data and portfolio construction methods, the split-adjusted price decile hedge portfolio generates the highest value-weighted mean return (190 bp/month, t-statistic 8.25) and the highest time-series alphas (Fama & French (1993) 3-factor alpha 171 bp/month, Carhart (1997) 4-factor alpha 212 bp/month and Fama & French (2015) 5-factor alpha of 185 bp/month). We argue that as one of the largest and seemingly most robust anomalies yet documented the split-adjusted price anomaly deserves more attention than it has received so far.

The price of a security potentially contains incremental information regarding its (unobservable) required rate of return. We construct a simple theoretical model to derive the expected rate of return conditional on an observed split-adjusted stock price using Bayesian updating. The model suggests that expected return should be negatively related to the logarithm of split-adjusted price in the cross-section. This provides a theoretical explanation of the split-adjusted price anomaly first documented by Brown and Pfeiffer (2007). There is strong empirical evidence linking split-adjusted price with subsequent realised US stock returns. Among more than 100 anomaly hedge portfolios constructed using the same US stock return data and portfolio construction methods, the split-adjusted price decile hedge portfolio generates the highest value-weighted mean return (151 bp/month, t-statistic 7.12) and among the highest time-series alphas under several benchmark models. We argue that as one of the largest and seemingly most robust anomalies yet documented the split-adjusted price anomaly deserves more attention than it has received so far. ∗Corresponding author. E-mail: p.geertsema@auckland.ac.nz. Department of Accounting and Finance, University of Auckland Business School, Auckland, New Zealand. †E-mail: helen.lu@auckland.ac.nz. Department of Accounting and Finance, University of Auckland Business School, Auckland, New Zealand.

The present research work is conducted to analyze whether changes in oil prices at global level affect the stock market returns in Indian market. Daily closing stock market price data from National Stock Exchange (NSE) and daily oil prices, for the period beginning from January 2010 to December 2014, are taken into consideration. VAR model of co-integration is used to test the relation between the two variables. It is found that there is no long term integration between oil price and Indian stock index series. Apart from long term, these series do not even cause each other in short run. Very weak correlation, about 3.21 percent, was observed in the series that may be due to recent fall in crude oil prices at global level. Individual/ institutional investors, portfolio managers, corporate executives, policy makers and practitioners may draw meaningful conclusions from the findings of the present study while operating in stock markets. Research like this may help diverse stakeholders in management of their existing portfolios as their portfolio management strategies may be, up to some extent, dependent upon such research work.This paper is an attempt to fill the research gap that exists for Indian stock market in terms of its relationship with global oil prices.

The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market troughs. Formally incorporating subjective price beliefs into an otherwise standard asset pricing model with utility maximizing investors, we show how subjective belief dynamics can temporarily delink stock prices from their fundamental value and give rise to asset price booms that ultimately result in a price bust. The model quantitatively replicates (1) the volatility of stock prices and (2) the positive correlation between the price dividend ratio and expected returns observed in survey data. We show that models imposing objective or 'rational' price expectations cannot simultaneously account for both facts. Our findings imply that large parts of U.S. stock price fluctuations are not due to standard fundamental forces, instead result from self-reinforcing belief dynamics triggered by these fundamentals.

The stock expected returns are positively related to operation performances and negatively related to investment and financing activities, we check the three indicators with significant predictive power in the cross-section of stock returns, across large, medium and small cap stock groups: Net Cash Flow from Operation, Accumulative Depreciation, and Change in Common Stock Capital. Stock portfolios with high or low scores in the three indicators demonstrate significant alphas relative to the market portfolio. The long-short portfolios contructed by the scores in the three indicators in large cap and medium cap stock groups demonstrate to enhance the ex-post Sharpe ratio for the market portfolio in back-testing from July 1972 to June 2010.

A kinetic model of stock price returns is presented for the description of the stock price dynamics through an impact of the information signals on investor behaviours. The model incorporates behavioural processes of the influence of the private or public information on the exchange of cash and shares flows. Using an analytical approach and simulation technique of the stock prices, we analyze the price rate dynamics for a perfectly competitive market. We show that the stock price is indifferent to the trading volume for the competitive market conditions. The model potentially explains the mechanism of the impact of the information signals on the stock price. The proposed kinetic schemes and analytical approaches may be used for the intraday trading analysis of the stock price dynamics and for the simulation of the hedging strategies.

