Stock Returns (stock + return)

Distribution by Scientific Domains
Distribution within Business, Economics, Finance and Accounting

Kinds of Stock Returns

  • excess stock return
  • expected stock return
  • future stock return
  • uk stock return

  • Terms modified by Stock Returns

  • stock return volatility

  • Selected Abstracts


    STOCK RETURNS, ASYMMETRIC VOLATILITY, RISK AVERSION, AND BUSINESS CYCLE: SOME NEW EVIDENCE

    ECONOMIC INQUIRY, Issue 2 2008
    SEI-WAN KIM
    We study how three interrelated phenomena,excess stock returns and risk relation, risk aversion, and asymmetric volatility movement,change over business cycles. Using an asymmetric generalized autoregressive conditional heteroskedasticity in mean model and a Markov switching model, we find that excess stock return increases and asymmetric volatility movement is weakened during boom periods. This suggests that investors become more risk-averse during boom periods (i.e., procyclical risk aversion), which we confirm using a calibration of a simple equilibrium model. (JEL C32, E32, G12) [source]


    DO STOCK RETURNS VARY WITH CAMPAIGN CONTRIBUTIONS?

    ECONOMICS & POLITICS, Issue 3 2010
    BUSH VS.
    I examine the relation between campaign contributions and stock returns during the Florida recount period of the 2000 presidential elections. Using the full population of publicly traded firms, I find an economically significant positive (negative) relation between pre-election campaign contributions to Bush (Gore) and stock returns during the 37-day election recount period. This relation exists for both the level and partisanship of contributions, and exists incrementally at both the firm and industry levels. These relations are robust to several different specifications, including alternative event windows that exclude the potentially confounding House/Senate races. The firm-level analysis is consistent with contributions being influence-motivated. [source]


    TRADING-VOLUME SHOCKS AND STOCK RETURNS: AN EMPIRICAL ANALYSIS

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 2 2010
    Zhaodan Huang
    Abstract We examine high-volume premiums based on weekly risk-adjusted returns. Significant average weekly abnormal high-volume premiums up to 0.50% per week are documented for 1962,2005. Most premiums are generated in the first two weeks and monotonically decline as holding periods are extended. Evidence of reversal is found as the holding periods are extended. Premiums depend on realized turnover in the holding period. The last finding supports the theories of Miller and Merton. Finally, we test whether premiums are compensation for taking additional risk. Negative skewness, idiosyncratic risk, and liquidity risk do not explain the high-volume premiums. [source]


    MONETARY POLICY INDICATORS AS PREDICTORS OF STOCK RETURNS

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 4 2008
    David A. Becher
    Abstract We explore the linkage between stock return predictability and the monetary sector by examining alternative proxies for monetary policy. Using two complementary methods, we document that failure to condition on the Fed's broad policy stance causes a substantial understatement in the ability of monetary policy measures to predict returns. Industry analyses suggest that cross-industry return differences are also linked to changes in monetary conditions, as monetary policy has the strongest (weakest) relation with returns for cyclical (defensive) industries. Overall, we find that monetary conditions have a prominent and systematic relation with future stock returns, even in the presence of business conditions. [source]


    INTANGIBLE ASSETS, BOOK-TO-MARKET, AND COMMON STOCK RETURNS

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 1 2006
    James M. Nelson
    Abstract I examine two anomalies where the Fama and French three-factor model fails to adequately explain monthly industry and index returns. Both anomalies are consistent with a bad model problem where the book-to-market factor introduces a negative bias in the intercepts. I propose the intangibles model as an alternative where the three-factor model is known to have difficulty. This alternative model, which replaces the book-to-market factor with zero investment portfolio returns based on prior investments in intangible assets, is well specified in random samples, has comparable power, and fully explains both anomalies. [source]


    Further Evidence on the Relation between Analysts' Forecast Dispersion and Stock Returns,

    CONTEMPORARY ACCOUNTING RESEARCH, Issue 2 2009
    Orie E. Barron
    First page of article [source]


    Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds

    ECONOMIC NOTES, Issue 1 2005
    Niklas Wagner
    We investigate daily variations in credit spreads on investment-grade Deutschemark-denominated Eurobonds during the challenging 1994,1998 period. Empirical results from a Longstaff and Schwartz (1995) two-factor regression, extended for correlated spread changes and heteroskedasticity, indicate strong persistence in spread changes. Consistent with theory and previous findings, changes in spreads are significantly negatively related to the term-structure level while, contrary to theory, the proxy for asset value does not yield a significant negative contribution. We even find a significant positive relation for Eurobonds with long maturity. Tentative interpretations are portfolio-rebalancing activities or differing risk factor sensitivities on short- vs. long-maturity bonds. [source]


    Survey Data and the Interest Rate Sensitivity of US Bank Stock Returns

    ECONOMIC NOTES, Issue 2 2000
    H. A. Benink
    In this paper, we provide empirical evidence on the interest rate sensitivity of the stock returns of the twenty largest US bank holding companies. The main contribution of the paper is the use of survey data to model the unexpected interest rate variable, which is an alternative approach to the existing literature. We find evidence of significant negative interest rate sensitivity during the early 1980s, and evidence of declining significance in the late 1980s and early 1990s. This result is also obtained when using the forecast errors of ARIMA processes to model the unexpected movement in the interest rate. [source]


    Arbitrage and the Evaluation of Linear Factor Models in UK Stock Returns

    FINANCIAL REVIEW, Issue 2 2010
    Jonathan Fletcher
    G12 Abstract I examine the impact of the no arbitrage restriction on the estimation and evaluation of linear factor models in UK stock returns. The no arbitrage restriction reduces volatility and eliminates most of the negative values of the fitted stochastic discount factor models. All of the factor models are rejected and there are significant differences in the pricing performance between models under the no arbitrage restriction. The no arbitrage restriction can have a significant impact on both the parameter estimates and pricing errors for some models. [source]


    Macroeconomic News and Stock Returns in the United States and Germany

    GERMAN ECONOMIC REVIEW, Issue 2 2006
    Norbert Funke
    Stock markets; macroeconomic news Abstract. Using daily data for the January 1997 to June 2002 period, we analyze similarities and differences in the impact of macroeconomic news on stock returns in the United States and Germany. We consider 27 different types of news for the United States and 12 different types of news for Germany. For the United States, we present evidence for asymmetric reactions of stock prices to news. In a boom (recession) period, bad (good) news on GDP growth and unemployment or lower (higher) than expected interest rates may be good news for stock prices. In the period under consideration there is little evidence for asymmetric effects in Germany. However, in the case of Germany, international news appears at least as important as domestic news. There is no evidence that US stock prices are influenced by German news. The analysis of bi-hourly data for Germany confirms these results. [source]


    Effect of Investor Category Trading Imbalances on Stock Returns,

    INTERNATIONAL REVIEW OF FINANCE, Issue 3-4 2008
    DAVID COLWELL
    ABSTRACT Trading is the mechanism of the economist's ,invisible hand,' the means by which price discovery occurs. We use daily shareholdings data from the Australian equities clearinghouse to investigate the impact of the trading imbalances of investor categories on stock returns. Our evidence does not contradict the behavioral finance assumption that the trading of individual investors contributes to price discovery. Furthermore, we find that, while the trading of all investor categories Granger-causes returns, returns Granger-cause trading only for the individual investor category. That is, in the short term of up to 1 month, only individual investors engage in feedback trading. [source]


    Confirming Management Earnings Forecasts, Earnings Uncertainty, and Stock Returns

    JOURNAL OF ACCOUNTING RESEARCH, Issue 4 2003
    Michael Clement
    In this study we examine the association among confirming management forecasts, stock prices, and analyst expectations. Confirming management forecasts are voluntary disclosures by management that corroborate existing market expectations about future earnings. This study provides evidence that these voluntary disclosures affect stock prices and the dispersion of analyst expectations. Specifically, we find that the market's reaction to confirming forecasts is significantly positive, indicating that benefits accrue to firms that disclose such forecasts. In addition, although we find no significant change in the mean consensus forecasts (a proxy for earnings expectations) around the confirming forecast date, evidence indicates a significant reduction in the mean and median consensus analyst dispersion (a proxy for earnings uncertainty). Finally, we document a positive association between the reduction of dispersion of analysts' forecasts and the magnitude of the stock market response. Overall, the evidence suggests that confirming forecasts reduce uncertainty about future earnings and that investors price this reduction of uncertainty. [source]


    Earnings Surprise "Materiality" as Measured by Stock Returns

    JOURNAL OF ACCOUNTING RESEARCH, Issue 5 2002
    William Kinney
    Ranked earnings surprise portfolios formed from First Call files for 1992,97 are used to assess the annual earnings surprise magnitude for an individual firm sufficient to expect a "significant market reaction." We find that, for an individual firm, the maximum probability of a gain from trading on prior knowledge of any surprise magnitude is .622. The lack of probable trading gains is due to the S,shaped surprise/return relation and the large variance of returns for a given magnitude of surprise. In turn, we find that the S,shape is related empirically to the dispersion of analyst forecasts. Thus, factors underlying dispersion differences are related to the importance or "materiality" of earnings surprise as measured by stock returns and explain at least part of the S,shaped surprise/return relation. [source]


    Causes and Consequences of the Relation Between Split-Adjusted Share Prices and Subsequent Stock Returns

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 1-2 2007
    William D. Brown Jr
    Abstract:, In this manuscript, we document and explain an empirical artifact , a persistent and substantial negative relation between split-adjusted share prices and subsequent stock returns , that has potentially important ramifications for capital markets research design. This relation pervades all commonly-used commercial databases and is insensitive to the choice of database used for either prices or returns. We investigate four potential causes of the empirical regularity: survivorship bias, asymmetric returns to low-priced stocks, extreme returns, and the effects of stock-split adjustments on portfolio classifications. We find that survivorship bias accounts for approximately half of the returns documented to a share-price-based hedge strategy and that re-classifications caused by stock split adjustments account for substantially all of the remaining returns. We do not find that controlling for either low-priced stocks or extreme returns is effective in purging the data of the empirical price artifact. These findings and our explanations thereof are important, as they show that there are potentially troublesome consequences of using share price as a deflator in markets-based research. In particular, we note and illustrate cause for concern when interpreting associations between share-price-scaled variables and subsequent returns as evidence of market inefficiency. [source]


    Human Capital and Stock Returns: Is the Value Premium an Approximation for Return on Human Capital?

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 3-4 2004
    Article first published online: 28 MAY 200, Bo Hansson
    This study, using a direct measure of the wage growth rate within firms, examines the value premium in relation to human capital. The results suggest that the dispersion in wage growth in value and growth stocks explains a large portion of the differences in stock returns. It appears that value stocks are less exposed to shocks in rents to human capital. Differences in labor force characteristics among value and growth stocks also proved to be an important factor in determining both the impact of future changes in labor income growth rate and firm value. The present findings are understood to mean that the ability of investors to forecast the dispersion in wage growth in firms is limited. [source]


    Discussion of The Relation Between Incremental Subsidiary Earnings and Future Stock Returns in Japan

    JOURNAL OF BUSINESS FINANCE & ACCOUNTING, Issue 9-10 2001
    Peter F. PopeArticle first published online: 3 MAR 200
    First page of article [source]


    Does Monetary Policy Have Asymmetric Effects on Stock Returns?

    JOURNAL OF MONEY, CREDIT AND BANKING, Issue 2-3 2007
    SHIU-SHENG CHEN
    monetary policy; stock returns; Markov-switching This paper investigates whether monetary policy has asymmetric effects on stock returns using Markov-switching models. Different measures of a monetary policy stance are adopted. Empirical evidence from monthly returns on the Standard & Poor's 500 price index suggests that monetary policy has larger effects on stock returns in bear markets. Furthermore, it is shown that a contractionary monetary policy leads to a higher probability of switching to the bear-market regime. [source]


    Australian Banking Efficiency and Its Relation to Stock Returns

    THE ECONOMIC RECORD, Issue 258 2006
    JOSHUA KIRKWOOD
    We used Data Envelopment Analysis to evaluate cost efficiency of Australian banks in producing banking services and profit between 1995 and 2002. Empirical results indicate the major banks have improved their efficiency in producing banking services and profit, while the regional banks have experienced little change in the efficiency of producing banking services, and a decline in the efficiency of producing profit. An attempt is made to relate the changes in efficiency to stock returns. Results indicate that for our sample, changes in firm efficiency are reflected in stock returns. [source]


    Corporate Political Contributions and Stock Returns

    THE JOURNAL OF FINANCE, Issue 2 2010
    MICHAEL J. COOPER
    ABSTRACT We develop a new and comprehensive database of firm-level contributions to U.S. political campaigns from 1979 to 2004. We construct variables that measure the extent of firm support for candidates. We find that these measures are positively and significantly correlated with the cross-section of future returns. The effect is strongest for firms that support a greater number of candidates that hold office in the same state that the firm is based. In addition, there are stronger effects for firms whose contributions are slanted toward House candidates and Democrats. [source]


    Financial Constraints, Debt Capacity, and the Cross-section of Stock Returns

    THE JOURNAL OF FINANCE, Issue 2 2009
    JAEHOON HAHN
    ABSTRACT Building on a model of corporate investment under collateral constraints, we develop and test a hypothesis on the differential effect of debt capacity on stock returns across financially constrained and unconstrained firms. Consistent with the hypothesis, we find that debt capacity is a significant determinant of stock returns only in the cross-section of financially constrained firms, after controlling for beta, size, book-to-market, leverage, and momentum. The findings suggest that cross-sectional differences in corporate investment behavior arising from financial constraints, predicted by theories of imperfect capital markets and supported by empirical evidence, are reflected in the stock returns of manufacturing firms. [source]


    Cash Flow, Consumption Risk, and the Cross-section of Stock Returns

    THE JOURNAL OF FINANCE, Issue 2 2009
    ZHI DA
    ABSTRACT I link an asset's risk premium to two characteristics of its underlying cash flow: covariance and duration. Using empirically novel estimates of both cash flow characteristics based exclusively on accounting earnings and aggregate consumption data, I examine their dynamic interaction in a two-factor cash flow model and find that they are able to explain up to 82% of the cross-sectional variation in the average returns on size, book-to-market, and long-term reversal-sorted portfolios for the period 1964 to 2002. This finding highlights the importance of fundamental cash flow characteristics in determining the risk exposure of an asset. [source]


    Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk

    THE JOURNAL OF FINANCE, Issue 6 2008
    TOBIAS ADRIAN
    ABSTRACT We explore the cross-sectional pricing of volatility risk by decomposing equity market volatility into short- and long-run components. Our finding that prices of risk are negative and significant for both volatility components implies that investors pay for insurance against increases in volatility, even if those increases have little persistence. The short-run component captures market skewness risk, which we interpret as a measure of the tightness of financial constraints. The long-run component relates to business cycle risk. Furthermore, a three-factor pricing model with the market return and the two volatility components compares favorably to benchmark models. [source]


    Industry Concentration and Average Stock Returns

    THE JOURNAL OF FINANCE, Issue 4 2006
    KEWEI HOU
    ABSTRACT Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error, capital structure, and persistent in-sample cash flow shocks do not explain this finding. Drawing on work in industrial organization, we posit that either barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk, or firms in highly concentrated industries are less risky because they engage in less innovation, and thereby command lower expected returns. Additional time-series tests support these risk-based interpretations. [source]


    Does Corporate Headquarters Location Matter for Stock Returns?

    THE JOURNAL OF FINANCE, Issue 4 2006
    CHRISTO PIRINSKY
    ABSTRACT We document strong comovement in the stock returns of firms headquartered in the same geographic area. Moreover, stocks of companies that change their headquarters location experience a decrease in their comovement with stocks from the old location and an increase in their comovement with stocks from the new location. The local comovement of stock returns is not explained by economic fundamentals and is stronger for smaller firms with more individual investors and in regions with less financially sophisticated residents. We argue that price formation in equity markets has a significant geographic component linked to the trading patterns of local residents. [source]


