Showing papers on "Stock (geology) published in 2022"
TL;DR: The RA-AGAT architecture is capable of surpassing the previously applicable methods in the prediction and recommendation of stock return ratio and verified the practicality and applicability of the application of graph models in finance.
24 citations
30 Jan 2022
TL;DR: In this article, the authors argue that the deterioration of book-to-market ratio is related to the growth of intangible assets unrecorded on balance sheets, and propose an intangible-adjusted ratio, capitalizing prior expenditures to develop intangible assets internally and excluding goodwill, outperforms the original ratio significantly.
Abstract: The book-to-market ratio has been widely used to explain the cross-sectional variation in stock returns, but the explanatory power is weaker in recent decades than in the 1970s. I argue that the deterioration is related to the growth of intangible assets unrecorded on balance sheets. An intangible-adjusted ratio, capitalizing prior expenditures to develop intangible assets internally and excluding goodwill, outperforms the original ratio significantly. The average annual return on the intangible-adjusted highminus-low (iHML) portfolio is 5.9% from July 1976 to December 2017 and 6.2% from July 1997 to December 2017, vs. 3.9% and 3.6% for an equivalent HML portfolio.
21 citations
TL;DR: In this article, a metric of decarbonization selling pressure (DSP) on stocks is calculated and the authors find that high DSP sustainably pressures stock prices downwards, and that divested firms experiencing a stock price decline subsequently reduce their carbon emissions compared to non-divested firms.
Abstract: This study seeks to determine whether mutual fund decarbonization affects the stock prices of divested firms and contributes to the reduction of these firms’ carbon emissions. Using a new methodology to identify equity mutual funds’ decarbonization trades, we calculate a metric of decarbonization selling pressure (DSP) on stocks. Controlling for endogeneity and selection bias, we find that high DSP sustainably pressures stock prices downwards. Furthermore, we find that divested firms experiencing a stock price decline subsequently reduce their carbon emissions compared to non-divested firms. This finding is consistent with theoretical predictions. Various tested alternative explanations, such as shareholder intervention and financial selling pressure, cannot diminish these results. Overall, our findings support the divestment movement's hope that a critical mass of investors is able to reduce carbon emissions.
20 citations
TL;DR: Wang et al. as discussed by the authors proposed a Graph Attention Long Short-Term Memory (GALSTM) model to learn the correlations between stocks and predict their future prices automatically.
18 citations
TL;DR: Wang et al. as discussed by the authors investigated the effect of stock market liberalization on stock price synchronicity and found that the implementation of the Shanghai-Hong Kong Stock Connect (SHSC) significantly reduced stock price synchronization of eligible firms listed in the Shanghai Stock Exchange, and this effect mainly exists in listed firms with a lower degree of openness.
13 citations
TL;DR: Wang et al. as mentioned in this paper proposed a two-layer SIR propagation model with an infective medium to analyze the spread of financial shocks in stock markets, where capital cannot flow directly between layers but through the Hong Kong stock market.
Abstract: Stock networks, which are constructed from stock price time series, are useful tools for analyzing complex behaviors in stock markets. Following former researches, the epidemic model has been usually used to detect dynamic characteristics in a stock price complex systems. Recently, multilayer networks have been demonstrated well when working on heterogeneous nodes rather than integrated networks. In this paper, we proposed a two-layer SIR propagation model with an infective medium to analyze the spread of financial shocks. In consideration of strict financial regulation in the A shares, the model assumed that capital cannot flow directly between layers but through the Hong Kong stock market. By applying the model to constituent stocks included in three prominent indices, Standard & Poor 500, Shanghai and Shenzhen 300, and Hang Seng(medium), we established a two-layer Granger networks. Betweenness showed that the Hong Kong stock market had a promoting transition function of financial shocks between the US stock markets and the mainland China stock markets. In addition, with a big basic reproduction number, stock markets system appeared to be vulnerable during extreme financial shock such as the outbreak of COVID-19 epidemic and the meltdown of stock markets. Furthermore, sensitivity analysis and the spreading simulation indicated that the US stock markets were much more robust to financial shocks than the mainland China stock markets.
10 citations
TL;DR: In this paper, the authors investigate whether a startup's built-up capacity pre-COVID-19 can stimulate corporate immunity to endure the impact of the COVID-2019 pandemic, reflected via stock performance.
10 citations
TL;DR: The recent commitment towards a net-zero target by 2050 will require considerable improvement to the UK’s building stock as mentioned in this paper, accounting for over 10% of the services energy consumption of the United Kingdom.
Abstract: The recent commitment towards a net-zero target by 2050 will require considerable improvement to the UK’s building stock. Accounting for over 10% of the services energy consumption of the United Ki...
9 citations
TL;DR: Wang et al. as mentioned in this paper applied the log-periodic power law singularity (LPPLS) methodology based on multilevel time series to unravel the underlying mechanisms of the 2020 global stock market crash by analyzing the trajectories of 10 major world stock market indexes.
