Showing papers on "Stock (geology) published in 2015"
TL;DR: An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns as mentioned in this paper, and with a few exceptions, the Q-Factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3 factor model and the Carhart (1997) 4 factor model in capturing the remaining significant anomalies.
Abstract: An empirical q-factor model consisting of the market factor, a size factor, an investment factor, and a profitability factor largely summarizes the cross section of average stock returns. A comprehensive examination of nearly 80 anomalies reveals that about one-half of the anomalies are insignificant in the broad cross section. More importantly, with a few exceptions, the q-factor model's performance is at least comparable to, and in many cases better than that of the Fama-French (1993) 3-factor model and the Carhart (1997) 4-factor model in capturing the remaining significant anomalies.
1,125 citations
TL;DR: In this paper, a five-factor model that adds profitability (RMW) and investment (CMA) factors to the three factor model of Fama and French (1993) suggests a shared story for several average-return anomalies.
Abstract: A five-factor model that adds profitability (RMW) and investment (CMA) factors to the three-factor model of Fama and French (1993) suggests a shared story for several average-return anomalies. Specifically, positive exposures to RMW and CMA (returns that behave like those of the stocks of profitable firms that invest conservatively) capture the high average returns associated with low market β, share repurchases, and low stock return volatility. Conversely, negative RMW and CMA slopes (like those of relatively unprofitable firms that invest aggressively) help explain the low average stock returns associated with high β, large share issues, and highly volatile returns.
605 citations
29 Oct 2015
TL;DR: The presented paper modeled and predicted China stock returns using LSTM and improved the accuracy of stock returns prediction from 14.3% to 27.2% compared with random prediction method.
Abstract: Prediction of stock market has attracted attention from industry to academia [1, 2]. Various machine learning algorithms such as neural networks, genetic algorithms, support vector machine, and others are used to predict stock prices.
455 citations
TL;DR: The authors investigated whether short-termism distorts the investment decisions of stock market-listed firms and found that public firms invest substantially less and are less responsive to changes in investment opportunities, especially in industries in which stock prices are most sensitive to earnings news.
Abstract: We investigate whether short-termism distorts the investment decisions of stock market-listed firms. To do so, we compare the investment behavior of observably similar public and private firms, using a new data source on private U.S. firms and assuming for identification that closely held private firms are subject to fewer short-termist pressures. Our results show that compared with private firms, public firms invest substantially less and are less responsive to changes in investment opportunities, especially in industries in which stock prices are most sensitive to earnings news. These findings are consistent with the notion that short-termist pressures distort investment decisions.
375 citations
01 Jan 2015
331 citations
TL;DR: The authors investigated the role of oil prices in predicting stock returns and found that both positive and negative oil price changes are important predictors of US stock returns, with negative changes relatively more important.
312 citations
TL;DR: In this paper, the authors use intraday data to compute weekly realized moments for equity returns and study their time-series and cross-sectional properties, finding a strong relation between realized volatility and next week's stock returns.
280 citations
TL;DR: This article constructed a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal and found that news implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars and financial crises.
Abstract: We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars and financial crises. In US post-war data, periods when NVIX is high are followed by periods of above average stock returns, even after controlling for contemporaneous and forward-looking measures of stock market volatility. News coverage related to wars and government policy explains most of the time variation in risk premia our measure identifies. Over the longer 1890-2009 sample that includes the Great Depression and two world wars, high NVIX predicts high future returns in normal times, and rises just before transitions into economic disasters. The evidence is consistent with recent theories emphasizing time variation in rare disaster risk as a source of aggregate asset prices fluctuations.
278 citations
TL;DR: In this paper, the authors provide empirical evidence on the positive effect of non-executive employee stock options on corporate innovation and find that stock options foster innovation mainly through the risk-taking incentive, rather than the performance-based incentive created by stock options.
274 citations
TL;DR: In this paper, the authors test whether mandatory IFRS adoption affects firm-level "crash risk" defined as the frequency of extreme negative stock returns, and they find that adoption decreases crash risk among non-financial firms, especially among firms in poor information environments and in countries where the adoption results in larger and more credible changes to local GAAP.
Abstract: We test whether mandatory IFRS adoption affects firm-level “crash risk,” defined as the frequency of extreme negative stock returns. We separately analyze nonfinancial firms and financial firms because IFRS is likely to affect their crash risk differently. We find that IFRS adoption decreases crash risk among nonfinancial firms, especially among firms in poor information environments and in countries where IFRS adoption results in larger and more credible changes to local GAAP. In contrast, IFRS adoption has no effect on crash risk for financial firms, on average, but decreases crash risk among firms less affected by IFRS's fair value provisions, and increases crash risk among banks in countries with weak banking regulations. Overall, our results are consistent with the increased transparency from IFRS adoption broadly reducing crash risk among nonfinancial firms, but more selectively among financial firms, and with financial regulations playing a complementary role in implementing IFRS among f...
250 citations
TL;DR: In this article, the authors used the VAR-GARCH framework of Ling and McAleer (2003) to explore both return and volatility spillovers between world gold prices and stock market in China over the period from March 22, 2004 through March 31, 2011.
