Long-term reactions to large stock price declines and increases in the European stock market: a note on market efficiency

This study tests for underreaction and overreaction in European large cap markets by examining the abnormal returns of those stocks in the EuroStoxx 50 Index following large price increases and decreases. We find that large price increases and declines tend to be followed by average market returns. Thus, our results support the efficient market theory, rather than any of the behaviour finance hypotheses. This insight is contrary to price patterns found in various national markets.     

Environmental policies,national culture,and stock price crash risk: Evidence from renewable energy firms

This study investigates the impact of country‐level environmental performance and national culture on the stock price crash risk of renewable energy firms. Employing a large sample of 626 renewable energy firms across 31 countries, we find a significant nonlinear relationship between country‐level environmental performance and crash risk. National culture dimensions are found to strongly predict the crash risk of renewable energy firms, particularly after the global financial crisis. On the contrary, national culture dimensions and environmental policies are observed to not exert any significance in explaining the crash risk of fossil fuel firms. Our results are robust with respect to alternative measures of stock price crash risk and the endogeneity of national culture dimensions. Overall, the findings of this paper contribute to the environmental economics literature by providing new evidence regarding the role of societal and environmental factors in explaining the stock price crash risk of energy firms.     

基于数据挖掘技术的股票市场预测分析实例研究

本文主要研究数据挖掘技术在股票市场价格预测中的应用,重点采用数据挖掘分类和聚类算法对大盘走势和个股走势进行分析研究,采用实体数据进行挖掘分析,总结得出有益于投资者的结论。     

The impact of investor structure on stock price crash sensitivity: Evidence from China's stock market

Stock price crash sensitivity refers to the conditional probability of a stock crash when the market collapses. It focuses on individual stocks' sensitivity to the market crash and can affect stock pricing significantly. Although the crash sensitivity of China's stock market is very high as a whole (Weigert, 2016), different individual stocks show varying degrees of crash sensitivity. This paper, adopting the perspective of institutional investors, explores the reasons for the difference in crash sensitivity in China's stock market, and finds that: First, institutional investors' shareholdings is positively related to firms' stock price crash sensitivity. However, after dividing institutional investors into professional (represented by financial institutions) and non-professional institutional investors (represented by general legal persons), we find that only professional institutional investors' shareholdings is negatively related to firms' stock price crash sensitivity. Second, the impact of professional institutional investors on the crash sensitivity is influenced by stock liquidity and media sentiment: when the stock liquidity of listed companies is good or the media sentiment is strong, the negative impact of professional institutional investors on the crash sensitivity is accordingly high. This paper, by highlighting the investor structure, attempts a pioneering exploration of the influencing factors of the difference in stock price crash sensitivity in China. Our empirical results enrich research on stock price crash sensitivity and the heterogeneity of institutional investors. They can also serve to guide regulatory authorities' development of institutional investors and efforts to maintain market stability.     

Stock price reactions to stock dividend announcements: A case from a sluggish economic period

The 2007 financial crisis and the Great Recession that followed resulted in a loss of confidence among investors, and regaining their full trust and confidence has been a challenge for companies. Although economic growth has been volatile throughout the postwar World War II period, recent growth (2008–2015) has been remarkably weaker than in the previous low-growth period (1974–1995). The 2006–2015 period is often characterized by sluggish economic growth. This study investigates stock price reactions to stock dividend announcements, 30 days before and after the announcement dates, of publicly traded companies in the period 2006–2012. We use an event study methodology for 460 events and daily stock price data for companies in the CRSP historical data set. The study shows a significant reaction in stock prices around the event date. On average, stock prices reacted positively to stock dividend announcements. However, compared to previous findings of abnormal returns (5.9%), results from this study show small abnormal returns (about 1.81%) attributable to stock dividend announcements that are cumulative of the announcement day and up to 3-day post-announcement days. Our estimates are even lower than the 2.01% stock price reaction obtained in the 1987–1996 period.     

论中国股票市场的投资价值

从动态一般均衡的角度看，中国股票市场存在巨大泡沫，没有投资价值。但是，股票市场的内在规律又决定了中国股票市场未来几年将在巨大泡沫的基础上走向巨大的牛市，中国股票市场面临非常好的投资机会。这有利于中国政府抓住机会解决股票市场中长期仔在的规范、发展问题，同时也为广大投资、上市公司、中介机构带来了难得的历史机遇。     

论中国股票市场的投资价

从动态一般均衡的角度看,中国股票市场存在巨大泡沫,没有投资价值.但是,股票市场的内在规律又决定了中国股票市场未来几年将在巨大泡沫的基础上走向巨大的牛市,中国股票市场面临非常好的投资机会.这有利于中国政府抓住机会解决股票市场中长期存在的规范、发展问题,同时也为广大投资者、上市公司、中介机构带来了难得的历史机遇.     

