This study examines predicability and volatility in three major stock markets, (the US, UK, and Japan) using the Vector Autoregressive Approach and the Multivariate Autoregressive…
Abstract
This study examines predicability and volatility in three major stock markets, (the US, UK, and Japan) using the Vector Autoregressive Approach and the Multivariate Autoregressive Conditional Heteroskedastic‐in‐mean (ARCH‐M) approach. We find that in the three markets: a) stock returns are predictable, and b) there is persistence in the variance of stock returns, and c) predictability and persistence are attributed to common sources of information.
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This article focuses on dividend innovations as a determinant of predict ability and volatility of returns in three major stock markets, the U.S., U.K., and Japan. All results are…
Abstract
This article focuses on dividend innovations as a determinant of predict ability and volatility of returns in three major stock markets, the U.S., U.K., and Japan. All results are based on vector autoregressive (VAR) and auto regressive conditional heteroscedastic (ARCH) approaches, with monthly sampled data. We find that in all three markets dividend‐price ratios and/or dividend growth rates predict returns. Moreover, there is persistence in the variance of stock returns attributed to the innovations related to the same variables.
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Musa Darayseh, Elaine Waples and Dimitrios Tsoukalas
The purpose of this paper was to determine whether a model utilizing a number of economic variables in combination with financial ratios results in a model superior to the…
Abstract
The purpose of this paper was to determine whether a model utilizing a number of economic variables in combination with financial ratios results in a model superior to the traditional models including the financial ratios alone. A sample of 110 manufacturing companies which had become bankrupt between 1990 and 1997 were identified from the F & S Index and matched to 110 non‐failed companies on the basis total assets, financial statement date and four digit industry code. The proposed model predicted correctly 87.82 and 87.50 percent of the estimation and holdout samples, respectively. The significance of the coefficients in each year’s model was evaluated by using the t‐statistic corresponding to each coefficient’s value. The overall models are significant at ∝‐level of 0.05.
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This study examines the relationships between macroeconomic factors and stock prices in Cyprus. Estimating a reduced form Vector Autoregressive model (VAR) we determine Granger…
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This study examines the relationships between macroeconomic factors and stock prices in Cyprus. Estimating a reduced form Vector Autoregressive model (VAR) we determine Granger causality between stock returns and the predictor variables. We find strong evidence of predictability (which implies inefficiency) in stock returns, which is similar to the pattern observed in developed stock markets. In common with prior studies in this area, we cannot use our results as evidence of market inefficiency or deficiencies in the asset‐pricing model.
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Dimitrios Tsoukalas, Musa Darayseh and Elaine Waples
We test for the presence of non‐linear dynamics in real stock return, in the American, British, and Japanese equity markets. Evidence on non‐linearities will have important…
Abstract
We test for the presence of non‐linear dynamics in real stock return, in the American, British, and Japanese equity markets. Evidence on non‐linearities will have important implications for financial analysts. The results provide evidence of nonlinear structure in stock returns, in the three markets, suggesting that linear models, such as Ordinary Least Squares or Vector Autoregressive (VAR), may not always be appropriate for analyzing data.
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Looks at the stock returns of the two major stock markets in the USA, and the UK and concludes that there is evidence of strong predictability and volatility within the indexes…
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Looks at the stock returns of the two major stock markets in the USA, and the UK and concludes that there is evidence of strong predictability and volatility within the indexes caused by similar sources. Suggests that this has implications for the global pricing of securities and the regulatory policies of the markets.
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Dimitrios Tsoukalas and Shomir Sil
Draws together existing research on capital markets to understand how dividend/price ration and dividend growth predict movements in share prices. Analyses data from the UK stock…
Abstract
Draws together existing research on capital markets to understand how dividend/price ration and dividend growth predict movements in share prices. Analyses data from the UK stock market from January 1995 to December 1996 to test out two hypotheses ‐ the first, that there are no significant lag effects from stock price determinants (dividend/price ratio or dividend growth) to real stock returns; the second being the “information hypothesis” of dividends, which predicts that unexpected changes in dividend payments (for example, an increase in dividend payout ratio) may “signal” changes in future returns to investors, thereby leading to higher returns. Points out that this second hypothesis is consistent with the efficient market hypothesis. Analyses the movements in stock returns using Granger causality tests and finds that dividend/price ratio predicts real stock returns for the UK stock market, and that there is a strong relationship between real stock returns and dividend yields. Argues that this is consistent with the “information hypothesis”.
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This paper aims to examine whether the release of news about policy interventions by the troika [European Union (EU)/the European Central Bank (ECB)/International Monetary Fund…
Abstract
Purpose
This paper aims to examine whether the release of news about policy interventions by the troika [European Union (EU)/the European Central Bank (ECB)/International Monetary Fund (IMF)] in the crisis-affected EU countries (Cyprus, Greece, Ireland, Italy, Portugal and Spain) and whether the policy responses of these countries’ governments had impacts on the return and risk of stocks in the financial and real-economy sectors of these countries.
Design/methodology/approach
The paper uses a broad set of news announcements concerning the troika authorities’ policy interventions and the policy responses of the affected Eurozone states’ governments. To test for the risk and return effects of these announcements during the crisis period, a set of regression equations is estimated under a difference-in-difference approach using intercept and slope dummy variables for news releases from troika authorities and from the national governments of the six EU countries. This enables unraveling the effects of the crisis (first difference) and the effects of news announcements (second difference).
Findings
The results indicate that the involvement of the troika managed to reverse some of the unfavourable market effects of the crisis. Moreover, the policy response of national governments was found to have stronger favourable effects in the markets of the affected countries implying that investors likely waited for the response of the national governments before they reacted to the policy actions of the troika. The simultaneous release of news from the troika and from national governments had adverse effects on the returns and risk of the firms in the real economy sectors, suggesting that cross-news announcements conveyed negative information in the markets.
Originality/value
The paper provides evidence on the effects of policy-related news announcements on the development of the recent sovereign debt crisis in Europe. This issue is highly important, as it can reveal the effectiveness of the IMF’s and EU authorities’ policy interventions in affected Eurozone member states during the first major crisis in Europe since the monetary union.
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H. Kent Baker, Satish Kumar and Nitesh Pandey
Managerial finance (MF) started publication in 1975 and celebrated its 45th anniversary in 2019. The purpose of this study is to provide a bibliometric analysis of MF between 1996…
Abstract
Purpose
Managerial finance (MF) started publication in 1975 and celebrated its 45th anniversary in 2019. The purpose of this study is to provide a bibliometric analysis of MF between 1996 and 2019.
Design/methodology/approach
This study uses the Scopus database to analyze the most frequent authors in MF along with their affiliated institutions and countries. It also identifies the most often cited MF articles. This study uses bibliometric indicators to analyze productivity and stature of MF. It also uses such tools as bibliographic coupling, keyword analysis and coauthorship analysis to analyze MF. Further, the study provides a temporal analysis of MF publishing across different ownership periods.
Findings
MF publishes between 60 and 70 articles each year and its number of citations steadily grows. Although contributors to the journal come from around the globe, they most often are affiliated with the United States, the United Kingdom and Greece. Temporal analysis of journal's themes reveals that it has expanded its scope from accounting research to a much wider array of finance topics. Bibliographic coupling network analysis shows that major themes published in MF involve stock markets, corporate governance, banking, financial decision-making and initial public offerings.
Research limitations/implications
Due to the unavailability of bibliometric data, the analysis excludes an analysis of MF between 1975 and 1995.
Originality/value
This study provides the first overview of the MF's publication and citation trends as well as its thematic structure. It also suggests future directions that the journal might take.