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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 article, the authors analyzed the relationship between expected equity returns and the level as well as the volatility of trading activity, a proxy for liquidity, and found that the second moment of liquidity should be positively related to asset returns, provided agents care about the risk associated with fluctuations in liquidity.

712 citations

Journal ArticleDOI
TL;DR: In this article, the authors studied the relationship between average return and book-to-market equity (BE/ME) and found that small stocks have higher average returns than big stocks, while the size premium is weaker and less reliable than the value premium.
Abstract: The value premium in U.S. stocks returns is robust. The positive relation between average return and book-to-market equity (BE/ME) is as strong for 1929-63 as for the subsequent period studied in previous papers. Like others, we also find a size premium in stock returns. Small stocks have higher average returns than big stocks. The size premium is, however, weaker and less reliable than the value premium. The relations between average return and firm characteristics (size and BE/ME) are better explained by a three-factor risk model than by the behavioral hypothesis that investor overreaction causes characteristics to be compensated irrespective of risk loadings.

708 citations

Journal ArticleDOI
TL;DR: In this paper, a Bayesian analysis of the return premiums showed that the combined evidence of developed and emerging markets strongly favors the hypothesis that similar return factors are present in markets around the world.
Abstract: The factors that drive cross-sectional differences in expected stock returns in emerging equity markets are qualitatively similar to those that have been documented for developed markets. Emerging market stocks exhibit momentum, small stocks outperform large stocks, and value stocks outperform growth stocks. There is no evidence that high beta stocks outperform low beta stocks. A Bayesian analysis of the return premiums shows that the combined evidence of developed and emerging markets strongly favors the hypothesis that similar return factors are present in markets around the world. Finally, there exists a strong cross-sectional correlation between the return factors and share turnover. THERE IS GROWING EMPIRICAL EVIDENCE that multiple factors are cross-sectionally correlated with average returns in the United States. Measured over long time periods, small stocks earn higher average returns than large stocks ~Banz ~1981!!. Fama and French ~1992, 1996! and Lakonishok, Shleifer, and Vishny ~1994! show that value stocks with high book-to-market ~B0M!, earnings-to-price ~E0P!, or cash f low to price ~C0P! outperform growth stocks with low B0M, E0P, or C0 P. Moreover, stocks with high return over the past three months to one year continue to outperform stocks with poor prior performance ~Jegadeesh and Titman ~1993!!. The evidence that beta is also compensated for in average returns is weaker ~Fama and French ~1992!, Kothari, Shanken, and Sloan ~1995!! The interpretation of the evidence is strongly debated. 1 Some believe that the premiums are a compensation for pervasive risk factors, others attribute them to firm characteristics or an inefficiency in the way markets incorporate information into prices. Yet others argue that the premiums may be biased by survivorship or data snooping. A motivation for examining inter

706 citations

Posted ContentDOI
TL;DR: This article examined international stock return comovements using country-industry and country-style portfolios and found that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model.
Abstract: We examine international stock return comovements using country-industry and country-style portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better than the popular Heston-Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, we do not find evidence for an upward trend in return correlations, excpet for the European stock markets. Second, the increasing imporatnce of industry factors relative to country factors was a short-lived, temporary phenomenon. Third, we find no evidence for a trend in idiosyncratic risk in any of the countries we examine.

705 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigate Gompers, Ishii, and Metrick's (2003) finding that firms with weak shareholders rights exhibit significant stock market underperformance, and they find no evidence that this underperformance surprises the market.
Abstract: We investigate Gompers, Ishii, and Metrick's (2003) finding that firms with weak shareholder rights exhibit significant stock market underperformance. If the relation between poor governance and poor returns is causal, we expect that the market is negatively surprised by the poor operating performance of weak governance firms. We find that firms with weak shareholder rights exhibit significant operating underperformance. However, analysts' forecast errors and earnings announcement returns show no evidence that this underperformance surprises the market. Our results are robust to controls for takeover activity. Overall, our results do not support the hypothesis that weak governance causes poor stock returns. This is a revised version of a paper previously titled 'Does Weak Governance Cause Weak Stock Returns? An Examination of Firm Operating Performance and Analysts' Expectations' that was originally posted on April 21, 2004.

704 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