Abstract: Starting on February 20, 2020, the global stock markets began to suffer the worst decline since the Great Recession in 2008, and the COVID-19 has been widely blamed on the stock market crashes. In this study, we applied the log-periodic power law singularity (LPPLS) methodology based on multilevel time series to unravel the underlying mechanisms of the 2020 global stock market crash by analyzing the trajectories of 10 major world stock market indexes from both developed and emergent stock markets, including the S&P 500, the DJIA, and the NASDAQ from the United State, the FTSE from the United Kingdom, the DAX from Germany, the NIKKEI from Japan, the CSI 300 from China, the HSI from Hong Kong, the BSESN from India, and the BOVESPA from Brazil. In order to effectively distinguish between endogenous crash and exogenous crash in stock market, we proposed using the LPPLS confidence indicator as a classification proxy. The results show that the apparent LPPLS bubble patterns of the super-exponential increase, corrected by the accelerating logarithm-periodic oscillations, have indeed presented in the price trajectories of the seven indexes: S&P 500, DJIA, NASDAQ, DAX, CSI 300, BSESN, and BOVESPA, indicating that the large positive bubbles have formed endogenously prior to the 2020 stock market crash, and the subsequent crashes for the seven indexes are endogenous, stemming from the increasingly systemic instability of the stock markets inherently, while the well-known external shocks, such as the COVID-19 pandemic, the corporate debt bubble, and the 2020 Russia–Saudi Arabia oil price war, only served as sparks during the 2020 global stock market crash. In contrast, the crashes in the three remaining indexes: FTSE, NIKKEI, and HSI, are exogenous and hence are perhaps the only crashes truly due to the COVID-19 pandemic. We also found that in terms of the regime changes of the stock markets, no obvious LPPLS negative bubble pattern has been observed in the price trajectories of the 10 stock market indexes, indicating that the regime changes from a bear market to a bull market in late March 2020 are exogenous, stemming from external factors. The unprecedented market and economy rescue efforts from federal reserves and central banks across the world in unison may have played a critical role in quelling the 2020 global stock market crash in the nick of time. This paper creates a paradigm for future studies in real-time crash detection and underlying mechanism dissection. It serves to warn us of the imminent risks in not only the stock market but also other financial markets and economic indexes.
9 citations
TL;DR: In this article, the authors investigate the changes that have taken place in recent cockle fishing decades and verify the degree of contentment of these fishers with the rules for cockle fisheries during the current pandemic period.
7 citations
01 Jan 2022
TL;DR: In this article, the authors investigated the effect of essential information and disposition effect on shifting decision investment with the character investors moderation as the moderator variable and found that essential information for investors in the pandemic era can increase the disposition effect in deciding beneficial share ownership.
Abstract: The current pandemic era has given uncertainty to the countrys economic growth and resulted in many countries experiencing a drastic decline in share prices. This condition impacts investors perceptions of the funds that have invested in the stock market. This study investigates the effect of essential information and disposition effect on shifting decision investment with the character investors moderation as the moderator variable. A survey was conducted on 252 investors who have invested in the Indonesian stock exchange. The Data processing used the partial least square (PLS) technique. This study indicates that essential information for investors in the pandemic era can increase the disposition effect in deciding beneficial share ownership. The essential information obtained by investors in the covid era regarding stock market movements and its internal performance in the stock market list can increase investor shifting decisions. The disposition effect can have a significant effect on shifting decision investors. Essential information related to stock price movements and its internal performance affects investors courage to take risks and provide optimism for shifting decisions. Then the investor type does not affect the disposition effect on shifting decisions. This study contributes to the theory of financial behavior in decision making by considering psychological factors when uncertainty exists in the stock market.
TL;DR: The authors developed a method to extract only the priced factors from stock returns and used principal component analysis (PCA) to extract factors from the portfolio returns, based on the expected expected returns.
TL;DR: Wang et al. as mentioned in this paper proposed a novel framework that combines sentiment tone features extracted from comments on online stock forums, management discussion and analysis, and financial statement notes, to predict financial distress.
TL;DR: In this article, the authors investigate the dynamic conditional correlations (DCCs) with leverage effects and volatility spillover effects that consider time difference and long memory of returns, between the Chinese and US stock markets, in the Sino-US trade friction and previous stable periods.
TL;DR: In this article, the impact of oil price shocks on global equities is examined, focusing on the heterogeneity of responses to stocks depending on three characteristics: the type of the shock; whether the country is an oil importer/exporter; the bull/bear state of the stock market.
TL;DR: In this paper, the authors examined dynamic co-movements and portfolio management strategies between UK stock indices (aggregate market index and sector indices) and each of gold and crude oil futures markets, during the Brexit referendum (2016) and the Brexit day (2021).
TL;DR: In this article, the authors used crowdsourced employee satisfaction reviews mentioning the COVID-19 Pandemic to determine the impact on abnormal stock returns for public firms from March-December 2020.
TL;DR: In this article, Li et al. investigated the effects of information diffusion from the demand-side, i.e., investors' voluntary demand for firm-specific information proxied by Baidu Search Volume Index.
TL;DR: In this article, a cointegrating smooth transition regression approach using a global shadow rate as the transition variable was applied to take into account the possible effects of unconventional monetary policy measures on the oil-stock price linkage.