The momentum and reversal effects of investor sentiment on stock prices

In this paper, we illustrate the real function relationship between the stock returns and change of investor sentiment based on the nonparametric regression model. The empirical results show that when the change of investor sentiment is moderate, the stock return is positively correlated with the change of investor sentiment, presenting an obvious momentum effect. However, the stock return is negatively correlated with the change of investor sentiment if the change of investor sentiment is dramatic, presenting significant reversal effects. Moreover, the degree of reversal effect caused by extremely optimistic sentiment is greater than that driven by extremely pessimistic sentiment, which shows a significant asymmetry. Our findings offer a partial explanation for financial anomalies such as the mean reversion of stock returns, the characteristic of slow rise and steep fall in China's stock market and so on.     

Managerial bonding and stock liquidity: An analysis of dual-class firms

Given the decision to create a second class of stock through a dual-class structure, we propose that management is more (less) likely to create a liquid secondary market for both classes of shares the lower (higher) its willingness to tie its personal wealth to firm performance. If market makers recognize this relation, they should assign a higher likelihood to trades motivated by superior information in shares of firms that list both classes of stock and a lower likelihood for firms that list only one class of stock pursuant to recapitalization. Additionally, they should assign a lower likelihood to trades motivated by superior information in shares of IPOs that choose a dual-class structure and list only one class relative to IPOs that remain single-class. Our empirical tests based on IPOS and recaps between 1985 and 1988 provide support for these propositions.     

Estimating the determinants of stock price changes

I develop an approach for estimating the determinants of stock price changes that uses all eligible trade data and other observable parameters of market activity. This approach backs out the unobserved continuous price change distribution from the observable discrete price changes, and does not constrain the determinants to be proportions of the traded bid-ask spread. I show that theoretically impermissible results and skewed estimates of cost components are obtained when the model used for estimating the determinants of stock price changes does not attempt to uncover the mapping between the observed price changes and the underlying unobserved continuous price change process, and does not effectively use all eligible trade data.     

A note on stock market seasonality: The impact of stock price volatility on the application of dummy variable regression model

This article provides both statistical analysis and empirical evidence that the dummy variable regression models extensively employed in the market seasonality literature may wind-up misleading results. We show that the estimates of the said model tend to reject the null hypothesis incorrectly once the stock returns exhibit higher volatility for the specified period under examination. Our empirical results suggest that the so-called “January effect” could be attributed to the application of inappropriate statistical method.     

Sudden equity price declines and the flight-to-safety phenomenon: additional evidence using daily data

Using daily data we show sudden, extreme declines in the U.S. stock market for crash dates to lead to a capital preserving (as opposed to strategic or tactical) reallocation to government debt securities. In most cases we find flight-induced reallocation reverses direction within one day of a crash. However, for the 1987 world crash we find increased and persistent return volatility in both equity and bond returns lasting up to five days following this dramatic decline in world equity prices. Like previous research in this area, we find equity crashes alter long-run stock/bond return correlations and lead to increased stock and bond return volatility. Finally, we describe the somewhat unique stock and bond correlation adjustments triggered by the 9/11 attack and the impact this event had on the behavior of U.S. equity investors?? flight-to-safety reaction.     

The determinants of homebuilder stock price exposure to lumber: Production cost versus housing demand

We study the economic linkage between homebuilder stock market performance and commodity futures market information on a major component of building materials—lumber. The price of lumber plays a dual role in determining homebuilder profits: it represents a production input cost and serves as a future housing demand indicator. Using all US publicly listed homebuilder stocks, we show that the housing demand effect dominates the builder–lumber relationship. This effect is robust even after we control for the Federal Housing Finance Association (FHFA) housing price index (HPI). Our results further indicate that the slope of the lumber futures curve serves as a cross-market signal of future housing demand and thus of homebuilder stock market performance.     

The impact of numerical superstition on the final digit of stock price

This paper investigates the extent to which the frequency distribution of the rightmost digit of stock prices is influenced by numerical superstitions. To identify the moderating variables that strengthen the superstition for numbers, we take into account factors including the amount of information, change of tick size, Chinese festivals, and bear market effect. Furthermore, we examine whether the frequency of lucky (unlucky) numbers as the final digit of prices decreases (increases) for firms with higher trading by institutional investors. The results indicate that investors in the Taiwan Stock Exchange tend to avoid number 4. Our results also find that the effects of numerical superstitions on the frequency of the final digit decrease when the amount of information increases. Investors appear to be more likely to avoid unlucky number 4 in the following four conditions: when the tick size becomes smaller, when it is one week before Chinese New Year, when it is the seventh month in the lunar calendar, and when it is in a bear market. We further document that institutional investors are not affected by numerical superstition. Moreover, our results support the notion that informed traders buy and sell more (less) actively the stocks with a lower (higher) frequency of prices ending with 4.     