In an environment where capital market participants collectively possess superior information about a decision faced by a firm manager, we use an experimental market to analyze the effectiveness with which the market communicates this information to the manager through stock price. We do so in a setting in which an inherent conflict exists between pricing that communicates information to the manager and pricing that accurately values the firm given the manager’s optimal response to the communicated information. Despite this conflict, we find that when the manager initially selects a low-value project, the stock price from the capital market is lower than the price that accurately values the firm given the manager’s optimal response to this price. Because managers often respond to this lower stock price by switching to a higher value project, firms with the lowest initial stock price generate the greatest future returns. Consistent with behavioral theory, we further highlight that imposing a small cost on the manager for switching projects decreases the communicative effectiveness of price leading to lower future returns in response to a low stock price. Collectively, our results potentially contribute to a better understanding of the seemingly anomalous book-to-market effect and results from the executive compensation literature.

Weld, Michaely, Thaler, and Benartzi (2009) find that the average nominal stock price on the New York Stock Exchange and the American Stock Exchange has been approximately $25 since the Great Depression. They report that this “nominal price fixation is primarily a U.S. or North American phenomenon.” Using a larger data set from 38 countries, we show that nominal prices of most stocks tend to revert to their initial public offer (IPO) prices. IPO prices are natural anchors because they are the first public prices observed by investors. We demonstrate that corporate actions maintain these nominal stock price anchors.

This study examines the effect of firm size on stock returns with time variant factor of January and July. Broadly speaking, the extant literature finds relationship of firm size with stock returns. Smaller firms enjoy higher risk adjusted returns. Specifically, this study examined the firms belonging to four major manufacturing sectors of Karachi Stock Exchange (KSE), that is, Automobile and Parts, Constructions and Materials, Oil and Gas and Pharmaceuticals and Bio-Technology sectors. Monthly data has been used covering the period from January 2007 to June 2013 inclusive, monthly closing stock price, KSE-100 index values, market capitalization are main variables of this study. Ordinary Least Squares (OLS) and Fixed-effect regression techniques were applied and results suggest that the size of the firm is negatively and significantly related to the stock returns and July effect is positively and significantly related to the returns of the firm. Overall, these findings are consistent with previous studies.

This paper analyzes procedures for forecasting and avoiding stock price crashes. First, we identify the underlying events that cause stock prices to crash. Second, we synthesize previous academic research on the prediction of stock price crashes and construct a parsimonious model for forecasting stock price crashes. Third, we examine how positioning a portfolio to reduce exposure to stocks with high crash risk improves investment performance. Our research should help investors to construct equity portfolios with fewer stock price crashes, higher returns and lower volatility.

Price elasticity estimates of residential electricity demand vary widely across the energy economics and policy literature. In this paper, we seek to explain these findings using three nationwide datasets from the U.S. – the American Housing Survey, Forms EIA-861, and the Residential Energy Consumption Survey. We examine the role of the sample period, level of aggregation, use of panel data, use of instrumental variables, and inclusion of housing characteristics and capital stock. Our findings suggest that price elasticities have remained relatively constant over time. Upon splitting our panel datasets into annual cross sections, we do observe a negative relationship between price elasticities and the average price. Whether prices are rising or falling appears to have little effect on our estimates. We also find that aggregating our data can result in both higher and lower price elasticity estimates, depending on the dataset used, and that controlling for unit-level fixed effects with panel data generally results in more inelastic demand functions. Addressing the endogeneity of price and/or measurement error in price with instrumental variables has a small but noticeable effect on the price elasticities. Finally, controlling for housing characteristics and capital stock produces a lower price elasticity.

We develop a dynamic structural model of stock splits, in which managers can signal their private information though the timing of the split decisions. Our approach is consistent with the empirical evidence that shows that the majority of stock splits have 2:1 ratio but are announced at various initial price levels. The model allows us to estimate the preferences of investors about nominal share price levels from stock split data. In addition, we can decompose the split announcement return into the value of new information and the signalling costs. Our estimates show the signalling cost is around 2%.

