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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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Journal ArticleDOI
TL;DR: In this paper, the authors used an economically motivated two-beta model to explain the size and value anomalies in stock returns using an economic-motivated two-indexed model and found that value stocks and small stocks have considerably higher cash-flow betas than growth stocks and large stocks.
Abstract: This paper explains the size and value "anomalies" in stock returns using an economically motivated two-beta model. We break the CAPMbeta of a stock with the market portfolio into two components, one reflecting news about the market's future cash flows and one reflecting news about the market's discount rates. Intertemporal asset pricing theory suggests that the former should have a higher price of risk; thus beta, like cholesterol, comes in "bad" and "good" varieties. Empirically, we find that value stocks and small stocks have considerably higher cash-flow betas than growth stocks and large stocks, and this can explain their higher average returns. The poor performance of the CAPMsince 1963 is explained by the fact that growth stocks and high-past-beta stocks have predominantly good betas with low risk prices.

170 citations

Journal ArticleDOI
TL;DR: This article showed that the crash was a surprise to corporate insiders, and insiders became buyers of stock in record numbers immediately following the crash; stocks that declined more during the crash were also purchased more by insiders; and stocks that were purchased more extensively by insiders during October 1987 showed larger positive returns in 1988.
Abstract: This paper shows that i) the Crash was a surprise to corporate insiders; ii) insiders became buyers of stock in record numbers immediately following the Crash; iii) stocks that declined more during the Crash were also purchased more by insiders; and iv) stocks that were purchased more extensively by insiders during October 1987 showed larger positive returns in 1988. The overall evidence suggests that overreaction was an important part of the Crash. THE Dow JONES INDUSTRIAL Average (DJIA) declined by 769 points (30.7%) from October 13 to 19, 1987 (Tuesday to Monday), with a record one-day drop of 508 points (22.6%) on October 19 alone. Similar declines occurred on other equity markets: the American Stock Exchange (ASE), the Over-the-Counter (OTC) market, and international stock markets. Various explanations have been offered to account for the October Crash. One view relies on shifts in fundamental factors: Roll (1989) suggests downward revised expectations for the worldwide economic activity; Fama (1989) advocates sudden upward revision in equilibrium required stock returns as measured by the increase in dividend yields; and Black (1988) argues for sharply declining relative risk aversion, coupled with a sudden realization of lower future expected returns. Another view is that stock prices can take swings from fundamental values because of trading activities of the uninformed (Shiller (1984) and De Long, Shleifer, Summers, and Waldmann (1989, 1990a,b)).1 While this view does not identify what triggered the Crash, it predicts that the activities of noise traders contributed to an overreaction in market prices: an adjustment in stock prices occurred in reaction to a proposed tax legislation in mid-October. This adjustment was turned into a major crash, and stock prices were driven below the fundamentals as a result of positive feedback investment strategies by uninformed traders,

170 citations

Journal ArticleDOI
TL;DR: In this article, the effect of inflation on stock valuations and expected long-run returns was examined by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model.
Abstract: This paper examines the effect of inflation on stock valuations and expected long-run returns. Ex ante estimates of expected long-run returns are constructed by incorporating analysts' earnings forecasts into a variant of the Campbell-Shiller dividend-price ratio model. The negative relation between equity valuations and expected inflation is found to be the result of two effects: a rise in expected inflation coincides with both lower expected real earnings growth and higher required real returns. The earnings channel mostly reflects a negative relation between expected long-term earnings growth and expected inflation. The effect of expected inflation on required (long-run) real stock returns is also substantial. An increase of one percentage point in expected inflation is estimated to raise required real stock returns about one percentage point, which on average would imply a 20% decline in stock prices. But the inflation factor in expected real stock returns is also in long-term Treasury yields; consequ...

169 citations

Journal ArticleDOI
TL;DR: The authors examined the integration and causality of interdependencies among seven major East Asian stock exchanges before, during, and after the 1997-1998 Asian financial crisis and found that Hong Kong and Singapore respond significantly to shocks in most other East Asian markets, including Shanghai and Shenzhen, during this crisis.

169 citations


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Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202237
20211,825
20201,882
20191,697
20181,539
20171,706