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.

Real estate as a common risk factor in bank stock returns

Abstract: This article investigates the potential role of real estate risk in the pricing of US bank stocks from February 1990 to December 2015. Generalized method of moments estimates of conditional multifactor models are provided. The real estate risk is proxied by the return of an investment strategy that is short on low-leverage real estate investment trust (REIT) assets and long on high-leverage REIT assets. We group banks into portfolios based on their market capitalization, real estate loans as a proportion of total assets, and book-to-market ratios. The results suggest that the real estate premium is a relevant risk factor in bank stocks returns. For instance, we find that a 100-basis-point increase to the real estate premium increases returns by 15.8 to 20.1 basis points for portfolios grouped by market capitalization. This conclusion remains when other oft-cited bank risk factors are considered, including small-minus-big, high-minus-low and the return on equity of the financial sector.

Short Selling Bans and Market Liquidity around the World: Evidence from the 2007-09 Crisis

Abstract: Most stock exchange regulators around the world have reacted to the financial crisis of 2007-2009 by imposing bans or regulatory constraints on short-selling by market participants. We use the large amount of evidence generated by the introduction and lifting of these bans to investigate the effects of short-selling bans on liquidity and price discovery. The enactment and lifting of bans at different dates in different countries, in some countries for financial stocks only, and often with different degrees of stringency, enables us to use panel data techniques to investigate their effects. We also investigate the cross-sectional effect of bans on liquidity of stocks with different market capitalization and different volatility. Finally, we analyze the effect of bans on other measures of market quality, such as price discovery and the skewness of stock returns. Short-selling is an integral part of the trading strategies of institutional investors, in particular hedge funds. Our research has the potential to show to regulators that banning short selling has detrimental effects on market quality and, as a result, it is not an appropriate policy action.

Analysis of Capital Market Performance and the Growth of the Nigerian Economy: A Cointegration Approach

Abstract: This study investigated the impact of the capital market performance on the growth of the Nigeria economy To carry out this investigation, the researcher used the real gross domestic product (as a proxy for development indicator) on the market capitalization, newissues, value of shares traded and turnover ratio as capital market indicators The cointegration approach was used for the analysis of data The results show that there exist a longrun relationship between the growth of GDP and the capital market indicators The gross domestic product is positively and significantly related to the one period lag of the capital market indicators The lagged error correction term (ECTt-1) is significant and has the expected negative sign confirming the existence of longrun relationship between the dependent and explanatory variables The causality test shows that capital market indicators namely, market capitalization and value of shares traded granger causes the growth of GDP The researcher therefore calls for boosting of the activities of capital market through public enlightenment campaign and more relaxation of entry requirement into the Nigerian Stock Exchange This is necessary for the continuous growth of the economy

Intellectual capital disclosure determinants and its effects on the market capitalization: evidence from Indonesian listed companies

Abstract: In the current era of knowledge economy, intellectual capital (IC) is the main source of company’s competitive advantage. The role of IC has become one of the main factors of company’s value creation process. Since companies rely more on their intangibles (including IC), management must provide an appropriate annual report in which discloses information regarding IC in order to give a better information to the related parties. The aim of this study is to examine variables that expected to have a significant influence to the level of intellectual capital disclosure (ICD) practices in Indonesian listed companies’ annual reports. A content analysis method is used to examine the ICD level, based on the framework developed by Li et al. (2008). The IC information was collected from 135 Indonesian LQ45 listed companies, which derived from their annual reports from the year 2012 to 2014. Sample companies are classified into two groups of industries: high- and low profile industries in order to analyze differences in IC reporting practices between the two groups. The empirical results proved that company size, industry type and market capitalization are significantly associated with the ICD, while it is shown that the influence of company profitability on the level of ICD is not significant. Furthermore, it is revealed that there is no significant difference with regard to the intellectual capital disclosure practices between companies in high- and low-profile industries.

The Predictive Power of Stock Market Indicators

Abstract: Empirical research has cast so much doubt on chart readers that most capital theorists have about as much faith in charts as astronomers have in astrology. Certainly there is overwhelming evidence that attempting to predict future price changes on the basis of past price behavior is unproductive. There is, however, another aspect of technical analysis which has received much less attention from academicians. In its narrow form technical analysis seeks to forecast the direction of price movements of individual securities from past price and volume data. A second and somewhat broader type of technical analysis concentrates on the prediction of general market movements and trends relying on a broader set of information. Various market indicators are said to offer signals useful in forecasting future prices. One type seeks to measure investor sentiment through what might be called mood variables. A second type of indicator is more closely related to fundamental factors affecting future supply and demand for securities. Both types of indicators, however, are designed to be used in predicting future market movements rather than the movements of individual stock prices. This is to be contrasted with fundamental analysis which is concerned with predicting future prices of individual securities by analyzing the underlying factors related to the firm's future profitability. Most of the prior work with market indicators takes one or another proposed market indicator and examines the historical relation, between the indicator and some market index such as the Dow Jones Industrial Average.