Based on traditional finance theory, nominal stock prices should be inconsequential. However, the effect of nominal prices is not illusory once the price is not confounded with size. In this paper, we find that, controlled for size, high price stocks significantly outperform low price stocks by an abnormal 4.32% per year. Furthermore, high price stocks are less sensitive to market movements, display lower idiosyncratic volatility, lower idiosyncratic skewness, and lower illiquidity. Using a unique dataset, we observe that the number of individual shareholders is higher for low price stocks than for high price stocks in the same size decile, while institutional ownership is greater for high price stocks. The return differential between high and low price stocks is robust to various specifications and tests, controlling for idiosyncratic volatility, and using price cut-offs of $1 and $5. In addition to cross-sectional analyses, similar results are obtained in a longitudinal setting following stock splits. The difference in returns is partially explained by idiosyncratic volatility though the price effect continues to remain important.

The total output of an economy usually follows cyclical movements which are accompanied by similar movements in stock prices. The common explanation relies on the demand side. It points out that stock market wealth drives consumption which triggers production afterwards. This paper focuses on influences via the supply side of the economy. The aim of the paper is to explore channels where stock price patterns influence the amount of credit taken by firms. We examine trend and volatility cycles on the stock market. There are three channels addressed: the stock market valuation as piece of information for the assessment of a firm’s creditworthiness, the influence on restructuring prospects in times of financial distress and the stock market related remuneration of the top management affecting capital demand. We ask to which extent a channel may contribute to the stock price - output relation when there is mutual feedback. A model `a la Delli Gatti et al. (2005) drives the results. Firms take credit to finance their production which determines their financial fragility. If their stochastic revenue is too low, they are bankrupt and leave the economy. The capital loss hurts the bank’s equity base and future credit supply is diminished. This causes business cycles. Results show that if the bank assesses creditworthiness according to the stock price then idiosyncratic stock price fluctuations have only a slight effect as they disturb selection and hinder growth. If stock market optimism matters for bankruptcy ruling the level of stock owners’ influence does not matter. If optimism is wide spread among stock investors however, investment behaviour is also correlated through the stock prices and this results in huge real economy cycles without any long-term growth. If volatility is considered in the decision of managers they act more prudently and this fosters growth.

This paper examines the dynamics of stock prices adjustment to fundamental value proxied by dividend per share and earnings per share on the Tunisian stock market based on the cointegration techniques. First, the linear cointegration between stock prices and fundamental values is examined by using the Johansen’s cointegration test. The empirical results indicate a linear cointegrating relationship between stock prices and dividend per share, and not between stock prices and earnings per share, in support of a linear mean reversion of stock prices towards its fundamental value proxied by dividend. To further investigate the cointegration between stock prices and earnings per share in a nonlinear context, we have modelled the deviation of stock prices away from EPS by a logistic smooth transition autoregressive (LSTAR) model. Our results indicate that this model cannot capture the nonlinearity of this deviation, failing, then, to give evidence of a nonlinear cointegration between stock prices and EPS. These results suggest that when selecting stocks, Tunisian investors should focus on the underlying performance of stocks only in terms of their dividend per share.

This paper constitutes an analysis on Indian stock market returns. The conducted study probes the nexus between returns on four stock market indices, namely Sensex (BSE 30), Energy Index (BSE ENERGY), Oil and Gas Index (BSE OIL & GAS), and Capital Goods (BSE CG), and returns on traded energy prices, traded gas prices, global oil prices, and rupee-dollar exchange rates, based on weekly data from June 9, 2008 to May 16, 2014. Generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) models have been used to examine the impacts of utility price and exchange rate movements on mentioned stock market indices. The study have established that movements of traded energy price, global oil price, and exchange rate have significant impacts on the movements of considered stock market indices, and surprisingly movements in gas price have no significant impact in any of the indices. Span of the study has been selected based on the establishment of Indian Energy Exchange, and in order to rule out the possibilities of volatility clustering, which may possibly probe biasness in the results, data pertaining to lower frequency range have been selected. Data for this study have been collected from Reserve Bank of India, Indian Energy Exchange, Bombay Stock Exchange, Multi Commodity Exchange, and U.S. Energy Information Administration.

