Topic
Stock (geology)
About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.
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TL;DR: This article provided a simple stochastic OLG model with a cyclical structure which generates cyclical P/E ratios and calibrate the model to roughly fit the cyclical features of historical P /E ratios.
Abstract: Stock market price/earnings ratios should be influenced by demography. Since demography is predictable, stock returns should be as well. We provide a simple stochastic OLG model with a cyclical structure which generates cyclical P/E ratios. We calibrate the model to roughly fit the cyclical features of historical P/E ratios.
209 citations
TL;DR: It is found that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales, so the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed.
Abstract: Understanding correlations in complex systems is crucial in the face of turbulence, such as the ongoing financial crisis. However, in complex systems, such as financial systems, correlations are not constant but instead vary in time. Here we address the question of quantifying state-dependent correlations in stock markets. Reliable estimates of correlations are absolutely necessary to protect a portfolio. We analyze 72 years of daily closing prices of the 30 stocks forming the Dow Jones Industrial Average (DJIA). We find the striking result that the average correlation among these stocks scales linearly with market stress reflected by normalized DJIA index returns on various time scales. Consequently, the diversification effect which should protect a portfolio melts away in times of market losses, just when it would most urgently be needed. Our empirical analysis is consistent with the interesting possibility that one could anticipate diversification breakdowns, guiding the design of protected portfolios.
209 citations
TL;DR: In this paper, the authors investigated the short and long-run behavior of major emerging Central European (Poland, Czech Republic, Hungary, Slovakia) and developed (Germany, US) stock markets and assessed the impact of the EMU on stock market linkages.
209 citations
TL;DR: In this paper, the authors studied the time-series properties and the determinants of the options/stock trading volume ratio (O/S) using a comprehensive cross-section and time series of data on equities and their listed options.
209 citations
TL;DR: In this article, the authors examine the link between the liquidity of a firm's stock and its ownership structure, specifically, how much of the stock is owned by insiders and institutions, and how concentrated is their ownership.
209 citations