Throughoutthis note, I make use of a simple return decomposition. The excess-of-cashreturn on the stock market can be broken down into the difference in twocomponents: the real (inflation-adjusted) return on the market minus the realreturn on cash:Excessof cash return = Real stock market ...
The paper analyzes the cross-sectional determinants of expected stock returns by using empirical method.Compared to existing researches,we extend the research content and method in the following aspects:1.using average return of the market to estimate market return and then to estimate BETA;2.using...
The model allows the conditional jump intensity to be time-varying and follows an approximate autoregressive moving average (ARMA) form. The time series characteristics of 72 years of daily stock returns are analyzed using the jump model coupled with a generalized autoregressive conditional ...
margin and net interest spread were primarily due to a decrease in average yield on interest- earning assets as a result of the implementation of national policies on benefiting the real economy and an increase in average cost on interest-bearing liabilities as a result of the m...
Over a 34-year period, the average return on stocks with high sensitivities to liquidity exceeds that for stocks with low sensitivities by 7.5% annually, adjusted for exposures to the market return as well as size, value, and momentum factors. 展开 关键词:...
positive in the short-run while negative in the long-run, which shows an overreaction of connectedness to the US treasury market volatility in the short... N Iqbal,MA Naeem,MT Suleman - 《Journal of International Financial Markets Institutions & Money》 被引量: 0发表: 2022年 加载更多来源...
The average annual return on the intangible-adjusted high-minus-low (iHML) portfolio is 5.9% from July 1976 to December 2017 and 6.2% from July 1997 to December 2017, vs. 3.9 and 3.6% for an equivalent HML portfolio. 展开 年份: 2022 ...
PPP is proved to be an effective investment strategy in terms of stock selection as well as market timing. A pilot empirical study in Chapter 2 shows that a portfolio of stocks with PPP lower than 5 years can achieve excess return. In Chapter 3, I attempt to demonstrate the power of PPP...
Days with high stock illiquidity, high stock volatility and low stock return are associated with high yield spread in the bond market. This contemporaneous... Q Lei - 《Social Science Electronic Publishing》 被引量: 7发表: 2012年 Stock prices, changes in liquidity, and liquidity premia This pa...
According to the models, intrinsic value-book value ratio depends on the cost of capital, return on equity, policy of earnings distribution and time limit of residual income or lifetime of company. It is estimated that, on average, market price of stock in Mainland China is much higher than...