In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with low nominal price. The research aims to broaden the academic knowledge in a few ways. First, we deliver some fresh evidence on low price effect from Polish market. Second, we analyze the interdependence between the low price effect and other return factors: value, size and liquidity. Third, we investigate if the low price effect is present after accounting for liquidity. Fourth, we check whether the low price effect is robust to transaction costs. The paper is composed of three main sections. In the beginning, we review the existing literature. Next, we present the data sources and research methods employed. Finally, we discuss our research findings. Our computations are based on all the stocks listed on the WSE in years 2003-2013. We have that the low price effect is present on the Polish, although the statistical significance is very weak and it disappears entirely after accounting for transaction costs and liquidity.

We investigate whether suppliers utilize information in customer stock prices to guide investment decisions. Using mutual fund flow-driven price pressure to identify exogenous negative shocks to stock prices, we show that suppliers decrease relationship-specific investments (RSI) following declines in their customers’ market values. Specifically, suppliers reduce R&D and suppliers and customers generate fewer related patents. The effect is not driven by industry-wide trends and is robust to controlling for the customer’s own investment, the supplier’s own mutual fund price pressure, and rival stock prices. Our findings suggest that information in stock prices affects investment decisions by other product market participants.

In weekly intervals, the Swiss stock research firm Obermatt publishes the top 10 stocks in a stock index based on four different investment strategies. This report describes the results of a back testing of this method. It uses prior year year-end financials to identify top 10 stock tips for a stock index at the beginning of the years 2011, 2012 and 2013. It then compares the returns of these 10 stock tips with the returns of the index that they come from. This report tests 600 investment cases (50 stock indices times 3 years times 4 investment strategies). From the beginning of 2011 to the end of 2013, Obermatt Top 10 Stock Tips generated an average outperformance over the corresponding 52 stock indices of 8.0%. In other words, Obermatt Top 10 Stock Tips generated 8% more returns than the index where they come from. Obermatt stock tips have been better than their index in 454 of the tested 600 cases (76%). The value strategy was right in eight out of ten performance comparisons (81%). The underlying data is available free of charge at Obermatt for further research and publications.

In this paper, we develop a dynamic model of optimal investment for shareholders by using the utility-indifference pricing theory. The marginal value of cash holdings is measured in shareholder’s marginal utility of cash. The model predicts that the marginal value of cash varies negatively with the stock price, and positively with the volatility of the stock price. We then test this model using a sample of 453 Chinese Listed Companies from 1999 to 2012. Consistent with the model, we find the same quantitative relationship between the marginal value of cash and the stock price, the volatility of the stock price. The effect may offer a new method to predict the changes of stock price in practice. Our conclusions may also support that cash holdings are more valuable for financially constrained firms than unconstrained firms.

We investigate how characteristics of the board of directors and top management affect a firm’s stock price delay in China. Using A-shares listed on both Shanghai and Shenzhen stock exchanges from May 2003 to April 2014, we find firms with stocks in the highest price delay decile portfolio have fewer directors and top managers, lower state ownership, higher director and top management ownership, younger top management team, and lower probability of CEO-Chair separation. Firm-level analysis shows that the number of directors, the number of top managers, and CEO-Chair separation significantly negatively correlate with the stock price delay after controlling liquidity and investor attention variables. After we separate a firm’s price delay into director, top management, liquidity, attention, and state ownership components, we find only liquidity and attention components of price delay contribute to the monthly price delay premium of 1.47% from May 2004 to April 2014 in China.

We investigate how private information in stock prices impacts quarterly dividend changes. We find that the positive relationship between past returns and current dividend changes strengthens when returns convey more private information. This finding is robust to the use of several price informativeness measures and the inclusion of managerial private information and stock overvaluation measures. Managers seem to learn new information from stock prices that they use when deciding on their dividend policy. This study highlights private information in stock prices as an important determinant of dividend policy and contributes to the literature on the real effects of financial markets.

