计量经济分析 = Econometric analysis

The science of the total environment

Investor Psychology and Security Market Under- and Overreactions

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidityadjusted capital asset pricing model, a security s required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security s liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. r 2005 Elsevier B.V. All rights reserved.

Market Liquidity: Asset Pricing with Liquidity Risk

Handbook of the Economics of Finance

This study examines the performance of different hybrid methodologies that combine ARIMA and artificial neural network (ANN) to forecast stock market returns. Two new hybrid ARIMA-ANN models are developed and compared with Zhang’s (2003) model on real data sets and the model performance is evaluated using trading performance measures. The study shows that hybrid models outperform independent models and the hybrid ARIMABP model achieves greater accuracy and provides evidence of superiority of the other hybrid models.

Trading and forecasting performance of different hybrid ARIMA – neural network models for stock returns

This article explores the financial accounts of the United States to analyze the synchronicity in bank and nonbank credit flows with the fund flow patterns of U.S. nonfinancial corporate and noncor...

https://journals.sagepub.com/doi/pdf/10.1177/2158244018823082

Determinants of Aggregate Credit Flows to U.S. Corporate and Noncorporate Sector

The purpose of this study is to develop a comprehensive model that examines the impact of corporate diversification, and its interaction effects with ownership structure, industry structure and firm size, in explaining firm performance for three distinct phases of institutional development in an Indian context The conceptual model developed through review of literature is tested using a large sample of publicly traded companies in India, using GLM Univatiate model, for Post-liberalization, Transition and Pre-liberalization phases that span a period of fifteen years Our findings show that diversification firm performance relationship varies as institutions develop Although unrelated diversifiers achieved superior performance during the pre-liberalization phase, focused players performed better during the transition phase Post-liberalization, diversification did not impact firm performance; superior firm performance was driven by the ability of firms to scale, be present in profitable industries and productively use their assets Significant interaction effects were observed between diversification and, industry structure, ownership type and firm size, in explaining firm performance Firms affiliated to large business groups continue to be highly diversified and under performed as institutions developed

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Performance implications of diversification strategies during institutional transformations: an emerging market study

NVESTORS, world over, are currently demanding more shareholder value than just high returns. Maximising shareholders value has always been the ultimate aim of every company. Investors are very keen in assessing the corporate financial performance that correlate with shareholders wealth particularly the market price of a share. Traditional performance measures like return on investment, earnings per share, etc., have been used as the most important measure of shareholder value creation. But in the recent years, value based measures which measure performance in terms of change in value have received a lot of attention. There are several value based measures such as Cash Flow Return on Investment (CFROI), Shareholder Value Added (SVA), Economic Value Added (EVA), Market Value Added (MVA) and Cash Value Added (CVA). This paper attempts to examine the relationship between share price and Market Value Added in relation to other performance measures like Return on Investment, Return of Net Worth and Earnings per share with particular reference to BSE Sensex companies.

/pdf/market-value-added-and-share-price-behaviour-an-empirical-3vock9wxdd.pdf

Market value added and share price behaviour an empirical study of bse sensex companies

Technology plays a key role in today’s business environment and is becoming increasingly necessary for all businesses to incorporate information technology solutions to operate successfully. The importance of information quality in the present business scenario has been drawing the attention of practitioners and academicians. This paper aims at broadening the understanding about information quality as a critical factor by which information technology spread its influences on banking success. In the context of Indian banking, this study examines how banking technology has benefited through information quality. A research framework and associated hypotheses are proposed based on process-based IS success model and instruments are developed to measure and validate information quality and banking success in IT investments. An empirical survey was conducted, and questionnaires were distributed to 600 bankers. A total of 499 valid observations was collected and analysed using structural equation modelling (SEM). The results suggest that information quality has a positive and significant effect on banking success from an internal user perspective.

M. Thenmozhi

Papers

Trading and forecasting performance of different hybrid ARIMA – neural network models for stock returns

Determinants of Aggregate Credit Flows to U.S. Corporate and Noncorporate Sector

Performance implications of diversification strategies during institutional transformations: an emerging market study

Market value added and share price behaviour an empirical study of bse sensex companies

Information quality and banking success: a theoretical model with empirical validation