Option prices as predictors of stock prices: intraday adjustments to information releases

The purpose of this study is to analyse the evolution of payment behaviours by emphasizing the role of the regulation and the financial opening. We test whether the convergence process of payment technologies and regulations is propagated from upstream to downstream through the channel of standardized products, leading to the convergence of the demand for payment services. A test of conditional beta-convergence, relating to the use of five payment instruments, is performed on a panel of European countries. In general, results show evidence for convergence for all means of payment.     

The intraday speed of adjustment of stock prices to earnings and dividend announcements

This paper examines the effects of Broad Tape news releases of earnings and dividend announcements on three aspects of intraday stock price behavior: mean returns, return variance, and serial correlation in consecutive price changes. The initial price reaction is evident in the first pair of price changes following the release (i.e., within a few minutes, at most). The returns earned by simple trading rules dissipate within five to ten minutes, although significant returns are detected in the overnight period and at the opening of trading on the next day. Disturbances in the variance and serial correlation persist for several hours and extend into the following trading day. As a class, dividend announcements induce much less activity than do earnings, although the response to dividend changes is comparable to the earnings announcement effect.     

Spectral analysis of stock market prices

The purpose of this article is to apply spectral analysis to six European Stock markets (Germany, France, Italy, The Netherlands, Belgium and the United Kingdom) and the New York Stock Exchange, over the period 1969–1976. For neither series do the estimates suggest deviations from randomness. However, a simple filter rule shows that substantial profits could have been made by a trader in the six European markets. This demonstrates that for testing market efficiency, spectral analysis is far from the best and the conclusion tends to support the hypothesis of ‘white-noise’ in imperfect markets. Cospectral analysis shows the lead and lag relations between the various stock markets under study.     

An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates

This paper uses Bayesian methods to analyze unit root and cointegration properties of two different finance data sets. Avoiding the use of subjective prior information, the paper surveys and utilizes several different objective Bayesian methodologies in an investigation of common stochastic trends in international stock markets and in spot and forward exchange rates for several different countries.     

传闻消息对我国上市公司股价影响的实证分析

本文通过有关我国上市公司的传闻消息对上市公司股价影响的实证分析,得出在消息公布日前2天以及后3天的时间段里,传闻消息对股价有正影响,从而给投机者带来了非正常收益,但是从长期来看,传闻消息不会给投资者带来任何非正常收益。另外,通过对各类传闻消息对股价影响的进一步分析,发现在诸类传闻消息中,主力类传闻对上市公司股价的影响最为显著,能给投机者带来很大的非正常收益。     

The partial adjustment of IPO prices to public information and issuing methods in Taiwan

Using 1997 to 2009 exchange-listed data, we examine the treatment of public information by underwriters throughout the entire initial public offering (IPO) price-setting process in Taiwan. We find that regardless of which mechanism (fixed-price, auctions, or book-building) an issuer has chosen, the partial adjustment of the IPO offer prices to public information is evident in our study. Although both fixed-price and book-built issues show a modest but statistically significant relationship between market returns and the level of initial returns, we find economically meaningful effects for both issuing methods. Our findings also demonstrate that auctioned IPOs exhibit strong evidence of partial adjustment to market returns. That is to say, the estimated effect is statistically and economically significant. Therefore, we attempt to provide rational explanations for such phenomena.     

Insider employee stock option trading and stock prices

The question of which factors determine corporate bonds pricing is investigated by analysing the spreads of eurobonds issued by major G-10 companies during the 1991–2001 period. Three main results emerge from the analysis. First, bond ratings appear as the most important determinant of yield spreads, with investors’ reliance on rating agencies judgments increasing over time. Second, the primary market efficiency and the expected secondary market liquidity are not relevant explanatory factors of spreads cross-sectional variability. Finally, rating agencies adopt a different, ‘through the cycle’, evaluation criteria of default risk with respect to the forward looking one adopted by bond investors.     

Investor mood and the determinants of stock prices: an experimental analysis

We examine, in a controlled experimental setting, whether changes in investor mood cause changes in the determinants of stock prices. Our results show that a deterioration in mood, reflected in the negative dimensions of mood state, increases the level of risk aversion in male, but not female, investors. We find no evidence to suggest that a change in mood impacts on investors' forecasts of future earnings or future cash flows. By establishing the causal impact of a change in mood on risk aversion, our study provides support for archival research that relates various market anomalies to investor mood.     

The effect of value line investment survey rank changes on common stock prices

The information content of Value Line Investment Survey rank changes is investigated. The results suggest rank changes affect common stock prices, but the effect varies by the type of rank change. Changes from rank 2 to rank 1 have the most dramatic impact on prices. A cross-sectional analysis finds small firms have a greater reaction to a rank change than larger firms, which supports theories on the frequency of report arrival and precision of information. A speed of adjustment test concludes the prices of individual securities adjust to the information in a rank change over a multiple-day period.     

Permanent and transitory components of GDP and stock prices: further analysis

Using the conventional VAR identification approach, Cochrane (Quarterly Journal of Economics 107: 241–65, 1994) finds that substantial amounts of variation in GDP growth and stock returns are due to transitory shocks. Following the common trend decomposition of King etal. (American Economic Review 81: 819–40, 1991), we show that Cochrane's results depend on the assumption of weak exogeneity of one of the variables with respect to the cointegration vector. When this assumption holds both approaches coincide. If not, the shocks Cochrane called transitory are not totally transitory. In this case, the conventional VAR approach with the assumption of the weak exogeneity may overstate the magnitude of transitory shocks and understate that of permanent shocks. We find that the permanent components of GDP and stock prices are much larger than those estimates of Cochrane, although substantial (but much smaller than in Cochrane 1994) variations in GDP growth and stock returns are attributed to transitory shocks.