Firms can change their outstanding shares to manage their stock price levels. Those with lower stock prices tend to attract more speculative trading, which causes higher price volatility and may force their managers to excessively focus on short-term earnings at the expense of R&D and other long-term projects. Thus, we hypothesize that firms investing more in R&D prefer to set higher stock prices to mitigate investor short-termism and foster innovation. Indeed, we find that firms with more R&D capital tend to keep higher stock prices and are less likely to split their stocks to lower prices. Furthermore, high-priced firms are less likely to cut R&D to reverse an earnings decline, and less likely to fire their CEOs in the presence of poor earnings. More importantly, firms’ R&D productivity — in terms of generating patents and patent citations — tends to increase with their stock prices, even after controlling for firm valuation, stock returns, stock liquidity, and institutional ownership. For robustness checks, we examine stock splits, which allow mangers to re-set their stock price levels, and IPOs in which managers set an offering price range before shares are publicly traded. Consistent with our hypothesis, we find that IPO firms setting higher offering prices have more future innovation and that innovation declines after firms split their stocks. Thus, our results imply that managers of R&D firms actively set high stock prices to foster innovation, and support Warren Buffett’s wisdom that firms can use stock prices to attract preferred clientele.

This paper will examine the dynamic relationship among world crude oil price, domestic gold price and stock return in Vietnam. It employs vector autoregression (VAR) model using daily data in 2013 with impulse responses and variance decomposition analysis. The findings in this paper reveals that: (i) Johansen co-integration test suppose a long run relationship between stock price, oil price and gold price, (ii) stock prices responses positively to shocks to oil price during the first 8 periods, after that the response is negative, (iii) stock price responses negatively to domestic gold price shocks over the time, (iv) gold price response positively to oil price shocks but negatively to stock market shocks, and (v) stock price is affected more significant by gold price shocks than by oil prices shocks in the first 15 days, while gold price is affected more significant by oil price shocks than by stock price shocks.

Based on regime shifts test with MSAR model,The paper estimates the MSVAR model to investigate the interactive relationships between stock market and oil price using monthly data ranging from Jan 1991 to Jul 2014. The results show that the volatilities of both stock market and crude oil price are of regime shifts, and the persistence of low volatility regime is stronger than that of high volatility. The current stock market return is highly and nonlinearly dependent on the historical data. China’s stock market is characteristic of positive feedback. There is unidirectional and asymmetric causality that runs from world oil shock to stock market.

In the last decades, several studies revealed the significant impact of oil price variation not only on the real economic activity but also on the financial markets evolutions. Such relations are affected by some particularities of the national economies. In this paper we examine the impact of the oil price on the Romanian capital market evolution from January 2000 to February 2013. In our analysis we employ daily values of the Brent oil price and of BET C, one of the main indexes of Bucharest Stock Exchange. A GARCH model allows us to investigate the effects of the oil price fluctuations on returns and volatility of the stock prices. We split our samples of data in three sub-samples in order to capture the influence of three major processes that affected the Romanian economy: the last stage of transition to a capitalist system, the transformations induced by the adhesion to European Union and the global crisis. Our results revealed significant changes on the relation between oil price and stock prices that occurred during these three periods of time.

Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a sample of large and liquid U.S. stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift and greater deviations of stock prices from the random walk. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing and passive trading are probably the main causes for degradation in price efficiency.

This paper applies a time-varying parameter vector autoregressive (TVP-VAR) approach to estimate the relative effects of housing and stock prices on US consumption over time. We use annual data from 1890 to 2012 and find that over different horizons and over time, generally the housing price positively affects consumption while the stock price negatively affects consumption. These opposite responses to changes in housing and stock prices suggest different mechanisms through which wealth affects consumption. Further, the housing price effect proves larger in absolute value than the stock price effect after 1980. Between 1980 and 2007, housing wealth generally exerted a larger effect on consumption. This sub-period includes the 1997/2002 asset price boom/bust where house prices continued to rise moderately as stock prices fell. Finally, the co-occurrence of the decline in both housing and stock prices during the 2007-2009 episode produced bigger effects of the housing price for the first five years of the impulse responses while the higher magnitude of the stock price effect appears in the 6-year horizon. These findings suggest that the magnitude of the relative price effects differs with both time and horizons and also depends on whether prices increase or decrease.

