[PDF] Top 20 Endogenous technological progress and the cross section of stock returns
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Endogenous technological progress and the cross section of stock returns
... excess returns of the R&D investment portfolios, I follow Chan, Lakonishok and Sougiannis ...excess returns using these 25 characteristic-based benchmark ...each stock is assigned to a benchmark ... See full document
52
Idiosyncratic Volatility and Cross-section of Stock Returns: Evidences from India
... of stock returns with different risk measures was tested by Goyal and Clara (2003) for period of July 1962 to December 1999 and showed that there is significant positive relationship between average ... See full document
12
Industry Concentration and the Cross section of Stock Returns: Evidence from the UK
... the cross-section of stock returns during the period of ...monthly cross-sectional regression of returns on industry concentration is ...the cross-section of ... See full document
36
An investigation into the cross sectional determinants of expected stock returns in the London Stock Exchange
... of stock returns in the ...being cross-sectional ...expected stock returns were not determined solely by their risk characteristics such as market beta, but other additional ...the ... See full document
254
Explaining cross section of stock returns: A comparative analysis of listed financial and non- financial firms in Nepal.
... the cross- section of stock returns that challenged the central prediction of CAPM model of Sharpe(1964), Lintner (1965) and Black (1972) which says market beta is sufficient to describe the ... See full document
8
The Cross Section of Stock Returns: An Application of Fama French Approach to Nepal
... However, most of the research concentrated on the U.S. and developed capital markets may not be applicable to less-developed and emerging capital markets. To the best of our knowledge, no study has been carried out in ... See full document
9
An empirical cross-section analysis of stock returns on the Chinese A-share stock market
... asset returns and the beta showed either no relationship or a weak relationship with the expected asset ...average returns were higher than large firms’ average returns on the New York Stock ... See full document
10
Cross Sectional Dispersion of Firm Valuations and Expected Stock Returns
... Although CVD is shown to distinctively influence firms with different beta or volatility, it is possible that the differences in sensitivity are only due to differences in firms’ exposure to other systematic risk ... See full document
48
Commonality in Misvaluation, Equity Financing, and the Cross Section of Stock Returns
... the returns on new issue and repurchase ...predict returns implies that an even higher Sharpe ratio than that of UMO can be achieved by combining UMO with IR characteristic-based ... See full document
65
Leverage, Default Risk, and the Cross Section of Equity and Firm Returns
... Several recent studies provide evidence that there is in fact a positive premium on the systematic component of default risk in stock returns (e.g. Kapadia; Chava and Purna- nandam; Anginer and Yildizhan; ... See full document
31
A Financing Based Misvaluation Factor and the Cross Section of Expected Returns
... monthly returns are computed and the loadings of each portfolio on UMO are estimated in a time-series regression of at least 36 month returns from July of 1972 through month t − 1 on UMO together with MKT, ... See full document
60
Rare Events, Financial Crises, and the Cross Section of Asset Returns
... The results of this paper can be linked to some recent contributions in the …nance and macro literature. The role of the Great Depression is central in Cogley and Sargent (2007). They posit that agents update their ... See full document
46
An Empirical Test of the Validity of the Capital Asset Pricing Model on the Zimbabwe Stock Exchange
... the cross-sectional regression (test regression) on stocks, we use more independent ...adjusted stock beta, capitalization (size) ratio, liquidity ratio, skewness, and excess ...of returns if the ... See full document
15
Empirical evidence of systemic tail risk premium in the Johannesburg Stock Exchange
... in stock markets, few studies so far seek to understand the pricing implications of this type of risk for the cross section of returns in equity ...the cross section of ... See full document
36
Review of stock returns
... negative stock return from increased investment ...situations, stock returns succeeding to rise in investment expenditures are likely to be ... See full document
8
Growth in a Cross Section of Cities: Location, Increasing Returns or Random Growth?
... increasing returns to scale on both city per-capita income and population growth in the ...of cross-sectional economic growth at the country ...the endogenous growth ... See full document
37
The CDS bond basis arbitrage and the cross section of corporate bond returns
... (value-weighted) returns on the LMH portfolio ...daily returns of the SMB portfolio and the HML portfolio for k-day horizon, ...equity returns, VIX is the average of SP500 option ...the ... See full document
44
Eva And Stock Returns In Emerging Markets: The Indian Evidence
... EVA, which compares the firms’ operating profit with their cost of capital employed, is proposed as a major improvement over the traditional measures, and its proponents report high level of its correlation with ... See full document
5
The US UK productivity gap in the twentieth century: from technology and population perspectives
... as technological progress, is responsible for the US take-off by advancing its productivity growth, the relative gap in innovative activity should also sufficiently explain the relative gap in ... See full document
27
The Low Price Anomaly and the Intriguing Case of the Polish Stock Market
... lottery- stock display poor, uneducated men who belong to, mainly Catholic, African-American or Hispanic ...Polish stock market is basically an unexplored field in terms of low-price anomaly ... See full document
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