TL;DR: In this article, the authors examine the value effect of working capital management for a large sample of US firms between 1982-2011 and find that firms that converge to that optimal level (either by increasing or decreasing their investment in working capital) improve their stock and operating performance.
TL;DR: In this article, the authors show that the environment more strongly influences recruitment than spawning biomass over the observed stock sizes for many stocks in the RAM Legacy Stock Assessment Database, and that spawning biomass may not drive recruitment dynamics.
Abstract: Assumptions about the future productivity of a stock are necessary to calculate sustainable catches in fisheries management. Fisheries scientists often assume the number of young fish entering a population (recruitment) is related to the biomass of spawning adults and that recruitment dynamics do not change over time. Thus, managers often use a target biomass based on spawning biomass as the basis for calculating sustainable catches. However, we show recruitment and spawning biomass are not positively related over the observed range of stock sizes for 61% of 224 stocks in the RAM Legacy Stock Assessment Database. Furthermore, 85% of stocks for which spawning biomass may not drive recruitment dynamics over the observed ranges exhibit shifts in average recruitment, which is often used in proxies for target biomasses. Our results suggest that the environment more strongly influences recruitment than spawning biomass over the observed stock sizes for many stocks. Management often endeavours to maintain stock sizes within the observed ranges, so methods for setting management targets that include changes within an ecosystem may better define the status of some stocks, particularly as climate changes.
TL;DR: In this article, the authors examined the link between economic policy uncertainty and stock price in both a time and frequency domain and found that the relationship is generally negative but changes over time exhibiting low to high frequency cycles.
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TL;DR: This paper found that stock prices co-move more in culturally tight (loose) and collectivistic (individualistic) countries, and that individualism is mostly associated with higher firm-specific variations.
TL;DR: This paper examined the determinants of out-of-sample predictability for each sector using industry characteristics and found strong evidence that return predictability has links to certain industry characteristics, such as book-to-market ratio, dividend yield, size, price earnings ratio, and trading volume.
TL;DR: In this paper, the significance of all available building attributes were analyzed to decide if classification is at all a feasible method, and, if so, which aspects should be considered. But, the authors pointed out that there is a strong interdependence between energy consumption, compactness, and building age.
TL;DR: In this article, the authors present a project to map, in a high level of detail, the in-use construction material stocks of Japan and its 47 prefectures from the 1940s until the present era.
Abstract: In order to fully comprehend the socioeconomic metabolic (SEM) dynamics and material balance of nations, long-term accounting of economy-wide material stock is necessary in parallel to material flow accounts. Nevertheless, material stock accounts have been scarce, isolated, and mostly focused either on single materials, short time spans, or small regions. This study has two objectives: (1) review the state of the art of material stock research in the SEM discourse and (2) present a project to map, in a high level of detail, the in-use construction material stocks of Japan and its 47 prefectures from the 1940s until the present era. This project documents the two major depositories of material stock: buildings and infrastructure. We describe the challenges and benefits of utilizing a bottom-up approach, in order to promote its usage in material stock studies. The resulting database presents the accumulation of stock over time, as well as visually displaying the spatial distribution of the stock using geographical information systems (GIS), which, we argue, is an essential aspect of material stock analysis in the context of socioeconomic metabolism research
TL;DR: In this paper, the authors employ the VARMA-AGARCH model within the context of BEKK framework using West Texas Intermediate (WTI) and Brent as proxies for oil market and S&P stocks as a proxy for US stock market.
TL;DR: In this article, an empirical investigation of the effect of the European Union's Emissions Trading Scheme (ETS) on German stock returns has been conducted, showing that firms that received free carbon emission allowances on average significantly outperformed firms that did not.
Abstract: This paper provides an empirical investigation of the effect of the European Union’s Emissions Trading Scheme on German stock returns. We find that, during the first few years of the scheme, firms that received free carbon emission allowances on average significantly outperformed firms that did not. This suggests the presence of a large and statistically significant “carbon premium,” which is mainly explained by the higher cash flows due to the free allocation of carbon emission allowances. A carbon risk factor can also explain part of the cross-sectional variation of stock returns as firms with high carbon emissions have higher exposure to carbon risk and exhibit higher expected returns.
TL;DR: In this paper, the authors uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small minus big, which has the right covariance with bank returns to explain the average risk-adjusted returns.
Abstract: The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small minus big, which has the right covariance with bank returns to explain the average risk-adjusted returns. This factor measures size-dependent exposure to bank-specific tail risk. These findings are consistent with government guarantees that protect shareholders of large banks, but not small banks, in disaster states.
TL;DR: In this paper, the authors take stock of public service motivation research to identify achievements, challenges, and an agenda for research to build on progress made since 1990, and take stock on extant proposals to strengthen research.
