MACROECONOMIC NEWS AND STOCK MARKET CALENDAR AND WEATHER ANOMALIES

An analysis of six stock market calendar and weather anomalies from 1980 to 2003 shows that (1) returns on trading days in which macroeconomic announcements were made generate the anomalies and (2) five of the six anomalies are not present at all on the trading days in which such announcements were not made (more than 60% of the sample). The results suggest that the market response to macroeconomic news, not psychological or institutional factors, is the main source of calendar and weather anomalies.     

STOCK MARKET REACTION TO GOOD AND BAD INFLATION NEWS

This article shows that differentiating between good and bad inflation news is important to understanding how inflation affects stock market returns. Summing positive and negative inflation shocks as in previous studies tends to wash out or mute the effects of inflation news on stock returns. More specifically, we find that, depending on the economic state, positive and negative inflation shocks can produce a variety of stock market reactions. We conclude that the effect of inflation on stock returns is conditional on whether investors perceive inflation shocks as good or bad news in different economic states.     

STOCK MARKET RECOGNITION OF MULTINATIONALITY OF A FIRM AND INTERNATIONAL EVENTS

This paper presents the results of empirical tests on a necessary condition for the diversification service hypothesis: market recognition of the multinationality of a firm and the existence of international factors. Employing both a two- factor international market model and residual analyses, this study examines whether the US stock market considers the multinationality of a firm and inter- national events which are expected to affect the price of MNCs' stock. The residual analysis is conducted over a period which includes both fixed and floating exchange rates. Results from both analyses support the hypothesis that the US stock market does recognize the multinationality of a firm.     

“转融通”引来的资金活水：有效对接货币市场与证券市场

在过去,证券公司只是单纯地凭经纪业务取胜,靠天吃饭,而转融通业务的推出标志着—个全新的金融创新时代的到来。     

STOCK SPLITS AND MARKET ANOMALIES

Previous studies of market efficiency have reported conflicting results when examining stock splits. Recent studies reporting market inefficiencies have made several methodological improvements, but have failed to control for the possible confounding effects of “unexpected” changes in corporate earnings announced near the stock split event. Stock splits are often issued around the time that firms experience large increases in corporate earnings. Therefore, an explicit treatment of earnings announcements in an event study of stock splits may yield further insights. This study found no market inefficiencies associated with splitting securities that experienced moderate changes in corporate earnings. However, anomalies were associated with splitting securities that experienced large increases in corporate earnings. These results suggest that previous findings of market inefficiencies, attributable solely to the stock split event, may be due in part to unexpected changes in corporate earnings.     

MARKET TIMING OF INTERNATIONAL STOCK MARKETS USING THE YIELD SPREAD

We use probit modeling to forecast bear stock markets in the United States and in eight major foreign stock markets. In general, we find that the U.S. yield spread contains more important market‐timing information than does the home‐country yield spread for profitable market timing. At a 35% probability screen, our simulations show that the U.S. dollar (representative local currency) investor could earn a median compound annual return across eight foreign (non‐U.S.) stock markets of 15.75% (17.67%) by following a market‐timing strategy versus a median buy‐and‐hold return of 13.56% (16.55%).     

OPEN MARKET STOCK REPURCHASE PROGRAMS AND LIQUIDITY

In this paper I examine the behavior of bid and ask spreads and depths around announcements of open market stock repurchase programs. For a sample of 195 announcements from 1988 to 1990, I find statistically significant evidence of a small decline in spreads and no evidence of a shift in depths following the announcement date. Results are similar for a subsample of firms experiencing post-announcement declines in the number of shares outstanding. I conclude that open market repurchase programs as used recently do not adversely affect market liquidity.     

INTERNATIONAL LISTINGS, THE SECURITY MARKET LINE AND CAPITAL MARKET INTEGRATION: THE CASE OF US LISTINGS ON THE LONDON STOCK EXCHANGE

This paper examines for international capital market segmentation by testing for changes (both inter-temporally and inter-beta) in the parameters of the riskreturn pricing relationship caused by the listing of US stocks on the London Stock Exchange (LSE) between 1965 and 1987. It is hypothesized that international listings reduce the negative effects associated with barriers to international investments, help integrate world markets and therefore decrease internationally listed stock's required returns. Significant negative deviations from the Sharpe-Lintner (SL) pre-listing pricing relationship during the postlisting period are therefore expected, primarily caused by decreases in the intercept parameter. We find, in support of the hypothesis, significant negative deviations from the predictions of SL for our sample, although they do not appear to have an intertemporal dimension. These deviations are largely associated both with decreases in the value of the SL model's intercept parameter and with low beta firms, and point toward some integration benefits from US listings on the LSE.