Weather, Stock Returns, and the Impact of Localized Trading PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Weather, Stock Returns, and the Impact of Localized Trading PDF full book. Access full book title Weather, Stock Returns, and the Impact of Localized Trading by Tim Loughran. Download full books in PDF and EPUB format.
Author: Tim Loughran Publisher: ISBN: Category : Languages : en Pages :
Book Description
We document by several methods that trading in Nasdaq stocks islocalized. The first evidence of localized trading is that the time zone of a company's headquarters affects intraday trading patterns in its stock. Stocks of west coast firms have lower volume early in the trading day than east coast companies and do not exhibit the steep decline in volume documented for the east coast lunch hour. Second, firms in blizzard-struck cities see a dramatic trading volume drop compared to firms in other cities. On average, about 1/3 of a normal day's trading volume is lost when a blizzard strikes. Third, trading volume drops for stocks in general during Yom Kippur, but the effect is particularly strong for cities with large Jewish populations. The finding that trading in Nasdaq stocks is geographically concentrated allows us to construct powerful alternative tests of other researchers' finding that stock returns are lower on cloudy days. We construct portfolios of Nasdaq stocks based in 25 cities. We are unable to find any evidence that cloud cover in the city of a company's headquarters affects its stock returns.
Author: Tim Loughran Publisher: ISBN: Category : Languages : en Pages :
Book Description
We document by several methods that trading in Nasdaq stocks islocalized. The first evidence of localized trading is that the time zone of a company's headquarters affects intraday trading patterns in its stock. Stocks of west coast firms have lower volume early in the trading day than east coast companies and do not exhibit the steep decline in volume documented for the east coast lunch hour. Second, firms in blizzard-struck cities see a dramatic trading volume drop compared to firms in other cities. On average, about 1/3 of a normal day's trading volume is lost when a blizzard strikes. Third, trading volume drops for stocks in general during Yom Kippur, but the effect is particularly strong for cities with large Jewish populations. The finding that trading in Nasdaq stocks is geographically concentrated allows us to construct powerful alternative tests of other researchers' finding that stock returns are lower on cloudy days. We construct portfolios of Nasdaq stocks based in 25 cities. We are unable to find any evidence that cloud cover in the city of a company's headquarters affects its stock returns.
Author: Irina Prodan Publisher: Anchor Academic Publishing (aap_verlag) ISBN: 3954895560 Category : Political Science Languages : en Pages : 54
Book Description
One renowned and frequently researched anomaly over the last two decades is the weather effect, more precisely, the impact of weather on stock market returns. The extensive literature on the weather effect fails to converge towards a unique, systematic and robust relationship between the weather, and the stock market. Therefore, the aim of this paper is to explain the contradictory results in the literature by testing whether stock prices are affected by the weather in a significantly different manner depending on the level of market development, and explaining how this difference behaves over time. In order to test for this, city-by-city, pooled and binary regressions are employed using data of 10 developed, and 10 emerging countries over the period 1996-2011 by using two different means of seasonal adjustment.
Author: William N. Goetzmann Publisher: ISBN: Category : Languages : en Pages : 56
Book Description
This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. Using survey and disaggregated trade data, we show that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones Industrial Index, and increase selling propensities of institutions. We introduce stock-level measures of investor mood; investor pessimism negatively impacts stock returns, mostly amongst stocks with higher arbitrage costs, and stocks experiencing similar changes in weather-induced mood exhibit return comovement. These findings complement existing studies on how weather impacts stock index returns, and identify another channel through which it can manifest.
Author: Leonard Zacks Publisher: John Wiley & Sons ISBN: 0470905905 Category : Business & Economics Languages : en Pages : 352
Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Author: W. T. Ziemba Publisher: World Scientific ISBN: 9814405450 Category : Business & Economics Languages : en Pages : 607
Book Description
This book discusses calendar or seasonal anomalies in worldwide equity markets as well as arbitrage and risk' arbitrage. A complete update of US anomalies such as the January turn-of-the year, turn-of-the-month. January barometer, sell in May and go away, holidays, days of the week, options expiry and other effects is given concentrating in the futures markets where these anomalies can be easily applied. Other effects that lend themselves to modified buy and hold cash strategies include some of these as well as presidential election, factor models based on fundamental anomalies and other effects. The ideas have been used successfully by the author in personal and managed accounts and hedge funds. Book jacket.
