Evidence from international stock markets

In a horserace of the previously mentioned profitability measures in international markets (ex us), we find that cash-based gross profitability has the highest marginal power to explain future stock returns, and it even beats cash-based operating profitability, as defined by ball et al (2016.

evidence from international stock markets The evidence indicates that, for weekly rates of return, most of the international stock markets exhibit positive skewness (except for france, germany, and switzerland) for monthly rates of return, italy, the netherlands, and switzerland also show negative skewness.

To the global stock market factor and the international component of their sales has more than doubled in magnitude from the late 1980s to the late 1990s over the same period.

Lastly, empirical evidence reported in this paper highlights the importance of positive feedback trading and international spillovers as important determinants of stock return behaviour the predominance ofaparticularmotivetotrade(privateinformationorliquidity/hedging needs) cannot be identified for any of the analysed markets, however. The monthly effect in international stock markets: evidence and implications 17 equation 2 r i,t = (p i,t) - (pi,t-1) (1 / p i,t-1) where: p i,t is the price of the ith index at time t in the calculation of returns, t represents two distinct time periods, t 1 is the index value after the first four trading days and t2 is the second to last trading day of the month.

On the long-term or short-term dependence in stock prices: evidence from international stock markets. Request pdf on researchgate | liquidity and stock returns: evidence from international markets | this paper tests the relation between expected excess stock returns and illiquidity risk in g7 markets. By applying daily data for 18 countries from may 25, 1988, through april 24, 2009, we find evidence of herding in advanced stock markets (except the us) and in asian markets no evidence of. 28 contagion and spillover effects of the us subprime crisis: evidence from international stock markets. Keywords: analyst forecasts, implied cost of capital, international equity markets, market e fficiency jel classification: g11, g14, g15, m41 suggested citation: suggested citation esterer, florian and schröder, david, implied cost of capital based investment strategies - evidence from international stock markets (april 1, 2013) annals of finance.

Kiel institute for world economics duesternbrooker weg 120 24105 kiel (germany) kiel working paper no 1244 firm-level evidence on international stock market comovement. We analyse investors' motives for trading on stock markets in g-7 countries and investigate whether evidence for these motives is robust when time-varying market volatility, changes between calm and turbulent periods, and existence of international financial spillovers are controlled for.

Evidence from international stock markets

evidence from international stock markets The evidence indicates that, for weekly rates of return, most of the international stock markets exhibit positive skewness (except for france, germany, and switzerland) for monthly rates of return, italy, the netherlands, and switzerland also show negative skewness.

Dissecting profitability: evidence from international stock markets recent findings for the us stock market indicate that profitability is a priced factor in the cross-section of expected stock returns international markets, mar-ket dynamics, factor models jel classifications: g11, g12, g15 department of financial management and. The south african equity market witnessed very strong lift since 1994 and is included in brics countries in 2010 the emergence of the sub-prime crisis in the usa had an adverse impact on the global markets especially emerging market like south africa the primary objective of the present study is to analyse the distinctiveness of price movements and volatility spill over effects between the.

Evidence from international stock markets despite the international diversification suggested by several researchers (eg grulbel, 1968 levy and sarnat, 1970 solnik, 1974) and the increased integration of capital markets, the home bias has not decreased (thomas et al, 2004 and coeurdacier and rey, 2013) and there is no complete explanation of this puzzle.

Implied cost of capital based investment strategies - evidence from international stock markets annals of finance implied cost of capital based investment strategies - evidence from international stock markets (april 1, 2013) annals of finance.

evidence from international stock markets The evidence indicates that, for weekly rates of return, most of the international stock markets exhibit positive skewness (except for france, germany, and switzerland) for monthly rates of return, italy, the netherlands, and switzerland also show negative skewness. evidence from international stock markets The evidence indicates that, for weekly rates of return, most of the international stock markets exhibit positive skewness (except for france, germany, and switzerland) for monthly rates of return, italy, the netherlands, and switzerland also show negative skewness.
Evidence from international stock markets
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