We examine the impact of share repurchases on the information content of stock prices using several measures of price efficiency. The study is based on manually collected data on share repurchases in the United States for the period 2004-2010. We find that share repurchases make prices more efficient. In particular, share repurchases increase the accuracy of the stock price after negative infor...

Stock price has been found to provide important information about future economic activities. Fama (1981), Fischer and Merton (1984), and Barro (1990), among many others, document a positive relation between stock market return and subsequent growth in investment and output. These findings are consistent with rational expectations asset pricing models, in which stock price is equal to the sum o...

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

This study examines the effect of managerial ability on subsequent stock price crash risk using listed firm data in Korea. Compared to some financially advanced countries, the influence of managers is particularly more powerful in Korea, as ownership and management are not effectively separate in most Korean firms. In addition, we considered the effect of large business groups called Chaebol, w...

Explaining dividend policy has been one of the most difficult challenges facing financial economists. Despite decades of study, we have yet to completely understand the factors that influence dividend policy and the manner in which these factors interact.The aim of this paper is to examine the relation between dividend policy and share price volatility in Tehran Stock Exchange (TSE). The analys...

When investors have differences of opinion about the payoffs of a stock, Harrison and Kreps (1978) demonstrate the existence of a speculative bubble in the stock price, that is, the stock price can exceed the valuation of the most optimistic investor. A crucial condition that supports this result in their model is that investors are not allowed to short sell the stock. This paper demonstrates t...

In this text, Fractional Brown Motion theory during random process is applied to research the option pricing problem. Firstly, Fractional Brown Motion theory and actuarial pricing method of option are utilized to derive Black-Scholes formula under Fractional Brown Motion and form corresponding mathematical model to describe option pricing. Secondly, based on BYD stock, estimation model on volat...

A b s t r a c t a r t i c l e i n f o JEL classification: C23 G15 Q43 Keywords: Asymmetric effects International stock markets Oil prices Panel data Oil price volatility Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effect...

Stock price forecasting has been mostly realized using quantitative information. However, recent studies have demonstrated that sentiment information hidden in corporate annual reports can be successfully used to predict short-run stock price returns. Soft computing methods, like neural networks and support vector regression, have shown promising results in the forecasting of stock price due to...

Financial markets all over the world have witnessed growing integration within as well as across boundaries, spurred by deregulation, globalization and advances in information technology. However, none of the researches have investigated the trading profitability of models that employed the financial market integration information as input variables especially in the case of day trading. Moreov...