Prior research shows that companies repurchase stock during quarters with low returns, presumably because the stock is undervalued. We focus on repurchase increases and investigate another motive: Are repurchases increased to provide price support for a stock that, despite recent low returns, remains overvalued? Using an increase in short selling to indicate overvaluation, we regress quarterly changes in share repurchases on quarterly changes in short interest. Consistent with price support, the association is positive and statistically significant each year from 2003 to 2014. We find the price support quarter is followed by a sharp multi-quarter decline in ROA (return on assets), but the corresponding decline in EPS (earnings per share) is modest due to the reduction in outstanding shares. Abnormal returns after the price support quarter are positive, indicating that price support is effective. We also examine trading by insiders. While insiders generally sell when shorts sell, they hold onto shares during the price support quarter. This indicates insiders are confident they can maintain the current stock price.

This paper investigates empirically the association between wealth added for shareholders conglomerate and Stock Returns. This issue has been hotly debated in academic circles because a lot of growing a conglomerate that dominates the market of a country starts from a family company . The larger the family company that makes a conglomerate made the greater dominance of family and of course will affect the stock price. The conglomerate owners know that it's better to buy / make companies in the same industry / different yes bank to borrow money at high interest rates , they are more than happy to make or buy the target company has a long corporate profits is greater than the interest, the overall profit Appears on investment conglomerate grows . Also, the conglomerate has a better ability to borrow in the money markets or capital markets compared to smaller community banks in their company . Over the years this has been enough to make the company's stock price increases , because companies that are considered most often in the return on their investment . Alone conglomerators aggressive nature is enough to make - many investors , who see the power of " strong " and seems unstoppable in business , buy their stock . High stock price allows them to increase lending more , based on the value of their shares , and thus buy more companies.The present study will examine the influence of property and real estate conglomerate that some company listed on the Indonesia Stock Exchange and the other has not been registered thus adding to the stock returns for shareholder wealth. This study controls the effect of Number owned Subsidiary, the Second Generation in composition Senior Management, Performance Price Shares, Economic Value Added (EVA), Market Value Added (MVA) and Wealth Added for shareholders on stocks return.Year by year of regression analysis is used to get external validity of the result. The findings of this study agree with studies that Fernandez (2002), where the EVA does not properly measure Wealth Creation is seen that if the value of the EVA positive returns to negative shareholders. It is supported also by the increasing WAI will lower stock returns. This is because the additional wealth for shareholders reused by shareholders for investment in the development of existing businesses as subsidiaries expand through the acquisition of similar companies / other and or create a new company. Therefore, by enlarging its subsidiaries become an additional tool to increase shareholder wealth created. Number of subsidiaries owned by a conglomerate if more and more and bring the benefits will increase the stock price . This is based on the aggressive nature of the conglomerators Themselves was enough to make- many investors , who saw a "powerful " and seemingly unstoppable force in business , buy their stock . High stock prices allowed them to raise more loans , based on the value of their stock , and thereby buy even more companies

This paper extends the output growth model tested by Levine and Zervos (1998) by including a channel for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return variation is positively associated with output growth after controlling for variables in the Levine and Zervos’s (1998) model. We find that stock price informativeness acts as a substitute for stock market liquidity in predicting output growth. These results are consistent with the Roll’s (1988) claim: more information-laden stock prices signal efficient stock markets and, therefore, stronger output growth. We also find that firms in emerging economies covered by more analysts incorporate greater (lesser) systematic-wide (firm-specific) information which impede the role of stock price informativeness on facilitating output growth.

