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.
Papers published on a yearly basis
Papers
More filters
Posted Content•
TL;DR: In this paper, the authors examined the relationship between bank-specific and macroeconomic characteristics over bank profitability by using data of top fifteen Pakistani commercial banks over the period 2005-2009.
Abstract: The purpose of this research is to examine the relationship between bank-specific and macro-economic characteristics over bank profitability by using data of top fifteen Pakistani commercial banks over the period 2005-2009. This paper uses the pooled Ordinary Least Square (POLS) method to investigate the impact of assets, loans, equity, deposits, economic growth, inflation and market capitalization on major profitability indicators i.e., return on asset (ROA), return on equity (ROE), return on capital employed (ROCE) and net interest margin (NIM) separately. The empirical results have found strong evidence that both internal and external factors have a strong influence on the profitability. The results of the study are of value to both academics and policy makers.
359 citations
TL;DR: In this article, the authors developed a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies in the stock market, where stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables.
Abstract: This article develops a framework that applies to single securities to test whether asset pricing models can explain the size, value, and momentum anomalies. Stock level beta is allowed to vary with firm-level size and book-to-market as well as with macroeconomic variables. With constant beta, none of the models examined capture any of the market anomalies. When beta is allowed to vary, the size and value effects are often explained, but the explanatory power of past return remains robust. The past return effect is captured by model mispricing that varies with macroeconomic variables. The capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965) has long been a basic tenet of finance. However, subsequent work by Basu (1977), Banz (1981), Jegadeesh (1990), and Fama and French (FF) (1992) suggests that cross-sectional differences in average returns are determined not only by the market risk, as prescribed by the CAPM, but also by firm-level market capitalization, book-to-market, and prior return. Some interpret the predictive ability of these variables as evidence against market efficiency. Support for market efficiency has been provided by Fama–French (1993, 1996) who show that, except for the momentum effect, the impact of security characteristics on expected returns can be explained within a risk-based multifactor model. However, there is still an ongoing debate about whether expected returns are explained by risk factors or by non-risk firm characteristics. The failure of the CAPM has also been attributed to its static nature, and, thus, to its incomplete description of asset prices. Indeed, both theoretical and empirical work support the use of dynamic pricing models. For example, Hansen and Richard (1987) show that even if the static CAPM fails, a dynamic version of the CAPM could be perfectly valid. In addition, Gomes, Kogan, and Zhang (henceforth GKZ) (2003) develop a
341 citations
TL;DR: In this paper, the authors examined the relationship between corporate governance behavior and market value for a sample of 21 Russian firms and found that a worst (51 ranking) to best (7 ranking) governance improvement predicts a 700-fold increase in firm value.
333 citations
TL;DR: In this paper, a simple statistical model explains price differences between securities that differ in resale provisions-in particular, restricted securities, which can be sold only after a two-year holding period, are compared with publicly traded securities of the same company.
Abstract: A simple statistical model explains price differences between securities that differ in resale provisions-in particular, restricted securities, which can be sold only after a two-year holding period, are compared with publicly traded securities of the same company. The discount on restricted stock varies directly with the amount of restricted stock relative to publicly traded stock and inversely with the credit-worthiness of the issuing company. That credit-worthy companies must offer price discounts of more than 30 per cent to sell a significant block of restricted stock illustrates the importance of liquidity to the valuation of common stock.
316 citations
TL;DR: In this paper, the authors show that the evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns.
Abstract: The book-to-market ratio, B/M, is a noisy measure of expected stock returns because B/M also varies with expected cashflows. Our hypothesis is that the evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns. The tests support this hypothesis, with results that are largely but not entirely similar for Microcap stocks (below the 20th NYSE market capitalization percentile) and All but Micro stocks.
306 citations