TL;DR: In this paper, the authors examined the effect of disclosure quality on price delay and price delay determined by disclosure quality in the Taiwan stock market and found that higher disclosure quality can reduce stock price delay through more investor attention and higher stock liquidity after controlling for accounting quality variables.
01 Jan 2022
TL;DR: In this article, the authors inspect the algorithms and techniques that are useful for making accurate predictions of stock prices and suggest new models that can make good estimations of the stock prices.
Abstract: Due to the non-linear and highly volatile nature of the Stock market, it has become a very challenging task for researchers to make accurate predictions. Improving the efficiency of predictions has become the main goal of many researchers. From the traditional approach of working with historical dossiers to using the latest machine learning and deep learning techniques, researchers are busy finding out the best possible ways of accurate predictions. Many new models are suggested that can make good estimations of stock prices. Investors are interested in knowing both the immediate next-day prices and as well as future share prices in the long run. This paper inspects the algorithms and techniques that are useful for making accurate predictions.
TL;DR: In this paper, the authors investigate the connectedness between the oil market and the European stocks, as well as to discover the way the news between the commodity and stock markets are transmitted, and prove that, in the investigated period, oil shocks did not affect European financial markets very strongly (and vice versa).
TL;DR: In this paper, a multi-scale Productivity and Susceptibility Analysis (PSA) model was developed to identify important local differences in stock susceptibility to fishing activities, habitat degradation, and other factors.
01 Jan 2022
TL;DR: In this article, asset pricing in capital markets is a strikingly vibrant area of academic research and is considered as an indicator to evaluate the efficiency of stock markets, though the explanation for the seas...
Abstract: Asset pricing in capital markets is a strikingly vibrant area of academic research and is considered as an indicator to evaluate the efficiency of stock markets. Though the explanation for the seas...
TL;DR: In this paper, the authors evaluated the impact of novel COVID-19 on the returns and volatility of Indian stock markets with special reference to equity investment strategies of the Bombay Stock Exchange.
Abstract: The aim of the paper is to evaluate the impact of novel COVID-19 on the returns and volatility of Indian stock markets with special reference to equity investment strategies of the Bombay Stock Exchange. For the purpose of evaluating the impact, the study has applied GARCH. The research has considered a time frame from March 2015 to January 2021. Prior to implementing GARCH model, pre-estimation tests (i.e., augmented Dickey-Fuller and ARCH-Lagrange multiplier) were conducted. Outcomes clearly indicate that the returns during the crisis for all the strategy indices have been negative, which means that the COVID-19 outbreak resulted in massive losses. Additionally, 'during crisis' period showed an increase in volatility for all the strategy indices depicting that the pandemic has a long-lasting effect and will take time to fade off. This research will help the investors in the investment decision process by giving them insights about the different strategies. © 2021.
01 Jan 2022
TL;DR: In this article, the impact of liquidity risk on financial performance of Jordanian banks has been investigated, where liquidity risk was measured by (Liquidity ratio, net working capital, cash and investment ratio to total deposits), and financial performance was also measured through the index (return on assets) and the modifying variable (bank size) measured by the natural logarithm of total assets was also added.
Abstract: This study aimed to determine the impact of liquidity risk on financial performance of Jordanian banks, where liquidity risk was measured by (Liquidity ratio, net working capital, cash and investment ratio to total deposits), and financial performance was also measured through the index (return on assets) and the modifying variable (bank size) measured through the natural logarithm of total assets was also added. To achieve the objectives of the study, the analytical quantitative approach was adopted. The study community consisted of all 13 commercial banks listed on the Amman Stock Exchange. All banks in the study community were selected as a study sample using the comprehensive survey method, and the statistical analysis program (SPSS) was used to test the study hypotheses. Based on the results of the statistical analysis, it was found that there was an impact of liquidity risk on financial performance measured by return on assets in Jordanian commercial banks listed on Amman Stock Exchange, and there was an impact for each of (current liquidity ratio, net working capital, cash and investment ratio to total deposits) on financial performance measured by return on assets in Jordanian commercial banks listed on Amman Stock Exchange. It was also found that the size of the bank contributes to modifying the effect of liquidity risk on financial performance measured by return on assets in Jordanian commercial banks listed on Amman Stock Exchange. The study concluded a set of recommendations, the most important of which are: commercial bank administrations should increase interest in exploiting their liquidity within acceptable risk limits to reach optimal ratios for financial performance by balancing the returns to be achieved with the potential risks of such expenses in a way that ensures the positive impact of liquidity risk on the financial performance of those banks.
TL;DR: The authors developed a terrorism risk factor and showed its statistical and economic relevance to stock returns using time-series data from 40 stock markets around the world, and showed that their terrorism factor has a statistically strong contemporaneous effect on countries' stock returns and is able to predict returns for approximately 53% of the countries in their sample.
TL;DR: In this paper, the authors examined the non-marketability discount in stock prices due to the one-day trading lock-up and showed that the non marketability discount is negatively correlated with stock liquidity and positively correlated with warrant liquidity.
TL;DR: In this paper, the authors show that data breaches involving customer data have a negative impact on stock value and that an apology for a data breach has no or a positive impact on investor behavior.