Search

A study was conducted to analyze the factors that influence changes in the inverse of the P/E ratio (EP/) over time in broad market. Results indicate a large portion of the variation in E/P and accurately predict the future direction of E/P.

This study investigates herding behaviour of investors in Thailand under different market conditions, crisis periods, and major market structural changes. The results show that herding behaviour occurs during an extreme market movement of negative or positive returns, in the declining market environment, on days with high trading volume, and during economic downturn as measured by negative GDP output gap. The structural break point analysis and rolling regression technique further shows that herding behaviour gathered heavily around 1997 Asian crisis. The establishments of internet trading platform, bond electronic trading exchange, and future electronic exchanges in Thailand do not make investors herd. [ABSTRACT FROM AUTHOR]

Online Peer-to-Peer (P2P) lending has emerged recently. This micro loan market could offer certain benefits to both borrowers and lenders. Using data from the Lending Club, which is one of the popular online P2P lending houses, this article explores the P2P loan characteristics, evaluates their credit risk and measures loan performances. We find that credit grade, debt-to-income ratio, FICO score and revolving line utilization play an important role in loan defaults. Loans with lower credit grade and longer duration are associated with high mortality rate. The result is consistent with the Cox Proportional Hazard test which suggests that the hazard rate or the likelihood of the loan default increases with the credit risk of the borrowers. Finally, we find that higher interest rates charged on the high-risk borrowers are not enough to compensate for higher probability of the loan default. The Lending Club must find ways to attract high FICO score and high-income borrowers in order to sustain their businesses. [ABSTRACT FROM PUBLISHER]

This paper tests the efficiency of the market for Real Estate Investment Trusts (REITs) from 1972 to the present. The data is segmented chronologically to take into account the effect of the Tax Reform Act of 1986 and the effect of the explosive growth in market capitalization that began in the early 1990s. The findings indicate that efficiency increases over time for Equity REITs and the Russell 2000 Index of small capitalization stocks. Some predictability, but not necessarily inefficiency, persists for Mortgage REITs and Hybrid REITs. [ABSTRACT FROM AUTHOR]