Daily energy price and stock returns
Autocorrelation in Daily Stock Returns
... then stock returns must exhibit no ...in stock returns, or the expected returns, or the conditional ...term returns using a price model with a mean reverting ...
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Price Inflation and Stock Returns
... models developed by Campbell and Vuolteenaho (2004) and Hess and Lee (1999) across several countries. Lee (2010) finds that the inflation illusion hypothesis explains post-war data very well, but not pre-war data. This ...
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A Review on institutional Icons and Daily Stock Returns
... (positive) stock return subsequent to institutional buying ...future returns on positive and negative ...positive returns, while institutional pur- chases only weakly predict negative ...
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Forecasting Public Investment Using Daily Stock Returns
... the daily excess stock returns of the construction industry, to contribute to the recent discussion on fiscal fore- ...and daily stock returns without any prior time aggregation, ...
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Analysis on Runs of Daily Returns in Istanbul Stock Exchange
... In financial markets, fluctutations in asset prices produce what we call financial time series and these series have been deeply investigated for making inferences and forecastings. Especially in recent decades, ...
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The daily returns of the Portuguese stock index : a distributional characterization
... cumulative returns are on the x-axis. Panel a considers the cumulative returns at the left tails, at a five and one percent probability of the tails, whereas Panel b considers the cumulative returns ...
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The Effects of Twitter Sentiment on Stock Price Returns
... on price returns, one can reject the null ...on price returns is shorter when the EA events are removed, and the values of CAR are lower, but in both cases the impact is statistically ...
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Redundant Information And Predictable Stock Price Returns
... Predictable Stock Price Returns Abstract How well do investors distinguish information that already is priced from genuinely novel and ex- clusive private information? This paper examines whether ...
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Oil Price Shocks and Stock Market Returns:
... and stock prices can be explained by considering the valuation method based on the Discounted Cash Flows (DCF) approach, following previous work of Huang et ...its stock is said to be equal to the sum of ...
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Energy Daily. Energy Daily Outlook. Market Commentary. Daily Close Price Changes
... Phillip Futures or persons associated with or connected to Phillip Futures, including but not limited to its officers, directors, employees or persons involved in the preparation or issuance of this report may, from time ...
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Energy Daily. Energy Daily Outlook. Market Commentary. Daily Close Price Changes
... Market Summary Crude Oil: Prices surprisingly took a hit and dropped by about 6%. This has caused both WTI and Brent to test a new low. As mentioned above, we had expected US crude oil inventories to support prices, ...
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Modelling Volatility of Daily Stock Returns: Is GARCH(1,1) Enough?
... in stock market and hence greater ...of stock returns of four Bangladeshi Companies on Dhaka Stock Exchange ...of daily returns are non- normal with negative skewness and ...
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Oil price shocks and volatility in Australian stock returns
... explaining stock returns in US stock ...on stock returns in Canada, Japan, UK and US, establish a link through changes in cash flows on stock prices in Canada and ...oil ...
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Oil Price Shocks and Volatility in Australian Stock Returns
... oil price return may be an Australian ...oil price changes and stock returns in the European and US financial sectors, ...oil price shocks reduce stock return for most sectors is ...
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Transitory Price, Resiliency, and the Cross-Section of Stock Returns
... portfolio returns are obtained over next 12 ...portfolio returns on six factors including the Fama-French factor, momentum factor, Pastor and Stambaugh liquidity factor and Amihud illiquidity ...
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Oil price volatility and stock returns in the G7 economies
... oil price shocks on international stock ...oil price shocks should be captured by financial markets, for they are bound to affect cash flows, expected returns and investment ...oil ...
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A High Low Model of Daily Stock Price Ranges
... separates price volatility into upward and downward components and compares them with the total volatility (Edwards and Magee, 1997; Murphy, 1986; Pring, ...on daily range, nonetheless, may neglect the ...
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A High-Low Model and Daily Stock Price Ranges +
... and Daily Stock Price Ranges + Yan-Leung Cheung,* Yin-Wong Cheung,** Alan ...that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration ...
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A High-Low Model of Daily Stock Price Ranges
... on daily ranges of various financial prices are quite widely ...the daily range is wide ...the price range is a more efficient volatility estimator than, say, the commonly used return-based ...
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Returns synchronization and daily correlation dynamics between international stock markets
... of returns synchronization methods and dynamic covariance models, we prefer the Burns et ...the returns equation to also vary through time with the use of a Kalman ...many stock markets that have no ...
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