Results 1 - 10 of 4,627

month returns.

by Martin D. D. Evans, Karen K. Lewis, Karen K. Lewis , 1992
"... Under conventional notions about rational expectations and market efficiency, expected returns differ from the actual cx post returns by a forecast error that is uncorrelated with current information. In this paper, we describe how small departures from conventional notions of rational expectations ..."
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Under conventional notions about rational expectations and market efficiency, expected returns differ from the actual cx post returns by a forecast error that is uncorrelated with current information. In this paper, we describe how small departures from conventional notions of rational expectations

IS THERE SEASONALITY IN THE SENSEX MONTHLY RETURNS?

by I M Pandey
"... ii ..."
Abstract - Cited by 2 (0 self) - Add to MetaCart
Abstract not found

Liquidity Risk and Expected Stock Returns

by Lubos Pastor, Robert F. Stambaugh , 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
Abstract - Cited by 629 (6 self) - Add to MetaCart
This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual

Mutual fund performance: an analysis of monthly returns

by M. Jayadev - Finance India , 1996
"... In this paper an attempt is made to evaluate the performance of two growth oriented mutual funds (Mastergain and Magnum Express) on the basis of monthly returns compared to benchmark returns. For this purpose, risk adjusted performance measures suggested by Jenson, Treynor and Sharpe are employed. I ..."
Abstract - Cited by 5 (0 self) - Add to MetaCart
In this paper an attempt is made to evaluate the performance of two growth oriented mutual funds (Mastergain and Magnum Express) on the basis of monthly returns compared to benchmark returns. For this purpose, risk adjusted performance measures suggested by Jenson, Treynor and Sharpe are employed

Improved methods for tests of long-run abnormal stock returns

by John D. Lyon, Brad M. Barber, Chih-ling Tsai, Raghu Rau, Jay Ritter, René Stulz, Brett Trueman, Ralph Walkling - Journal of Finance , 1999
"... We analyze tests for long-run abnormal returns and document that two approaches yield well-specified test statistics in random samples. The first uses a traditional event study framework and buy-and-hold abnormal returns calculated using carefully constructed reference portfolios. Inference is based ..."
Abstract - Cited by 375 (12 self) - Add to MetaCart
is based on either a skewnessadjusted t-statistic or the empirically generated distribution of long-run abnormal returns. The second approach is based on calculation of mean monthly abnormal returns using calendar-time portfolios and a time-series t-statistic. Though both approaches perform well in random

Stylistic Differences across Hedge Funds as Revealed by Historical Monthly Returns

by Hany A. Shawky, Achla Marathe , 2009
"... This paper utilizes two clustering techniques to provide an objective method for classification of hedge funds. A data driven classification framework that utilizes monthly hedge fund returns as inputs, is shown to pro-vide better comparisons among fund categories and can help investors in identifyi ..."
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This paper utilizes two clustering techniques to provide an objective method for classification of hedge funds. A data driven classification framework that utilizes monthly hedge fund returns as inputs, is shown to pro-vide better comparisons among fund categories and can help investors

Extreme Correlation of International Equity Markets

by François Longin, Bruno Solnik - JOURNAL OF FINANCE , 2001
"... Testing the hypothesis that international equity market correlation increases in volatile times is a difficult exercise and misleading results have often been reported in the past because of a spurious relationship between correlation and volatility. This paper focuses on extreme correlation, that i ..."
Abstract - Cited by 414 (2 self) - Add to MetaCart
, that is to say the correlation between returns in either the negative or positive tail of the multivariate distribution. Using “extreme value theory ” to model the multivariate distribution tails, we derive the distribution of extreme correlation for a wide class of return distributions. Using monthly data

The Determinants of Credit Spread Changes.

by Pierre Collin-Dufresne , Robert S Goldstein , J Spencer Martin , Gurdip Bakshi , Greg Bauer , Dave Brown , Francesca Carrieri , Peter Christoffersen , Susan Christoffersen , Greg Duffee , Darrell Duffie , Vihang Errunza , Gifford Fong , Mike Gallmeyer , Laurent Gauthier , Rick Green , John Griffin , Jean Helwege , Kris Jacobs , Chris Jones , Andrew Karolyi , Dilip Madan , David Mauer , Erwan Morellec , Federico Nardari , N R Prabhala , Tony Sanders , Sergei Sarkissian , Bill Schwert , Ken Singleton , Chester Spatt , René Stulz - Journal of Finance , 2001
"... ABSTRACT Using dealer's quotes and transactions prices on straight industrial bonds, we investigate the determinants of credit spread changes. Variables that should in theory determine credit spread changes have rather limited explanatory power. Further, the residuals from this regression are ..."
Abstract - Cited by 422 (2 self) - Add to MetaCart
, lev 5 Since debt levels are reported quarterly, linear interpolation is used to estimate monthly debt figures. We note that previous studies of yield changes have often used the firm's equity return to proxy for changes in the firm's health, rather than changes in leverage. For robustness

STYLIZED FACTS OF THE DAILY AND MONTHLY RETURNS FOR THE EUROPEAN STOCK INDICES DURING 2007-2012 Iulian PANAIT

by Alexandru Constantinescu
"... Abstract: This study is intended to investigate the connection between the complexity of a capital market and the occurrence of dramatic decreases in transaction prices. The work hypothesis is that such episodes, characterized by sudden and dramatic decreases in transaction prices mostly occur in p ..."
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in period of market inefficiency, when the level of complexity reaches a local minimum. In this regard, we introduce a complexity estimator, through differential entropy. The connection between the market complexity level and the appearance of extreme returns is illustrated in a logistic regression model.

Bad news travels slowly: Size, analyst coverage, and the profitability of momentum strategies

by Harrison Hong, Terence Lim, Jeremy C. Stein - Journal of Finance , 2000
"... Various theories have been proposed to explain momentum in stock returns. We test the gradual-information-diffusion model of Hong and Stein (1999) and establish three key results. First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with firm ..."
Abstract - Cited by 339 (25 self) - Add to MetaCart
, especially negative information, diffuses only gradually across the investing public. SEVERAL RECENT PAPERS HAVE DOCUMENTED that, at medium-term horizons ranging from three to 12 months, stock returns exhibit momentum-that is, past winners continue to perform well, and past losers continue to perform poorly
Results 1 - 10 of 4,627