Author: Gordon L. Clark Publisher: Oxford University Press ISBN: 0199557438 Category : Business & Economics Languages : en Pages : 350
Book Description
Recent market turmoil, bank runs, global equities sell-off, and the 'credit crunch' have demonstrated the sophisticated and interconnected nature of financial markets today - seemingly localized problems have quickly spread, putting at risk the solvency of both local and global financial institutions. As these markets are increasingly complex, interconnected, and embedded in the daily lives of individuals, there is a pressing need to unravel and understand the complexities andprospects of this new and transformative social, political, and geographical paradigm.This book brings together a group of leading scholars from a range of disciplines to formulate a more holistic understanding of financial risk by rooting it in different environments, spatial scales, and disciplines. The result is an all-encompassing exposition of current and future financial risk management practices, possibilities, and problems.
Author: Les Coleman Publisher: Springer ISBN: 3319439766 Category : Business & Economics Languages : en Pages : 260
Book Description
Institutions now dominate trading in equities around the world. Mutual funds are the most prominent, and doubly important as custodians of retirement savings. Despite this, there is no comprehensive description of fund manager behaviour, much less a matching theory. This is troubling because one of the most economically significant puzzles in finance is why experienced, well-resourced fund managers cannot outperform the market. Applied Investment Theory: How Equity Markets Behave, and Why brings together academic research, empirical evidence and real market experience to provide new insights into equity markets and their behaviours. The book draws upon the author’s rich industry experience and academic research, plus over 40 interviews with fund managers on three continents and across different markets. The result is an innovative model that explains the puzzle of poor performance by mutual funds in terms of structural features of markets, the managed investment industry, and the conduct of fund managers. This book provides a fully integrated depiction of what markets and investors do, and why – insights that will resonate with the needs of investors, wealth managers and industry regulators. It is fully documented, but free of jargon and arcane math, and provides a grounded theory that is relevant to anyone who wants to pierce the opacity of mutual fund operations. Applied Investment Theory sets out a new paradigm in investment that is at the forefront of what should be an industrial-scale development of new finance theory following two decades of almost back-to-back financial crises.
Author: Lawrence J. Oxley Publisher: Wiley ISBN: 9781118147214 Category : Business & Economics Languages : en Pages : 210
Book Description
The positive effects of climate change on the market Record-setting snowfall, cyclones in Australia, chronic drought in Russia, and other dramatic weather events are getting increased attention from scientists and the general public. The effects of climate change present challenges to many sectors, but also present major investing opportunities in the stock, bond, and futures markets. Extreme Weather and The Financial Markets looks at climate change from an investor's standpoint. The climate change debate is somewhat irrelevant to those in the financial industry, since we already live with more than enough extreme climate events to impact the financial markets. To the extent that environmental scientists are correct and global climate change is real and getting worse, the more investment opportunities we have The book presents investment ideas that will work under today's global climate condition and will become even more lucrative if global climate change continues Written by Larry Oxley, an acclaimed author who has personally outperformed the index in the Basic Materials sectors (i.e. chemicals, metals, mining, and forest products) for each of the last five years—in both good and bad markets and throughout the global recession—in a portfolio of nearly $2 billion Focusing on the investment opportunities during dramatic weather events, Extreme Weather and The Financial Markets offers advice on how to capitalize on global climate change.
Author: Roy E. Bailey Publisher: Cambridge University Press ISBN: 1139444891 Category : Business & Economics Languages : en Pages : 506
Book Description
The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief overview of financial markets - their microstructure and the randomness of stock market prices - this textbook explores how the economics of uncertainty can be applied to financial decision-making. The mean-variance model of portfolio selection is discussed, with analysis extended to the capital asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an assessment of theories of the term structure of interest rates. Finally, financial derivatives are explored, focusing on futures and options contracts.
Author: Tim Loughran
Author: Tim Loughran
Author: Irina Prodan
Author: William N. Goetzmann
Author: Leonard Zacks
Author: 
Author: W. T. Ziemba
Author: Gordon L. Clark
Author: Les Coleman
Author: Lawrence J. Oxley
Author: Roy E. Bailey