Stock (geology)

About: Stock (geology) is a research topic. Over the lifetime, 31009 publications have been published within this topic receiving 783542 citations.

The Relative Importance of Stock, Bond and Real Estate Factors in Explaining REIT Returns

Abstract: This papers offers a new approach to answering the question, "how much of a REIT's return is driven by real estate market influences, and how much by stock and bond factors?" Specifically, we develop a method that allows for the decomposition of the volatility of REIT returns into stock market, bond market, real estate market and idiosyncratic effects. Our results show that from 1978 to 1998, the REIT market has gone from being driven mostly by large cap stocks to being driven by both a small cap stock factor and a real estate factor. There is also a steady increase over time in the proportion of volatility not accounted for by any stock, bond or real estate factors. The analysis indicates that some of this this unaccounted for volatility is due to a REIT sector factor that is common to most REITs but independent of the stock, bond and real estate markets. Attempts to explain cross-sectional differences in the volatility determinants for different REITs meets with only limited success, although it seems that REITs with larger market capitalization are more like stocks.

Cheap talk on the web : the determinants of postings on stock message boards

Abstract: This paper examines the cross-sectional and time-series determinants of message-posting volume on stock message boards on the Web. I test whether variation in message-posting volume is just noise or is related to underlying firm characteristics and stock market activity. Using a sample of over 3,000 stocks listed on Yahoo! message boards, I find that cumulative posting volume is, on average, highest for firms with extreme past returns and accounting performance, high market capitalization, high price-earnings and market-to-book ratios, high volatility and trading volume, high analyst following and low institutional holdings. Changes in daily posting volume are associated with earnings-announcement events and daily changes in stock trading volume and returns. Overnight message-posting volume is found to predict changes in next day stock trading volume and returns. Rational and behavioral explanations for the observed pattern in message-posting activity are discussed.

Foreign ownership restrictions and market segmentation in china's stock markets

Abstract: We study market segmentation in China's stock markets, in which local firms issue two classes of shares: class A shares available only to Chinese citizens and class B shares available only to foreign citizens. Significant stock price discounts are documented for class B shares. We find that the price difference is primarily due to illiquid B-share markets. Relatively illiquid B-share stocks have a higher expected return and are priced lower to compensate investors for increased trading costs. However, between the two classes of shares, B-share prices tend to move more closely with market fundamentals than do A-share prices. Therefore, we find A-share premiums rather than B-share discounts in China's markets. JEL classification: G15

Margin Regulation and Stock Market Volatility

Abstract: Using daily and monthly stock returns we find no convincing evidence that Federal Reserve margin requirements have served to dampen stock market volatility. The contrary conclusion, expressed in recent papers by Hardouvelis (1988a,b), is traced to flaws in his test design. We do detect the expected negative relation between margin requirements and the amount of margin credit outstanding. We also confirm the recent finding by Schwert (1988) that changes in margin requirements by the Fed have tended to follow rather than lead changes in market volatility. AFTER 55 YEARS, STOCK MARKET margin requirements are again a source of controversy. The Securities and Exchange Act of 1934 transferred to the Federal Reserve System the authority, exercised previously by the New York Stock Exchange and other private-sector exchanges, to set the minimum margins (i.e., down-payments) that securities brokers and dealers (subsequently expanded to all lenders) must require of customers purchasing common stocks on credit. The transfer of authority reflected the view, widely held at the time, that the low initial margins set by the exchanges had fueled the stock market boom of the 1920's, and that the frenzied liquidation of shares in response to margin calls had accelerated the Crash in October 1929, supposedly dragging the economy down with it. Congress hoped that timely raising of margin requirements by the monetary authorities might dampen speculative excesses before they raged out of control or, in today's terms, that margin controls might reduce "market volatility." What the Federal Reserve has done since then with its margin-setting authority can be seen from Figure 1 which shows the time paths both of margins and one measure of market volatility from October 1934 to December 1987. Margin requirements were set initially at 45 percent, raised to 55 percent during the boomlet of 1936 and then cut back to a low of 40 percent after the sharp stockmarket break in the autumn of 1937. The requirement stayed at that level for the remainder of the 30's and most of the war years, but was stepped up sharply as the war drew to a close, reaching 100 percent (i.e., all cash, no borrowing) for most of 1946. Changes were frequent over the next two and a half decades,