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Bayesian analysis of time‑varying interactions between stock returns and foreign equity flows

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Financial Innovation 2021年第1期7卷 1075-1099页

作者： Boubekeur Baba Güven Sevil Graduate School of Social Sciences Anadolu UniversityEskişehirTepebaşı26470Turkey Open Education Faculty Anadolu UniversityEskişehirTepebaşı26470Turkey

This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying *** employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with stochastic *** empirical analysis reveals several new findings about foreign investors’trading ***,we find evidence that positive feedback trading often appears during periods of high economic uncertainty,whereas negative feedback trading is exclusively observable during periods of low economic ***,the foreign investors’feedback trading appears mostly to be well-timed and often leads the time-varying economic uncertainty except in periods of global ***,lagged negative(positive)response of net flows to economic uncertainty is found to be coupled with lagged positive(negative)feedback ***,the study documents an asymmetric response of foreign investors with regard to negative and positive shocks of economic ***,we find that they instantly turn to positive feedback trading after a negative contemporaneous response of net flows to shocks of economic *** contrast,they move slowly toward negative feedback trading after a positive response of net flows to uncertainty shocks.

关键词： stock returns Net foreign equity flows Time-varying parameter VAR Feedback trading Forecast ability Economic policy uncertainty

The effect of ESG on stock returns：Evidence from Central and Eastern Europe

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The effect of ESG on Stock Returns：Evidence from Central an...

作者： Kamil Hubert Guzinski 上海财经大学

学位级别：硕士

In recent years sustainable investments,ESG and climate change were at the top of global political and regulatory *** like many leaders,politicians and financiers have tried to capture the phenomenon of ESG and financial literature became abundant in papers which attempted to quantify the impact of ***,to this date,very little has been said about the ESG among the companies from Central and Eastern Europe,which over the last 20 years have undergone enormous transformation,both in the sphere of governance as well as in environmental *** purpose of this research is to analyze the relationship between ESG scores and stock performance of companies from CCE region,with the use of data collected from the ISS ESG provider with a time span of 2006-2020.I pursue panel data regressions together with the Fama-French Five-Factor *** indicate that companies with high scores in Social and Governance ratings achieve abnormal stock returns with particularly strong positive impact in Business ethics at the most granular *** opposite effect was obtained for Environmental management as well as for the Overall ESG *** interesting finding is that after controlling for crisis periods,results significantly improved in all models.

关键词： ESG ratings stock returns Central and Eastern Europe Fama-French Panel data Fixed-effects model LDSV

Accounting variables and stock returns： Evidence from Istanbul stock exchange

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Journal of Modern Accounting and Auditing 2010年第8期6卷 38-46页

作者： Beng Vuran Burcu Adiloglu Department of Finance School of Business Istanbul University Istanbu134320 Turkey Department of Accounting School of Business Istanbul University Istanbu134320 Turkey

The fundamental relationship between accounting variables and stock returns is a recurring theme in financial research. One of the major purposes of accounting is to help investors provide reliable, comparable and accurate information. If accounting data are informative about fundamental values and changes in values, they should be correlated with stock price changes. This study provides theory and evidence showing how accounting variables explain stock returns and examines the relationship between the stock returns and accounting variables of listed non financial companies in ISE-100 Indice for 2006-2008 period by using panel data methodology. Empirical analysis consists of 192 observations of 64 companies in years 2006-2008 to examine the effects of inventory, accounts receivable, gross margin, operating expense, return on assets, cash flow, leverage, liquidity, price/earnings, return on equity on stock returns. The results of the study confirm that the predicted roles of fundamental factors and stock returns are significantly related to gross margin, cash flow, leverage and equity variables. The model explains about 13.35 % of the variation of annual stock returns with the leverage variable with most of the significant power.

关键词： stock returns accounting variables panel data methodology

Bull and Bear Dynamics of the Nigeria stock returns Transitory via Mingled Autoregressive Random Processes

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Open Journal of Statistics 2021年第5期11卷 870-885页

作者： Rasaki Olawale Olanrewaju Anthony Gichuhi Waititu Lukman Abiodun Nafiu Department of Mathematical Sciences Pan African University Institute for Basic Sciences Technology and Innovation Nairobi Kenya Department of Mathematical Sciences Jomo Kenyatta University of Agriculture and Technology Nairobi Kenya Department of Mathematics and Statistics Kabale University Kabale Uganda

This paper expounds the nitty-gritty of stock returns transitory, periodical behavior of its markets’ demands and cyclical-like tenure-changing of number of the stocks sold. Mingling of autoregressive random processes via Poisson and Extreme-Value-Distributions (Fréchet, Gumbel, and Weibull) error terms were designed, generalized and imitated to capture stylized traits of k-serial tenures (ability to handle cycles), Markov transitional mixing weights, switching of mingling autoregressive processes and full range shape changing predictive distributions (multimodalities) that are usually caused by large fluctuations (outliers) and long-memory in stock returns. The Poisson and Extreme-Value-Distributions Mingled Autoregressive (PMA and EVDs) models were applied to a monthly number of stocks sold in Nigeria from 1960 to 2020. It was deduced that fitted Gumbel-MAR (2:1, 1) outstripped other linear models as well as best fitted among the Poisson and Extreme-Value-Distributions Mingled autoregressive models subjected to the discrete monthly stocks sold series.

