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Author: Allaudeen Hameed Publisher: ISBN: Category : Languages : en Pages :
Book Description
In this paper I show that the lead-lag pattern between large and small market value portfolio returns is consistent with differential variations in their expected return components. I find that the larger predictability of returns on the portfolio of small stocks may be due to a higher exposure of these firms to persistent (time-varying) latent factors. Additional evidence suggest that the asymmetric predictability cannot be fully explained by lagged price adjustments to common factor shocks: (i) lagged returns on large stocks do not have strong causal effect on returns on small stocks; (ii) trading volume is positively related to own and cross-autocorrelations in weekly portfolio returns; and (iii) significant cross- autocorrelation exists between current returns on large stocks and lagged returns on small stocks when trading volume is high.
Author: Allaudeen Hameed Publisher: ISBN: Category : Languages : en Pages :
Book Description
In this paper I show that the lead-lag pattern between large and small market value portfolio returns is consistent with differential variations in their expected return components. I find that the larger predictability of returns on the portfolio of small stocks may be due to a higher exposure of these firms to persistent (time-varying) latent factors. Additional evidence suggest that the asymmetric predictability cannot be fully explained by lagged price adjustments to common factor shocks: (i) lagged returns on large stocks do not have strong causal effect on returns on small stocks; (ii) trading volume is positively related to own and cross-autocorrelations in weekly portfolio returns; and (iii) significant cross- autocorrelation exists between current returns on large stocks and lagged returns on small stocks when trading volume is high.
Author: Tarun Chordia Publisher: ISBN: Category : Languages : en Pages : 32
Book Description
This paper finds that trading volume is a significant determinant of the lead-lag patterns observed in stock returns. Daily and weekly returns on high volume portfolios lead returns on low volume portfolios, controlling for firm size. Nonsynchronous trading or low volume portfolio autocorrelations cannot explain these findings. These patterns arise because returns on low volume portfolios respond more slowly to information in market returns. The speed of adjustment of individual stocks confirms these findings. Overall, the results indicate that differential speed of adjustment to information is a significant source of the cross-autocorrelation patterns in short-horizon stock returns.
Author: Jacob Boudoukh Publisher: ISBN: Category : Languages : en Pages :
Book Description
This paper reexamines the autocorrelation patterns of short- horizon stock returns. We document empirical results which imply that these autocorrelations have been overstated in the existing literature. Based on several new insights, we provide support for a market efficiency-based explanation of the evidence. Our analysis suggests institutional factors are the most likely source of the autocorrelation patterns.
Author: Jonathan Batten Publisher: Emerald Group Publishing ISBN: 0857247549 Category : Business & Economics Languages : en Pages : 745
Book Description
The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.
Author: Raj S. Dhankar Publisher: Springer Nature ISBN: 8132239504 Category : Business & Economics Languages : en Pages : 323
Book Description
This book covers all aspects of modern finance relating to portfolio theory and risk–return relationship, offering a comprehensive guide to the importance, measurement and application of the risk–return hypothesis in portfolio management. It is divided into five parts: Part I discusses the valuation of capital assets and presents various techniques and models used in this context. Part II then addresses market efficiency and capital market models, particularly focusing on measuring market efficiency, which is a crucial factor in making correct investment decisions. It also analyzes the major capital market models like CAPM and APT to determine to what extent they are suitable for use in developing economies. Part III highlights the significance of risk–return analysis as a prerequisite for investment decisions, while Part IV examines the selection and performance appraisals of portfolios against the backdrop of the risk–return relationship. It also examines new tools such as the value-at-risk application for mutual funds and the applications of the price-to-earnings ratio in portfolio performance measurement. Lastly, Part V explores contemporary issues in finance, including the relevance of Islamic finance in the increasingly volatile global financial system.
Author: Allaudeen Hameed Publisher: ISBN: Category : Languages : en Pages : 41
Book Description
In this paper, we show that changes in market conditions significantly affect cross-autocorrelations in short-horizon stock returns in Japan. We find strong (weak) cross-autocorrelations between returns on small firms and lagged returns on large firms following periods of aggregate market losses (gains). This asymmetric effect of lagged market state on cross-autocorrelations cannot be explained by market micro-structure biases such as non-synchronous trading and thin trading. Further analyses suggest that lack of aggregate trading activity following periods of market decline contribute to the delays in registering negative market-wide information in stock prices, particularly for small stocks.
Author: Professor Andrew W Lo Publisher: Franklin Classics ISBN: 9780343310998 Category : Languages : en Pages : 52
Book Description
This work has been selected by scholars as being culturally important and is part of the knowledge base of civilization as we know it. This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. To ensure a quality reading experience, this work has been proofread and republished using a format that seamlessly blends the original graphical elements with text in an easy-to-read typeface. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
Author: Patrick Scheurle Publisher: Springer Science & Business Media ISBN: 3834987298 Category : Business & Economics Languages : en Pages : 185
Book Description
Patrick Scheurle investigates refined market segments such as small value stocks or large growth stocks with respect to return predictability. The empirical research reveals significant positive first-order serial correlation in the returns of large value stocks, large neutral stocks, small neutral stocks, and small growth stocks.
Author: Allaudeen Hameed
Author: Allaudeen Hameed
Author: Tarun Chordia
Author: Jacob Boudoukh
Author: Jonathan Batten
Author: Raj S. Dhankar
Author: 
Author: Allaudeen Hameed
Author: Professor Andrew W Lo
Author: Patrick Scheurle
Author: