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Equity Prices (equity + price)
Selected AbstractsStock Market Liberalization, Economic Reform, and Emerging Market Equity PricesTHE JOURNAL OF FINANCE, Issue 2 2000Peter Blair Henry A stock market liberalization is a decision by a country's government to allow foreigners to purchase shares in that country's stock market. On average, a country's aggregate equity price index experiences abnormal returns of 3.3 percent per month in real dollar terms during an eight-month window leading up to the implementation of its initial stock market liberalization. This result is consistent with the prediction of standard international asset pricing models that stock market liberalization may reduce the liberalizing country's cost of equity capital by allowing for risk sharing between domestic and foreign agents. [source] International Variation in Bank Accounting Information ContentJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 3 2008Ronald Zhao This study explores the cross-country impact of financial system and banking regulations on the information content of bank earnings and book value. Test results provide empirical evidence that financial system and banking regulations have a joint effect on the association of equity price with earnings and book value components in Germany, France, the United Kingdom and United States. This effect is explainable by the objective bank function, which shows that earnings of the period determine the terminal book value, thus consistent with the clean surplus accounting approach. Cross-country variation in bank accounting information content calls for caution in interpreting international bank financial and operating ratios. [source] Relative Value Relevance of R&D Reporting: An International ComparisonJOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, Issue 2 2002Ronald Zhao This study examines the relative value relevance of R&D reporting in France, Germany, the UK and the USA. France and the UK allow conditional capitalization of R&D costs, whereas Germany and the USA (except for the software industry) require the full and immediate expensing of all R&D costs. The relative value relevance of R&D reporting under different R&D accounting standards are compared while controlling for the reporting environment. Test results suggest that the level of R&D reporting has a significant effect on the association of equity price with accounting earnings and book value. The reporting of total R&D costs provides additional information to accounting earnings and book value in Germany and the USA (expensing countries), and the allocation of R&D costs between capitalization and expense further increases the value relevance of R&D reporting in France and the UK (capitalizing countries), including firms in the US software industry. [source] What if the UK or Sweden had joined the euro in 1999?INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, Issue 1 2007An empirical evaluation using a Global VAR Abstract This paper attempts to provide a conceptual framework for the analysis of counterfactual scenarios using macroeconometric models. As an application we consider UK entry to the euro. Entry involves a long-term commitment to restrict UK nominal exchange rates and interest rates to be the same as those of the euro area. We derive conditional probability distributions for the difference between the future realizations of variables of interest (e.g. UK and euro area output and prices) subject to UK entry restrictions being fully met over a given period and the alternative realizations without the restrictions. The robustness of the results can be evaluated by also conditioning on variables deemed to be invariant to UK entry, such as oil or US equity prices. Economic interdependence means that such policy evaluation must take account of international linkages and common factors that drive fluctuations across economies. In this paper this is accomplished using the Global VAR recently developed by Dees et al. (J. Appl. Econometrics, 2007, forthcoming). The paper briefly describes the GVAR which has been estimated for 25 countries and the euro area over the period 1979,2003. It reports probability estimates that output will be higher and prices lower in the UK and the euro area as a result of entry. It examines the sensitivity of these results to a variety of assumptions about when and how the UK entered and the observed global shocks and compares them with the effects of Swedish entry. Copyright © 2007 John Wiley & Sons, Ltd. [source] The Relationship Between Economic Factors and Equity Markets in Central EuropeTHE ECONOMICS OF TRANSITION, Issue 3 2000Jan Hanousek This paper investigates the possibility that newly-emerging equity markets in Central Europe exhibit semi-strong form efficiency such that no relationship exists between lagged values of changes in economic variables and changes in equity prices. We find that while there are connections between the real economy and equity market returns in Poland and Hungary, these links occur with lags, suggesting the possibility of profitable trading strategies based on public information and rejecting semi-strong efficiency. For the Czech Republic the situation is more complex. In recent periods, little connection exists between lagged economic variables and equity market returns. Although this finding might be viewed as consistent with semi-strong efficiency, in fact there is also little connection between current economic values and stock prices in the Czech Republic. Thus, instead of processing information efficiently, the Czech market appears to be entirely divorced from the real world. It is suggested that the difference in the current status of these markets may be due to the different methods by which they were created. [source] Risks for the Long Run: A Potential Resolution of Asset Pricing PuzzlesTHE JOURNAL OF FINANCE, Issue 4 2004Ravi Bansal ABSTRACT We model consumption and dividend growth rates as containing (1) a small long-run predictable component, and (2) fluctuating economic uncertainty (consumption volatility). These dynamics, for which we provide empirical support, in conjunction with Epstein and Zin's (1989) preferences, can explain key asset markets phenomena. In our economy, financial markets dislike economic uncertainty and better long-run growth prospects raise equity prices. The model can justify the equity premium, the risk-free rate, and the volatility of the market return, risk-free rate, and the price,dividend ratio. As in the data, dividend yields predict returns and the volatility of returns is time-varying. [source] Studies on Information Asymmetry, Price Manipulation and Investor Performances,ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, Issue 6 2008Jin Yoo Abstract In this paper, we examine optimal investment strategies of informed traders in an equity market, where well informed and not so well informed traders as well as noise traders coexist. Naturally, less informed traders follow more informed counterparts because of informational advantage. On the other hand, more informed investors can take advantage of less informed investors' trust by manipulating prices. Often, by inflating or deflating the equity prices, more informed traders make greater profits than less informed traders do. Over time, less informed traders become aware of the others' strategy, thereby a long-term equilibrium is to be attained, in which the more informed mixes his sincere and cheating strategy, and the less informed mixes his trust and distrust strategy. This model can be especially useful in understanding emerging markets, where foreign investors, local institutions, and local individuals are often characterized as more informed, less informed, and noise traders, respectively. [source] | ||||||||||