scispace - formally typeset
Search or ask a question
Topic

Stock (geology)

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


Papers
More filters
Journal ArticleDOI
TL;DR: This paper examined the information transmission mechanism linking oil futures with stock prices, where they examined the lead and lag cross-correlations of returns in one market with the others and whether volatility spillover effects exist across these markets.
Abstract: This study analyzes the information transmission mechanism linking oil futures with stock prices, where we examine the lead and lag cross-correlations of returns in one market with the others. We investigate the dynamic interactions between oil futures prices traded on the New York Mercantile Exchange (NYMEX) and U.S. stock prices, which allows us to examine the effects of energy shocks on financial markets. In particular, we examine the extent to which these markets are contemporaneously correlated, with particular attention paid to the association of oil price indexes with the SP 12 major industry stock price indices and 3 individual oil company stock price series. We also examine the extent to which price changes or returns in one market dynamically lead returns in the others and whether volatility spillover effects exist across these markets. Using VAR model estimates for various time series of returns we find that petroleum industry stock index and our three oil company stocks are the only series where we can reject the null hypothesis that oil futures do not lead Treasury Bill rates and stock returns, while we can reject the hypothesis that oil futures lag these other two series. Finally, the return volatility evidence for oil futures leading individual oil company stocks is much weaker than is the evidence for returns themselves.

851 citations

Posted Content
TL;DR: In this paper, a model of the impact of such fashions on prices is proposed and used in an exploratory data analysis of the aggregate United States Stock Market in the 20th century.
Abstract: The empirical evidence that is widely interpreted as supporting the efficient markets theory in finance actually does not rule out the possibility that changing fashions or fads among investors have an important influence on prices in financial markets. A model of the impact of such fashions on prices is proposed and used in an exploratory data analysis of the aggregate United States Stock Market in the 20th century.

851 citations

Journal ArticleDOI
TL;DR: This paper analyzed time-series of investor expectations of future stock market returns from six data sources between 1963 and 2011 and found that investor expectations are strongly negatively correlated with model-based expected returns.
Abstract: We analyze time-series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. We reconcile the evidence by calibrating a simple behavioral model, in which fundamental traders require a premium to accommodate expectations shocks from extrapolative traders, but markets are not efficient.

847 citations

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 the CAPM model and found 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.
Abstract: This paper explains the size and value "anomalies" in stock returns using an economically motivated two-beta model. We break the beta 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 capital asset pricing model (CAPM) since 1963 is explained by the fact that growth stocks and high-past-beta stocks have predominantly good betas with low risk prices.

841 citations

Posted Content
TL;DR: In this article, the authors address a basic, yet unresolved question: Do claims on private assets provide sufficient liquidity for an efficient functioning of the productive sector? Or does the State have a role in creating liquidity and regulating it either through adjustments in the stock of government securities or by other means?
Abstract: This paper addresses a basic, yet unresolved question : Do claims on private assets provide sufficient liquidity for an efficient functioning of the productive sector? Or does the State have a role in creating liquidity and regulating it either through adjustments in the stock of government securities or by other means?

826 citations


Network Information
Related Topics (5)
Volatility (finance)
38.2K papers, 979.1K citations
83% related
Portfolio
45K papers, 979.1K citations
83% related
Stock market
44K papers, 1M citations
82% related
Interest rate
47K papers, 1M citations
81% related
Earnings
39.1K papers, 1.4M citations
80% related
Performance
Metrics
No. of papers in the topic in previous years
YearPapers
202237
20211,825
20201,882
20191,697
20181,539
20171,706