Topic
Market capitalization
About: Market capitalization is a research topic. Over the lifetime, 3583 publications have been published within this topic receiving 77288 citations. The topic is also known as: market cap & market value.
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TL;DR: In this article, the authors examined the performance of value stocks and growth stocks, defined on the basis of market price to book value per share, over the 10-year period 1986-1996, for six Pacific Rim countries.
Abstract: Many studies show that value stock strategies outperform growth stock strategies in U.S. markets and in international markets. However, the evidence is not clear as growth stocks have had higher returns in a few countries. Because the behavior of stock markets vary between different geographic regions, it is possible that the performance of these strategies may differ in the Pacific Rim region. We examine the performance of value stocks and growth stocks, defined on the basis of market price to book value per share, over the 10-year period 1986-1996, for six Pacific Rim countries. Based on over 11,900 annual stock returns, value stocks generally outperformed growth stocks over the 10-year period, and in the various Pacific Rim country stock markets. In addition, smaller cap stocks outperformed large cap stocks. Regardless of cap size, however, value stocks, on the whole, outperformed growth stocks. When growth stocks occasionally outperformed value stocks, the margin of difference tended to be small.
19 citations
Posted Content•
TL;DR: In this article, the authors examined the stock price impact of terrorist attacks and found that human capital losses such as kidnappings of company executives are associated with larger negative stock price reactions than physical losses, such as bombings of facilities or buildings.
Abstract: This paper examines the stock price impact of terrorist attacks. Using an official list of terrorism related incidents compiled by the Counterterrorism Office of the U.S. Department of State, we identify 75 attacks between 1995 and 2002 in which publicly traded firms are targets. An event study analysis around the day of the attacks uncovers evidence of a statistically significant negative stock price reaction of -0.83%, which corresponds to an average loss per firm per attack of $401 million in firm market capitalization. A cross sectional analysis of the abnormal returns indicates that the impact of terrorist attacks differs according to the home country of the target firm and the country in which the incident occurred. Attacks in countries that are wealthier and more democratic are associated with larger negative share price reactions. Most interestingly, we find that human capital losses, such as kidnappings of company executives, are associated with larger negative stock price reactions than physical losses, such as bombings of facilities or buildings. We discuss the implications of these findings for existing research on terrorism and for current policy debates like the renewal of the U.S. Terrorism Risk Insurance Act (TRIA).
18 citations
TL;DR: In this paper, a spatiotemporal model was proposed for forecasting stock returns. But the model was not applied to the Shanghai Stock Exchange 50 Index and the out-of-sample forecasting performance of Value-at-Risk (VaR) estimated by different models.
Abstract: This paper generalizes a recently proposed spatial autoregressive model and introduces a spatiotemporal model for forecasting stock returns. We support the view that stock returns are affected not only by the absolute values of factors such as firm size, book-to-market ratio and momentum but also by the relative values of factors like trading volume ranking and market capitalization ranking in each period. This article studies a new method for constructing stocks’ reference groups; the method is called quartile method. Applying the method empirically to the Shanghai Stock Exchange 50 Index, we compare the daily volatility forecasting performance and the out-of-sample forecasting performance of Value-at-Risk (VaR) estimated by different models. The empirical results show that the spatiotemporal model performs surprisingly well in terms of capturing spatial dependences among individual stocks, and it produces more accurate VaR forecasts than the other three models introduced in the previous literature. Moreover, the findings indicate that both allowing for serial correlation in the disturbances and using time-varying spatial weight matrices can greatly improve the predictive accuracy of a spatial autoregressive model.
18 citations
TL;DR: In this paper, the authors investigated whether constrained portfolios such as Shariah-compliant equity portfolios (SCEPs) can benefit by adopting smart beta strategies and found that smart-beta SCEPs outperform not only conventional market capitalization weighted portfolios but also SCEP following a market-cap-weighted strategy.
18 citations
Book•
05 Jun 1980
TL;DR: In this article, a book that can be recommended for new readers is uncommon market capital class and power in the european community, which can be read and understand by the new readers.
Abstract: Preparing the books to read every day is enjoyable for many people. However, there are still many people who also don't like reading. This is a problem. But, when you can support others to start reading, it will be better. One of the books that can be recommended for new readers is uncommon market capital class and power in the european community. This book is not kind of difficult book to read. It can be read and understand by the new readers.
18 citations