Corporate governance and stock price crash risk: Evidence from Taiwan

Managers are likely to withhold negative news to protect their own interests. When they can no longer withhold such news, extreme negative returns and a stock price crash (SPC) follow. This study explores whether a favorable corporate governance (CG) mechanism helps reduce SPC risk. The findings reveal that CG affects SPC risk. Moreover, the effects of institutional ownership, board size, and disclosure violation frequency are particularly significant in family-owned businesses. We also examine the effectiveness of CG evaluation (CGE) in Taiwan and discover that companies with high rankings are substantially less likely to encounter an SPC. This study verifies that CGE can be considered an indicator of SPC risk.     

Forecasting stock price volatility: New evidence from the GARCH-MIDAS model

This paper introduces a combination of asymmetry and extreme volatility effects in order to build superior extensions of the GARCH-MIDAS model for modeling and forecasting the stock volatility. Our in-sample results clearly verify that extreme shocks have a significant impact on the stock volatility and that the volatility can be influenced more by the asymmetry effect than by the extreme volatility effect in both the long and short term. Out-of-sample results with several robustness checks demonstrate that our proposed models can achieve better performances in forecasting the volatility. Furthermore, the improvement in predictive ability is attributed more strongly to the introduction of asymmetry and extreme volatility effects for the short-term volatility component.     

A股市盈率特征分析——上海证券交易所的数据验证

利用历史数据计算按不同板块 (全部样本股票、行业划分、每股收益大小、流通股本大小、流通股比例、流通市值大小 )划分股票市场 ,各板块市盈率水平的具体数值 ,并讨论各不同板块的市盈率特征。研究结果表明 :板块的市盈率水平与每股收益、流通股本、流通市值具有反相关关系 ;同时 ,板块的市盈率水平和流通股比例没有明显的相关性规律。从多个角度讨论单个股票的市盈率与其直接影响变量———股票价格和每股收益之间的相互关系。用数学模型论述股票价格和每股收益在影响市盈率变化方面存在的差异 ,并用实际数据验证股票价格、每股收益、每股收益的倒数对市盈率的影响程度。研究结果证实 :决定股票市场市盈率水平及其变化的主要因素是上市公司的业绩而不是股票价格。     

Recovery of hidden information from stock price data: A semiparametric approach

This paper proposes a new methodology for measuring announcement effect on stock returns. This methodology requires no prior specification of the event day, event, and estimation windows, and therefore is a generalization of the traditional event study methodology. The dummy variable, which indicates whether the event occurred or not, is treated as missing. The unconditional probability of abnormal return is estimated by the EM algorithm. The probability that announcement is effective and the average announcement effect are estimated by the Gibbs sampler. How the method works is demonstrated on simulated data and IBM stock price returns.     

The impact of governance characteristics on the stock price of cross listed companies

The study examines the relationship between the country-specific governance characteristics of the origination country and the post-listing returns of cross-listed firms. In addition, the study researches the relative impact of those governance indicators on the abnormal returns of cross-listed stocks following the passage of the Sarbanes-Oxley (SOX) Act. The positive abnormal returns experienced by foreign companies around their listing in the U.S. are shown to be driven by the governance indicators of their home countries, i.e., the worse the governance characteristics of the origination country are, the higher the abnormal return for a cross-listed firm is. The governance indicators that influence abnormal returns to the highest degree are director liability, rule of law, control of corruption, political and economic development, and the integrity of the legal system. The abnormal returns generated by cross-listed foreign firms after the adoption of SOX are higher than those experienced by cross-listed foreign firms in the pre-SOX period. This outcome is pronounced for companies which score the worst on the combined set of country-specific governance characteristics. Thus, the main implication of the study is that foreign companies with a specific set of governance characteristics should consider listing on the U.S. stock markets. To be specific, companies from countries with lower governance standards, as reflected in low scores on director liability and control of corruption, are likely to derive the highest benefits from cross- listing on the NYSE or NASDAQ exchanges.     

Determinants of the stock price reaction to leveraged buyouts

Abtract  This paper investigates the determinants of leveraged buyout activity through the use of an abnormal return premium from the time of the first announcement through the final trading day. Consistent with the free cash flow theory, firms with either high free cash flow or low Tobin’s q have higher abnormal returns. Howerver, the returns to firms with both high free cash flow and low Tobin’s q are lower than firms with just one of these characteristics. Firms which substantially increase leverage and management buyouts with high insider ownership prior to the buyout have lower abnormal returns. Firms with lower risk, and therefore greater debt capacity, have higher abnormal returns.