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Gikas Hardouvelis Georgios Papanastasopoulos Dimitrios Thomakos Tao Wang 《European Financial Management》2012,18(5):790-815
In this paper we investigate the relation of the value/growth anomaly with the anomaly on corporate financing activities. We confirm and expand earlier results that value/growth and external financing indicators are, to some degree, related predictors of stock returns in the cross section. We show that external financing indicators are incrementally informative since they pick up stock returns associated with earnings quality. Portfolios that combine information from both these indicators generate significantly higher returns than portfolios containing each individual indicator. More importantly, our analysis strongly suggests that the external financing anomaly is, to some extent, distinct from the value/growth anomaly, in that it may also reflect investors’ misunderstanding of the effects of opportunistic earnings management. 相似文献
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An economy's openness from the input side has important effects on the optimal design of its macroeconomic policies. Given the exchange rate regime, the larger the share of imported raw materials in domestic production, the smaller the optimal degree of wage indexation to unanticipated inflation. Alternatively, given the wage indexation parameter, the larger the share of imported raw materials in domestic production, the smaller the optimal degree of foreign exchange intervention by the monetary authority (the more flexible the exchange rate). 相似文献
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The Asymmetric Relation Between Initial Margin Requirements and Stock Market Volatility Across Bull and Bear Markets 总被引:1,自引:0,他引:1
Higher initial margin requirements are associated with lowersubsequent stock market volatility during normal and bull periods,but show no relationship during bear periods. Higher marginsare also negatively related to the conditional mean of stockreturns, apparently because they reduce systemic risk. We concludethat a prudential rule for setting margins (or other regulatoryrestrictions) is to lower them in sharply declining marketsin order to enhance liquidity and avoid a depyramiding effectin stock prices, but subsequently raise them and keep them atthe higher level in order to prevent a future pyramiding effect. 相似文献
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In this paper, we have examined the effects of price limits on the stock volatility in the Athens Stock Exchange. We put forward two hypotheses, the information hypothesis, which implies that price limits only slow down the process of adjustment and have no effect on stock volatility; and the over-reaction hypothesis, which assumes that investors tend to overreact to new information, so that price limits give them time to reassess the information and reduce stock volatility. Our results show strong support for the information hypothesis. This evidence is obtained by performing the tests on ten stocks, which include heavily traded stocks as well as less active stocks, and covering a variety of industries, and on a market wide price index. The results are also robust to the frequency of the measurement of the returns, and to the tightness of the limits. 相似文献
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The paper investigates the dynamics of price changes and information flow to the market in the Athens Stock Exchange in Greece using daily data over the period 1988 to 1993. A generalised autoregressive conditional heteroskedastic (GARCH) model in stock returns is shown to reflect time dependence in the process generating information flow to the market. Using daily trading volume or value as proxies for information flow, we find them to be significant in explaining the variance of daily returns and to reduce GARCH effects substantially. This has implications for the informational efficiency of the market. 相似文献
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Exchange rates, interest rates, and money-stock announcements: a theoretical exposition 总被引:2,自引:0,他引:2
Gikas A. Hardouvelis 《Journal of International Money and Finance》1985,4(4):443-454
When the Federal Reserve announce a larger than anticipated weekly level of the US money stock (M1) the dollar appreciates and short-term interest rates increase because of an expected liquidity effect, but long-term interest rates and particularly long-run forward interest rates increase because of an expected inflation effect. The two effects are not mutually exclusive but coexist when market participants are not completely sure of the Fed's policy rule, and thus react in a weighted average manner with weights that reflect subjective probabilities about different Federal Reserve money growth policies. 相似文献
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