Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 259 for “"Stock returns"”.
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Distress Effects in Stock Returns
… distress risk in the cross section of equities returns. Initial results show that both raw and risk-adjusted excess returns are rising in distress risk, and the remainder of this thesis examines the general robustness of the distress premium. Accordingly, the additional excess returns to stocks …
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Investor sentiment and stock returns
… weighting anomaly in a widely cited US stock index to examine the impact of psychology on stock returns. I first argue this is a plausibly exogenous shock, and compare this measure to other measures found in the literature. I find that the measure doesn't seem to relate to previous …
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Essays on predictability of stock returns
… of three chapters exploring predictability of stock returns. In the first chapter, I suggest a new approach to analysis of stock return predictability. Instead of relying on predictive regressions, I employ a state space framework. Acknowledging that expected returns and expected dividends are …
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On international monetary environment and stock returns
… of interest rate which in turn will affect the stock price. There are many articles which analyze the relationship between local monetary policy and stock returns and find that an expansive monetary policy increases stock returns. Some of these articles extend the analysis to the relationship …
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Machine Learning Predictions of International Stock Returns
… is broadly describing predictability of returns on individual stocks in international context. The first chapter covers required prerequisites for any study of fundamental anomalies outside the US. The second chapter studies the predictability of stock returns at an annual frequency. The …
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The cross section of expected stock returns revisited
… and French [1992]. Fama and MacBeth [1973] sort stocks on the New York Stock Exchange into 20 portfolios based on their market [beta]. They test for, and conclude that, [beta] does in fact explain the cross-sectional variation in average stock returns for the 1926-1968 period. After we replicate …
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Two Essays on the Cross-Section of Stock Returns
… of the microstructure noise at the individual stock level and assess the impact of this microstructure induced illiquidity on cross-sectional return predictability. One of the main advantages of this measure is that it is very simple to construct (requires only daily stock returns data). Using …
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Two essays on the cross-section of stock returns
Made available in DSpace on 2011-05-07T13:07:05Z (GMT). No. of bitstreams: 2 license.txt: 4922 bytes, checksum: 910b249b4beec47e7ab768910c8f966f (MD5) 9512343.pdf: 4733361 bytes, checksum: 73b63218e4f862280efda51d94ed484c (MD5) Previous issue date: 1994
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Stochastic processes of common stock returns : an empirical examination.
Thesis. 1980. Ph.D.--Massachusetts Institute of Technology. Alfred P. Sloan School of Management.
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Going by the Book: Valuation Ratios and Stock Returns
… nature of the book value of equity to impact stock returns. I first find that book-to-market is relatively less informative of future returns when it significantly deviates from other valuation multiples, and employing refined signals improve return predictability. Then, I find that a firm’s …
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Two Essays on Momentum and Reversals in Stock Returns
… first essay, I examine the source of momentum in stock returns. The reversal of momentum returns has been interpreted as evidence that momentum results from delayed overreaction to information. I examine momentum and reversals conditional on firms’ share issuance (net of repurchases) during the …
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The impact of selected dividend announcements on daily stock returns
… four different sets of estimates for expected returns. Performance indicies are computed for the forty-one days symmetric to the announcement date and tests of significance are provided. The primary results of the study can be summarized as follows: 1) In all cases, the evidence supports the …
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Essays on Predicting and Explaining the Cross Section of Stock Returns
… of three chapters that study various aspects of stock return predictability. In the first chapter, I explore the interplay between the aggregation of information about stock returns and p-hacking. P-hacking refers to the practice of trying out various variables and model specifications until the …
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Accruals quality, stock returns seasonality and the cost of equity capital
… capital for US firms are driven singularly by returns in the month of January, consistent with a tax-loss selling effect (Mashruwala and Mashruwala, 2011). However, I argue that controlling for potential biases arising from low-priced stocks is essential when testing the seasonality of AQ …
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