Market Return
The Impact of Share Buyback Announcement to Stock Return and Market Return
... to return excess cash to shareholders besides dividend ...stock return and market return. Market return was analyzed since the object of this research, Telkom, has relatively ...
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The Predictive Role of Stock Market Return for Real Activity in Thailand
... stock market return is one of financial variables that provide most accurate forecasts for output ...stock market variables for predicting real ...
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Environmental Disclosure Practices and Stock Market Return Volatility in The Nigerian Stock Market
... stock market return, the result showed that environmental pollution and control policy (EPC), energy policy (ENP), impact on biodiversity (IB), environmental research and development cost (ERD), and cost of ...
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Emerging Market Return Pricing: an Intertemporal and Interquantile Approach
... the return pricing dynamics in six Latin American countries based on the ICAPM model of (Merton, 1973; Bekaert & Harvey, ...Peru market return and a world market proxy return as a ...
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The Predictive Role of Stock Market Return for Real Activity in Thailand
... stock return on real activity in an Asian emerging market by evaluating the notion that stock return contains information relating to real economic ...stock return on industrial output growth ...
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Mutual fund performance: an analysis of mutual funds’ return compare to the market return (DSEX).
... adjusted return than that of another fund with a lower Treynor ...the market return. The main reason for negative return is portfolios returns are lower than risk free ...
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Modelling the Dynamics of Government Finance on Bond Market Return in Nigeria
... Theoretically, the neoclassical approach developed over fifty years ago now provides different effect on macroeconomic consequence of government finance on bond market return, which is contrary to previous ...
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Implied volatility and future market return
... the market return and the level of the ...positive return indicated by the IV after a more than 2% drop in the market ...this market downturn and profit on the subsequent ...the ...
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Macroeconomic variables and stock market return in Nairobi securities exchange
... Various studies done in Kenya have yielded varying results. Ouma and Muriu (2014) and Kirui (2014) using OLS found insignificant relationship between interest rate and stock return while Gatebi (2013) and Olweny ...
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Long Memory in the Turkish Stock Market Return and Volatility
... β in the GARCH model is very close to one, indicating that the volatility process is highly persistent. For the FIGARCH model, the estimate of long memory parameter, d, is found to be significantly different from zero ...
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A Study of Mutual Fund Flow and Market Return Volatility
... the market is up, individual investors tend to buy mutual fund ...the market by speeding up the adjustment of the prices to new ...between market volatility and aggregate mutual fund ...
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Modelling Stock Market Return Volatility: Evidence from India
... An alternate model to test for asymmetric volatility in the Nifty return is TGARCH, which shows (see table 6) the estimated result of TGARCH (1, 1) model. In it, the coefficient of leverage effect ( ) is positive ...
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A note on the effects of market inefficiency and portfolio constraints on the relationship between the expected return of an asset and the market
... the market portfolio is efficient; when it is inefficient, α, the difference between the expected excess return of the asset and the value predicted by the CAPM, is ...expected market return ...
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ESTIMATION OF RETURN ON INVESTMENT IN SHARE MARKET THROUGH ANN
... Recurrent networks use the back propagation learning methodology. The main difference between a feed forward back propagation network and a recurrent network is the existence of a feedback mechanism in the nodes of the ...
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Conditional Relationship Between Beta and Return in the US Stock Market
... expected return on the market must always exceed the risk-free rate and the expected market risk premium is positive (see Morelli ...realized market risk premium may be negative (see ...
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Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions
... the market return ...for market movements, namely, substantially upward moving, neutral, and substantial bear, the following threshold points were used: (iii) the average positive (negative) ...
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SYSTEMATIC RISK AND RETURN ANALYSIS IN SECURITY MARKET
... yields return to the ...portfolio return, risk involved, risk adjusted performance, scope for diversification using Return, Beta, Standard Deviation, for each selected company ...mark return ...
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Understanding the risk-return tradeoff in the stock market
... stock market return, r t + 1 - r f t , + 1 , on a variety of forecasting variables, including the implied volatility, IVOL t ; the consumption-wealth ratio, cay t ; and the stochastically detrended ...
51
Robustness of the Risk Return Relationship in the U S Stock Market
... In this paper, we study the risk-return relationship in monthly U.S. stock returns (1928:1— 2004:12) using GARCH-in-Mean models. In particular, we consider the robustness of the relationship with respect to the ...
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Seasonality of Cross sectional Return Volatility in the Jordan Stock Market
... Table 3 exhibits the day-of-the-week effect of volatility. Panel A gives the results of the basic regression model consisting of five days of the week. To avoid the so-called dummy variable trap, we use the intercept ...
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