The dependence of stock prices on time is analyzed during major stock market crashes from the beginning of the 1929 Wall Street Crash to recent financial crises. A model of stock price dynamics is presented to describe the stock price decline during stock market crashes. It is shown from daily stock price data that stock price dynamics can be described by two processes. In the fist process, the selling-off decision by investors is driven by the negative available information and not from the negative stock performance information. During the first process, the daily stock price is inversely proportional to the length of the period of the stock price decline. For the second process, the sharp price decline is explained by the panic chain process of the crowd, whereby new information about the stock price decline causes an initiation of the new selling-off of the shares, resulting in an exponential stock price decay. The model explains stock market crashes and sharp stock price declines for Dow Jones (1929), Enron (2001), Lehman Brothers Inc. (2008), Wachovia (2008), Washington Mutual (2008), Citigroup Inc. (2008), AIG (2008).

We present a model for stock price and volume behavior during market panic conditions. The model incorporates a mechanism for the share exchange between buyers and sellers while taking into account their cash balances. We analytically show that during market crises, trading volume is inversely proportional to the square of the stock price. This result is empirically supported in price and volume data for major recent US stock bankruptcies, including Lehman Brothers Inc, Enron, Wachovia, Washington Mutual, and MF Global.

This paper extends the output growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 62 countries, this study finds that stock price informativeness as measured by firm-specific return variation positively contributes to output growth after controlling for variables in the Levine and Zervos (1998) model. This effect is particularly strong for high property rights protection environments and common law countries in emerging economies. We find that stock price informativeness acts as a substitute for stock market liquidity on predicting long-run output growth in emerging economies but not in more developed economies. These results are consistent with the Roll’s (1988) claim: more information-laden stock prices signal efficient stock markets and, therefore, stronger output growth.

Stock splits have been for a long time a puzzling phenomenon that can bear particular consequences for stock’s liquidity as well as for a stock price. I perform an analysis of stock splits accomplished between 2000 and May 2011 inclusive by companies listed on the New York Stock Exchange. I seek to identify whether the stock splits under consideration constitute any signal to existing and potential shareholders and whether the stock split can add value to shareholders’ wealth. I use three methods to analyze the impact of splits on subsequent price performance of 629 stocks listed on the New York Stock Exchange, i.e. mean adjusted return method, market model method and market adjusted return method. The data used contain daily rates of return and the event window encompasses the time period of [40;+40], i.e. the interval from the 40th stock exchange trading session preceding the stock split to the 40th session after the stock split, as well as the first session after the stock split. In the wake of the stock split the volatility of abnormal returns as measured with standard deviation declines under three methods employed by: 6.58%, 46.71%, and 48.24%, respectively. This fact is indicative of benefits derived from splitting the shares, e.g. stabilization of the share price and consequently a change in stock’s risk–return profile. In turn, it can alter market participants’ perception of a given stock. What is more, shareholders’ gains as measured with cumulative abnormal rates of return, all 1–percent significant, reached within the event window outperform pre-split benefits, i.e. achieved as a result of a buy–and–hold strategy within the time frame of [–40;–1] as well as those attained in the post–split era, i.e. in the interval [+1:+40], using the same strategy. Investors who pursued the first strategy averaged with the cumulative abnormal rates of returns for three methods used at the level of: 41.76%, 15.28%, and 39.77%, respectively. Therefore the stock split can be viewed as a value creation vehicle. On the other hand, these findings show that managers that expect an improvement in financial health of their companies decide to split the shares thus conveying information what, in turn, is congruent with the signaling hypothesis. Moreover, in the aftermath of the stock split one may observe a substantial increase in the stock price what underlines the fact that stock splits are in general good news.

Most of stock splits announcements in France display as primary objective to facilitate access to the securities for individual investors and to improve liquidity. The existence of standards or preferences from investors in terms of price level, and especially a preference for low priced stocks from retail investors, seems to be at the origin of this phenomenon. The main issues are: to know what incentive could push managers to lower the stock price in order to attract individual investors and who are the winners and the losers, if any, in this operation. In this paper, we investigate the in and outs of these operations and we develop a simple model of stock price level optimization. On the one hand, this enhanced liquidity seems to be desirable by institutional investors on their investment. On the other hand, the shareholding enlargement, to the benefit of individual investors, causes a decrease in the return rate required by the market. Finally, this decrease in the required return rate limits the effort providing and the risk taking for the manager. We illustrate this proposal by empirically studying French market reactions to stock splits/reverse splits announcements and realization dates, between January 2003 and December 2007.