关键词： Autoregressive Random Processes Extreme-Value-Distributions Mingled Poisson stock returns

A Critical Review of the Effects of stock returns and Market Timing on Capital Structure

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Management Studies 2023年第6期11卷 312-321页

作者： YE Hongru JI Jie ZOU Yuanyuan Keystone Academy BeijingChina Shanghai Lingke Bilingual School ShanghaiChina The Second Middle School of Nanning NanningChina

Capital structure is regarded as the combination of debt and equity firms used to finance operations and *** choice of capital structure significantly impacts a company’s cost of capital,profitability,and risk *** a series of factors that affect capital structure,this paper focuses on stock returns and market *** this review,an array of papers is analyzed to summarize what current research claims regarding the influence of stock returns and market timing on capital *** paper centers on the stock return and market timing theories and also discusses other theories like the trade-off theory,the pecking order theory,and the signaling theory.

关键词： capital structure stock returns market timing

An Empirical Study on the Heterogeneous Response of stock returns to the Public Information

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An Empirical Study on the Heterogeneous Response of Stock Re...

Information in Balance Sheets for Future stock returns:Evidence from Net Operating Assets Decomposition

2012年管理与服务科学国际会议(MASS2012)

作者： Wenjun Xue Zhongxin Ni Department of Finance School of Economics Shanghai University

In this paper, we employ quantile regression model to study which types of public information influence the stock returns and whether there exists a heterogeneous response for stock returns to the public information. We divide the public information into three types which are, respectively, company specific information, stock market information and macro-economic information. The empirical results show that: （1） compared with the company specific information, stock market and macroeconomic information has more power to explain expected stock returns （2） due to investors’ psychological deviation including self contribution and conservation bias, there exist significant heterogeneous responses to the public information. The investors tend to overestimate the good news when the market is bull, while to underestimate the good news when the stock market is bear.

关键词： stock returns quantile regression economic information psychological deviation

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Information in Balance Sheets for Future Stock Returns:Evide...

Evaluation of forecasting methods from selected stock market returns

第八届会计与财务问题国际研讨会

作者： Georgios Papanastasopoulos Dimitrios Thomakos Department of Banking and Financial Management of the University of Piraeus Department of Economics of the University of Peloponnese

We decompose net operating assets （NOA） into components on the asset side and liability side of the balance sheet, and examine their relationship with future stock returns. Consistent with Hirshleifer, Hou, Teoh and Zhang （2004）, we find a strong negative relation of NOA with future stock returns after controlling for current profitability. However, this relation is driven mainly from the asset side of NOA but not from the liability side of the NOA. The hedge strategies on NOA and operating assets generate positive abnormal returns and constitute statistical arbitrage opportunities, but not for operating liabilities. The evidence on the sources of the abnormal returns from NOA and its components suggests that it requires accounting distortions arising from earnings management.

关键词： Net operating assets (NOA) stock returns earnings management

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Financial Innovation 2019年第1期5卷 724-739页

作者： M.Mallikarjuna R.Prabhakara Rao Doctoral Research Scholar Department of EconomicsSri Sathya Sai Institute of Higher LearningVidyagiriPrasanthi NilayamAPIndia

Forecasting stock market returns is one of the most effective tools for risk management and portfolio *** are several forecasting techniques in the literature for obtaining accurate forecasts for investment decision *** empirical studies have employed such methods to investigate the returns of different individual stock ***,there have been very few studies of groups of stock markets or *** findings of previous studies indicate that there is no single method that can be applied uniformly to all *** this context,this study aimed to examine the predictive performance of linear,nonlinear,artificial intelligence,frequency domain,and hybrid models to find an appropriate model to forecast the stock returns of developed,emerging,and frontier *** considered the daily stock market returns of selected indices from developed,emerging,and frontier markets for the period 2000–2018 to evaluate the predictive performance of the above *** results showed that no single model out of the five models could be applied uniformly to all ***,traditional linear and nonlinear models outperformed artificial intelligence and frequency domain models in providing accurate forecasts.

关键词： Financial markets stock returns Linear and nonlinear Forecasting techniques Root mean square error

Geopolitical risks, uncertainty, and stock market performance

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Economic and Political Studies 2022年第3期10卷 253-265页

作者： Maria-Eleni K.Agoraki Georgios P.Kouretas Nikiforos T.Laopodis Department of Accounting and Finance University of the PeloponneseAntikalamosGreece Department of Business Administration Athens University of Economics and BusinessAthensGreece Alba Graduate Business School and Deree College American College of GreeceAthensGreece

This paper analyses the impact of geopolitical risks and economic policy uncertainty on stock *** uses an unbalanced panel dataset of monthly observations for 22 countries for the period 1985–*** controls for a set of macroeconomic and market structure variables while also taking into consideration the poten-tial effects of the 2007–2009 financial *** paper shows that the impact of geopolitical risks is negative and statistically *** economic interpretation of our main results is that a one-unit standard deviation increase in geopolitical risks decreases stock returns by 10.53–42.14%of its sample *** comparison,this paper uses alternatively the global economic policy uncertainty index and the economic policy uncertainty country index,and also finds a statistically significant negative relationship although it is weaker in the latter case.

关键词： stock returns geopolitical risks economic policy uncertainty financial crisis panel data