    Consumption, Aggregate Wealth, and Expected Stock Returns

    THE JOURNAL OF FINANCE, Issue 3 2001
    Martin Lettau
    This paper studies the role of fluctuations in the aggregate consumption,wealth ratio for predicting stock returns. Using U.S. quarterly stock market data, we find that these fluctuations in the consumption,wealth ratio are strong predictors of both real stock returns and excess returns over a Treasury bill rate. We also find that this variable is a better forecaster of future returns at short and intermediate horizons than is the dividend yield, the dividend payout ratio, and several other popular forecasting variables. Why should the consumption,wealth ratio forecast asset returns? We show that a wide class of optimal models of consumer behavior imply that the log consumption,aggregate wealth (human capital plus asset holdings) ratio summarizes expected returns on aggregate wealth, or the market portfolio. Although this ratio is not observable, we provide assumptions under which its important predictive components for future asset returns may be xpressed in terms of observable variables, namely in terms of consumption, asset holdings and labor income. The framework implies that these variables are cointegrated, and that deviations from this shared trend summarize agents' expectations of future returns on the market portfolio. [source]


    Stock Returns and Operating Performance of Securities Issuers

    THE JOURNAL OF FINANCIAL RESEARCH, Issue 3 2002
    Gil S. Bae
    Abstract We examine long-run stock returns and operating performance around firms' offerings of common stock, convertible debt, and straight debt from 1985 to 1990. We find that pre-issue abnormal returns are positive and significant for stock issuers, but not for convertible and straight debt issuers. The post-issue mean returns show that common stock and convertible debt issuers experience underperformance during the post-issue periods, but straight debt issuers do not. Consistent with these results, common stock issuers experience the best pre-issue operating performance among all three types of issuers, and operating performance declines during the post-issue periods for common stock and convertible debt issuers. Using a new approach in linear model estimations to correct heteroskedasticity and to adjust for finite sample, we find a positive relation between post-issue operating performance and issue-period stock price reactions. The results suggest that future operating performance is anticipated at the issue and that securities issues provide information on issuers' future performance. [source]


    Recursive Modeling of Nonlinear Dynamics in UK Stock Returns

    THE MANCHESTER SCHOOL, Issue 4 2003
    Massimo Guidolin
    This paper presents results from recursive modeling of nonlinear dynamics in UK stock returns. A specification search suggests a two-state model and we demonstrate the ability of this model to capture time-varying volatility, skew and kurtosis in UK stock returns. An out-of-sample forecasting experiment confirms the strong statistical evidence of nonlinearity and shows that accounting for regimes leads to improved forecasting performance. [source]


    Stock Returns and Inflation

    AUSTRALIAN ECONOMIC PAPERS, Issue 2 2001
    Mark Crosby
    In this paper the relationship between inflation and stock returns in Australia is examined. It is found that increases in the price level reduce the real level of the stock price index. However, it is also found that the question of whether persistent increases in inflation affect real returns cannot be addressed using the Australian data. [source]


    Stock Price Reactions to the Repricing of Employee Stock Options,

    CONTEMPORARY ACCOUNTING RESEARCH, Issue 4 2005
    Barbara M. Grein
    Abstract We study whether the repricing of employee stock options is in the best interests of common shareholders by examining the excess stock returns associated with timely, noncontamin-ated repricing announcements made by Canadian firms. On the basis of three theories of why firms reprice, we develop competing predictions about the mean announcement-date excess stock return and the cross-sectional relations among excess stock returns, the estimated probability of repricing, and proxies for predictions from each theory. For a sample of 72 noncontaminated repricing announcements made by Canadian firms between November 1994 and July 2001, we find a reliably positive three-day announcement-date mean excess return of 4.9 percent. The results of our cross-sectional analyses suggest that the market responds favorably to repricings because they assist in retaining key employees even though, at the margin, they enable managers to extract rents from shareholders. We do not find sufficient statistically significant evidence to reliably conclude that repricings are done to realign employee incentives. [source]


    Information technology and its impact on stock returns and trading volume

    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 3 2010
    Uri Benzion
    Abstract This study investigates the impact of information technology on common stock returns and trading volume. By focusing mainly on the peak period of the hi-tech phenomenon, the findings imply that the market response to website launching is positive. During the event day and the two preceding days, the abnormal stock return and the abnormal trading volume both are positive and statistically significant. In particular, the impact is stronger for non-US firms than for domestic companies, for initial rather than subsequent site launches, for those sites that are launched on Monday rather than on other days of the week, and for innovative industries such as electronics and computers. As expected, while the launch of a website had a stronger effect at the beginning of the hi-tech phenomenon, the impact has diminished in later years. Copyright 2009 John Wiley & Sons, Ltd. [source]