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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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TL;DR: In this article, the authors investigate to what extent important results on relations among stock returns and macroeconomic factors from major markets are valid in a small open economy by utilizing the multivariate vector autoregressive (VAR) approach on Norwegian data.
308 citations
TL;DR: Turn-of-month and pre-holiday effects on international markets were examined in this article, showing that the anomalies are not generated solely by American institutions, but originate from country-specific institutional practices.
Abstract: This study examines turn-of-month and pre-holiday effects on international markets. Turn-of-month effects are significant in Canada, the UK, Australia, Switzerland, and West Germany. Pre-holiday effects are significant in Canada, Japan, Hong Kong, and Australia. The absence of these effects in certain markets suggests that they originate from country-specific institutional practices. All countries exhibiting pre-holiday effects do so before local holidays; only Hong Kong does so before US holidays. This reinforces the conclusion that such anomalies are not generated solely by American institutions.
307 citations
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TL;DR: This paper examined the causal linkage between stock market development, financial development and economic growth, and found that a well-functioning stock market can promote economic development by fuelling the engine of growth through faster capital accumulation, and by tuning it through better resource allocation.
Abstract: This paper addresses the question: does stock market development cause growth? It examines the causal linkage between stock market development, financial development and economic growth. The argument is that any inference that financial liberalisation causes savings or investment or growth, or that financial intermediation causes growth, drawn from bivariate causality tests may be invalid, as invalid causality inferences can result from omitting an important variable. The empirical part of this study exploits techniques recently developed by Toda and Yamamoto (1995) to test for causality in VARs, and emphasises the possibility of omitted variable bias. The evidence obtained from a sample of seven countries suggests that a well-developed stock market can foster economic growth in the long run. It also provides support to theories according to which well-functioning stock markets can promote economic development by fuelling the engine of growth through faster capital accumulation, and by tuning it through better resource allocation.
306 citations
TL;DR: In this paper, the authors show that the evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns.
Abstract: The book-to-market ratio, B/M, is a noisy measure of expected stock returns because B/M also varies with expected cashflows. Our hypothesis is that the evolution of B/M, in terms of past changes in book equity and price, contains independent information about expected cashflows that can be used to improve estimates of expected returns. The tests support this hypothesis, with results that are largely but not entirely similar for Microcap stocks (below the 20th NYSE market capitalization percentile) and All but Micro stocks.
306 citations
TL;DR: In this article, the authors use a model driven by changes in current and expected future dividends in which investors must estimate the time-varying long-run dividend growth rate.
Abstract: Major long-run swings in the U. S. stock market over the past century are broadly consistent with a model driven by changes in current and expected future dividends in which investors must estimate the time-varying long-run dividend growth rate. Such an estimated long-run growth rate resembles a long distributed lag on past dividend growth, and is highly correlated with the level of dividends. Prices therefore respond more than proportionately to long-run movements in dividends. The time-varying component of dividend growth need not be detectable in the dividend data for it to have large effects on stock prices.
306 citations