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Stock exchange
About: Stock exchange is a research topic. Over the lifetime, 39566 publications have been published within this topic receiving 612044 citations.
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TL;DR: In this paper, the average discount for RIS shares relative to their floating counterpart is 77.93% and 85.59%, respectively based on auction and private transfers, and the price differences between RIS and common shares of the same company were analyzed.
Abstract: This paper provides evidence on the significant impact of illiquidity or non-marketability on security valuation. A typical listed company in China has several types of share outstanding: (i) common shares that are only tradable on stock exchanges, (ii) restricted institutional shares (RIS) that are not tradable and can only be tansferred privately or through irregularly scheduled auctions, and (iii) state shares that are only transferable privately. These types of share are indentical in every aspect, except that market regulations make state and RIS shares almost totally illiquid. Our analysis focuses on the price differences between RIS and common shares of the same company, using both auction and private-transfer transactions for RIS shares. Among our findings, the average discount for RIS shares relative to their floating counterpart is 77.93% and 85.59%, respectively based on auction and private transfers. The price for illiquidity is thus high, significantly raising the cost of equity capital. This illiquidity discount increases with both the floating shares' volatility and the firm's debt/ equity ratio, but decreases with firm size, return on equity, and book/price and earnings/price ratios (based on the floating share price). However, RIS share price can either increase or decrease with the quantity being transacted, depending on whether it is through a private placement or an auction.
145 citations
TL;DR: The authors examined the influence of investor sentiment on the probability of stock market crises and found that investor sentiment increases the likelihood of occurrence of a stock market crisis within a one-year horizon.
Abstract: We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a one-year horizon. The impact of investor sentiment on stock markets is more pronounced in countries that are culturally more prone to herd-like behavior, overreaction and low institutional involvement.
144 citations
TL;DR: In this paper, the authors identify the macroeconomic factors that influence Italian equity returns and test the stability of their relation with securities returns, and find that the relation between stock returns and macro economic factors is unstable: not only are the factor loadings of individual securities virtually uncorrelated over time, but a high percentage of the shares experience a reversal of the sign of the estimated loadings.
Abstract: This paper identifies the macroeconomic factors that influence Italian equity returns and tests the stability of their relation with securities returns. The relation between stock returns and the macroeconomic factors is found to be unstable: Not only are the factor loadings of individual securities virtually uncorrelated over time, but a high percentage of the shares experience a reversal of the sign of the estimated loadings. This result is not confined to single periods or to a small group of shares, but holds in different sub-periods and for securities in all risk classes. These findings suggest that research should carefully investigate the specification of the return generating process and the stability of the risk measures.
144 citations
TL;DR: In this paper, a pragmatic analysis of the Paris Bourse's closing prices is presented, where the authors focus on the material display of prices, on their capacity to stand as traces of some event and on the way they may suit a set of calculative conventions.
Abstract: This article contributes to a pragmatist analysis of pricing and valuation through an account of the production of closing prices at the Paris Bourse The Paris Bourse is an electronic stock exchange and the actors in charge of its technological configuration often need to face concerns about the quality of the prices that the configuration produces Closing prices are particularly important because they constitute references that circulate widely The author analyses how a problem of representativeness of closing prices was raised in the late 1990s and how several techniques aimed at solving it In order to deal with this problem of representativeness, the author proposes the consideration of prices as signs in a pragmatist manner Adapting Charles S Peirce's theory of the sign to the study of prices, the author concentrates attention on the material display of prices, on their capacity to stand as traces of some event, and on the way they may suit a set of calculative conventions
144 citations
TL;DR: The Structure of European Stock Returns as mentioned in this paper is a well-known model for analyzing stock market performance in the European stock market, and it has been used extensively in finance and economics.
Abstract: (1992). The Structure of European Stock Returns. Financial Analysts Journal: Vol. 48, No. 4, pp. 15-26.
144 citations