We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...

This paper shows that the probability of exercise of convertible bonds issued against a firm’s stock directly affects the liquidity of the stock itself. Using the ratio of absolute stock return to its dollar volume as a proxy for stock liquidity I demonstrate that there is a direct and positive relationship between conversion probability and stock liquidity while controlling for firm size, book...

In a defined contribution pension plan, employees make the investment decisions since they ultimately bear the investment risks. It has been shown empirically that, whenever the firm’s own stock is one of the available assets, many employees invest a significant fraction of their discretionary contributions in the stock of their employer. Moreover, the proportion allocated to own-company stock ...

Similar to previous Canadian, US, and international studies, we find evidence of momentum in stock returns, using a Canadian sample over the 1981 to 1999 period. However, unlike recent US evidence provided by Moscowitz and Grinblatt (1999), we cannot attribute the majority of the excess returns produced by a stock momentum strategy to industry momentum. While we do find evidence that industry m...

Stock market plays a very influential role for the economy of any country. Energy sector is considered as one of the dominating sectors in the stock market. This sector is evidently affected by oil and gas prices and performance of this sector is evaluated by stock returns of the oil & gas companies. Therefore, the study of such stock returns always remains an objective of interest for many fin...

This paper examines the hypothesis that both stock returns and volatility are asymmetrical functions of past information derived from domestic and US stock-market news. By employing a double-threshold regression GARCH model to investigate four major index-return series, we find significant evidence to sustain the asymmetrical hypothesis of stock returns. Specifically, evidence strongly supports...

Identifying homogeneous groups of stocks, where these stocks have similar movement of returns is called stock return comovement analysis. Stock return comovement analysis is important to financial analysts, decision makers, and academic researchers, in many financial implications. This paper examines firms’ social media, in particular, microblogging metrics’ role on analyzing stock return comov...

in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

the stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. this paper presents a methodology based on data envelopment analysis for portfolio selection, decision making units which can be stocks or other financial assets. first, dmus efficiencies are computed based on input/output com...