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 published on a yearly basis
Papers
More filters
TL;DR: This article investigated whether market-wide liquidity is a state variable important for asset pricing and found that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity.
Abstract: This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock measures estimated with daily data, relies on the principle that order flow induces greater return reversals when liquidity is lower. Over a 34-year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5% annually, adjusted for exposures to the market return as well as size, value, and momentum factors.
789 citations
TL;DR: In this paper, the authors show that the realized returns of growth stocks have been low relative to other stocks, and that this phenomenon is explained by a large and asymmetric response to negative earnings surprises for growth stocks.
Abstract: It is well-established that the realized returns of ?growth? stocks have been low relative to other stocks. We show that this phenomenon is explained by a large and asymmetric response to negative earnings surprises for growth stocks. After controlling for this effect, there is no longer evidence of a stock return differential between growth stocks and other stocks. Our evidence is more consistent with investors having naively optimistic expectations about the prospects of growth stocks (e.g., Lakonishok, Shleifer, and Vishny, 1994) than with the existence of unidentified risk factors that are lower for growth stocks (e.g., Fama and French, 1992).
786 citations
TL;DR: In this paper, the authors measure the growth in open market stock repurchases and the manner in which stock repurchase and dividends are used by U.S. corporations, and find that stock buybacks are very procyclical, while dividends increase steadily over time.
782 citations
TL;DR: This paper examined the daily stock market returns for four foreign countries and found that the lowest mean returns for the Japanese and Australian stock markets occur on Tuesday, and that the seasonal patterns in foreign stock markets are independent of those previously reported in the U.S. The results strongly support the proposition that the weekly seasonal effect is a general, worldwide phenomenon rather than the result of a special type of institutional arrangement.
Abstract: This paper examines the daily stock market returns for four foreign countries. We find a so-called "week-end effect" in each country. In addition, the lowest mean returns for the Japanese and Australian stock markets occur on Tuesday. The remainder of the paper answers four questions. Are seasonal patterns in foreign stock markets independent of those previously reported in the U.S.? Do Japan and Australia exhibit a seasonal one day out of phase due to different time zones? Do settlement procedures across countries bias week-end effects? Does the seasonal pattern in foreign exchange offset the week-end effect in stocks for Americans investing overseas? SOME OF THE MOST ANOMALOUS empirical findings in finance are associated with the sample distributions of daily common stock returns. Cross [1], French [2], Gibbons and Hess [3], and Keim and Stambaugh [4] have documented that the average return on Friday is abnormally high, and the average return on Monday is abnormally low. To our knowledge, this so-called "day-of-the-week effect" or "week-end effect" has yet to be explained. Because this anomaly has been reported primarily for U.S. stock returns, it is appropriate to investigate whether similar results occur for other countries. Positive findings would strongly support the proposition that the weekly seasonal effect is a general, world-wide phenomenon rather than the result of a special type of institutional arrangement in the U.S. To shed more light on this proposition, our paper examines stock market returns in the U.K., Japan, Canada, and Australia. Since we find a week-end effect in each country, we can examine a set of interesting questions. For example, are these seasonals independent of the previously reported seasonal in the U.S.? Due to different time zones, do Far Eastern countries exhibit a seasonal one day out of phase? Do different settlement procedures across countries influence weekend effects? Does the seasonal in foreign exchange fluctuations (see McFarland, Pettit, and Sung [7] and Levi [6]) offset the week-end effect in stock market returns for Americans investing overseas?
778 citations
Posted Content•
TL;DR: In this article, the authors study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio and another in which they are loss-averse over fluctuations of individual stocks that they own.
Abstract: We study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio and another in which they are loss averse over the fluctuations of individual stocks that they own Both approaches can shed light on empirical phenomena, but we find the second approach to be more successful: in that economy, the typical individual stock return has a high mean and excess volatility, and there is a large value premium in the cross-section which can, to some extent, be captured by a commonly used multifactor model
776 citations