Abstract: This article takes stock of public service motivation research to identify achievements, challenges, and an agenda for research to build on progress made since 1990. After enumerating achievements and challenges, the authors take stock of progress on extant proposals to strengthen research. In addition, several new proposals are offered, among them conducting more research on the disaggregated construct, developing grounded theory of public service motivation to understand contextual variations across cultures and political institutions, and improving current measures to better capture loyalty to governance regime as an institutional dimension of the public service motivation construct.
TL;DR: In this paper, an empirical investigation of the effect of the European Union's emissions trading scheme on German stock returns was conducted and the authors found that firms that received free carbon emission allowances on average significantly outperformed firms that did not.
Abstract: This paper provides an empirical investigation of the effect of the European Union's Emissions Trading Scheme on German stock returns. We find that, during the first few years of the scheme, firms that received free carbon emission allowances on average significantly outperformed firms that did not. This suggests the presence of a large and statistically significant "carbon premium," which is mainly explained by the higher cash flows due to the free allocation of carbon emission allowances. A carbon risk factor can also explain part of the cross-sectional variation of stock returns as firms with high carbon emissions have higher exposure to carbon risk and exhibit higher expected returns.
TL;DR: This paper analyzed 1334 estimates from 67 studies that examine the effect of financial development on economic growth and found that both research design and heterogeneity in the underlying effect play a role in explaining the differences in results.
Abstract: We analyze 1334 estimates from 67 studies that examine the effect of financial development on economic growth. Taken together, the studies imply a positive and statistically significant effect, but the individual estimates vary widely. We find that both research design and heterogeneity in the underlying effect play a role in explaining the differences in results. Studies that do not address endogeneity tend to overstate the effect of finance on growth. While the effect seems to be weaker in less developed countries, the effect decreases worldwide after the 1980s. Our results also suggest that stock markets support faster economic growth than other financial intermediaries.
TL;DR: This paper showed that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones Industrial Index and increase selling propensities of institutions, and investor optimism positively impacts stock returns among stocks with higher arbitrage costs, and stocks experiencing similar investor mood exhibit return comovement.
Abstract: This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. Using survey and disaggregated trade data, we show that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones Industrial Index and increase selling propensities of institutions. We introduce stock-level measures of investor mood; investor optimism positively impacts stock returns among stocks with higher arbitrage costs, and stocks experiencing similar investor mood exhibit return comovement. These findings complement existing studies on how weather impacts stock index returns and identify another channel through which it can manifest.
TL;DR: This paper found that a firm's investment is highly sensitive to the investments of other firms headquartered nearby, even those in very different industries, and that firms' investment also responds to fluctuations in the cash flows and stock prices of local firms outside its sector.
Abstract: We find that a firm's investment is highly sensitive to the investments of other firms headquartered nearby, even those in very different industries. A firm's investment also responds to fluctuations in the cash flows and stock prices (q) of local firms outside its sector. These patterns do not appear to reflect exogenous area shocks such as local shocks to labor or real estate values, but rather suggest that local agglomeration economies are important determinants of firm investment and growth.
TL;DR: In this paper, the authors used a regulatory experiment (Regulation SHO) that relaxes short-selling constraints on a random sample of U.S. stocks to test whether capital market frictions have an effect on stock prices and corporate decisions.
Abstract: We use a regulatory experiment (Regulation SHO) that relaxes short-selling constraints on a random sample of U.S. stocks to test whether capital market frictions have an effect on stock prices and corporate decisions. We find that an increase in short-selling activity causes prices to fall, and that small firms react to these lower prices by reducing equity issues and investment. These results not only provide evidence that short-selling constraints affect asset prices, but also confirm that short-selling activity has a causal impact on financing and investment decisions.
TL;DR: In this article, the authors investigated the nonlinear dynamic co-movements between gold returns, stock market returns and stock market volatility during the recent global financial crisis for the UK (FTSE 100), the US (SP both of these relationships are further investigated in the multivariate nonlinear settings by including changes in the three-month LIBOR rates.
TL;DR: In this paper, the authors show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable and that this predictability holds both in-sample and out-of-sample tests.
Abstract: In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable. While we discover that this predictability holds both in in-sample and out-of-sample tests, predictability is not homogenous. Some predictors are important than others and some industries and portfolios of stocks are more predictable and, therefore, more profitable than others. We also discover that a mean combination forecast approach delivers significant out-of-sample performance. Our results survive a battery of robustness tests.
TL;DR: This paper found that managers respond to a positive exogenous shock to short selling pressure and price sensitivity to bad news by reducing the precision of bad news forecasts and also reduce the readability (or increase the fuzziness) of bad-news annual reports.
Abstract: Using a natural experiment (Regulation SHO), we show that short selling pressure and consequent stock price behavior have a causal effect on managers’ voluntary disclosure choices. Specifically, we find that managers respond to a positive exogenous shock to short selling pressure and price sensitivity to bad news by reducing the precision of bad news forecasts. This finding on management forecasts appears to be generalizable to other corporate disclosures. In particular, we find that, in response to increased short selling pressure, managers also reduce the readability (or increase the fuzziness) of bad news annual reports. Overall, our results suggest that maintaining the current level of stock prices is an important consideration in managers’ strategic disclosure decisions.