some lottery stocks are low-beta. The basic idea behind the study is to see what happens when we control for lottery demand over 40 years of financial market data. And it turns out that when
This Hasbrouck ratio is defined as the ratio of absolute returns to volume. A higher value of the ratio indicates a greater level of illiquidity in the market. Hasbrouck (2009) showed that the square root transformation of the Amihud ratio performs better empirically, capturing the systematic ...
Beta is a way of measuring a stock’s volatility compared with the overall market’s volatility. By definition, the market as a whole has a beta of 1, and everything else is defined in relation to that: Stocks with a value greater than 1are more volatile than the market, meaning they ...
a正门前 In front of main entrance[translate] aそれはひどいものだった 正在翻译,请等待... [translate] a研究上海证券市场中的100种股票的贝塔系数并进行估计 Studies in Shanghai stock market 100 kind of stock beta coefficients and carries on the estimate[translate]...
however, a file of the same name was 没被发现的老文件。 然而,同一个名字的文件是 [translate] aIf the risk-free rate is 6% and the market risk premium is also 6% What is the stock’s beta? 如果无风险的率是6%,并且市场风险保险费是否是也6%什么是股票的beta ? [translate] ...
The ascent of smart beta investing has significantly reshaped the financial domain. Over the last decade, the surge in smart beta funds has been remarkable. In the past, the market exhibited a higher prevalence of discernible anomalies or 'alpha features'. However, the adoption of smart beta ...
The purpose of this paper is to investigate the market anomalies in the effect of beta, bid ask spread, trading volume, trading frequency to stock return. This paper is using Ordinary Least Square and Weighted Least Square. The entire independent variables have significant simultaneous effect on ...
an investigation into the short term impact of user-generated content defined as the collection of UK based tweets recording user sentiment towards politics and the government during the 2016 local elections, on financial market movements specifically looking at the FTSE 100 at the stock market level...
One assumption here is that the text \(X_{t - 1}\) could deliver underlying information about the future market and the ability to forecast stock movement \({\text{y}}_{t}\). Assuming that \({\text{y}}_{t}\) follows a binomial distribution, a binomial logit model is defined by...
Godeiro, Lucas LucioCanadian Center of Science and EducationInternational Journal of Economics & FinanceGodeiro L.L., Testing the CAPM for the Brazilian Stock Market: A Study of Dynamic Beta Using Multivariate GARCH, „International Journal of Economics and Finance" 2013, Vol. 5, No. 3....