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: In this article, the authors examined the short-horizon dynamic relation between the buying and selling by individuals and both previous and subsequent returns using a unique data set provided to them by the NYSE.
Abstract: This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We document positive excess returns in the month following intense buying by individuals and negative excess returns after individuals sell, which we show is distinct from the previously shown past return or volume effects. The patterns we document are consistent with the notion that risk-averse individuals provide liquidity to meet institutional demand for immediacy. FOR A VARIETY OF REASONS, financial economists tend to view individuals and institutions differently. In particular, while institutions are viewed as informed investors, individuals are believed to have psychological biases and are often thought of as the proverbial noise traders in the sense of Kyle (1985) or Black (1986). One of the questions of interest to researchers in finance is how the behavior of different investor clienteles or their interaction in the market affects returns. In this paper we focus on the interaction between individual investors and stock returns. Specifically, we examine the short-horizon dynamic relation between the buying and selling by individuals and both previous and subsequent returns using a unique data set provided to us by the NYSE. The data set was constructed from the NYSE’s Consolidated Equity Audit Trail Data (CAUD) files that contain detailed information on all orders that execute on the exchange. For each stock on each day we have the aggregated volume of executed buy and sell orders of individuals. This information enables us to create a measure of net individual investor trading. We examine the extent to which intense net buying or selling by individuals in a stock is related to the stock’s past returns and the extent to which such intense net trading by individuals predicts future returns. Consistent with earlier

529 citations

Journal ArticleDOI
TL;DR: This paper examined international stock return comovements using country-industry and country-style portfolios as the base portfolios and established that parsimonious risk-based factor models capture the data covariance structure better than the popular Heston-Rouwenhorst (1994) model.
Abstract: We examine international stock return comovements using country-industry and country-style portfolios as the base portfolios. We first establish that parsimonious risk-based factor models capture the data covariance structure better than the popular Heston‐Rouwenhorst (1994) model. We then establish the following stylized facts regarding stock return comovements. First, there is no evidence for an upward trend in return correlations, except for the European stock markets. Second, the increasing importance of industry factors relative to country factors was a short-lived phenomenon. Third, large growth stocks are more correlated across countries than are small value stocks, and the difference has increased over time.

528 citations

Journal ArticleDOI
TL;DR: This paper examined determinants of non-executive employee stock option holdings, grants, and exercises for 756 firms during 1994-1997 and found that firms use greater stock option compensation when facing capital requirements and financing constraints.

527 citations

Journal ArticleDOI
TL;DR: For example, this article found that executive stock ownership and stock option pay are often assumed to have congruent incentive effects; however, these incentives have asymmetrical risk properties, and executives may respond to them.
Abstract: Executive stock ownership and stock option pay are often assumed to have congruent incentive effects; however, these incentives have asymmetrical risk properties, and executives may respond to them...

526 citations

Journal ArticleDOI
TL;DR: In this paper, the authors investigated the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks and found that risk-averse individuals tend to buy stocks following declines in the previous month and sell following price increases.
Abstract: This paper investigates the dynamic relation between net individual investor trading and short-horizon returns for a large cross-section of NYSE stocks. The evidence indicates that individuals tend to buy stocks following declines in the previous month and sell following price increases. We document positive excess returns in the month following intense buying by individuals and negative excess returns after individuals sell, which we show is distinct from the previously shown past return or volume effects. The patterns we document are consistent with the notion that risk-averse individuals provide liquidity to meet institutional demand for immediacy.

526 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