While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

We investigate the determinants of aggregate commodity returns and establish the following findings. (1) Common predictors of bond and stock returns, such as the short rate and the yield spread, also predict commodity returns. A high yield spread predicts low commodity returns, consistent with commodities being a hedge for market fluctuations. (2) Even controlling for these common predictors, a...

Stock-based compensation puts managers in the position of having, at some point, to sell stock. The prevalence of stock-based compensation in the 1990s allegedly created incentives for managers to hype their companies’ stock price by manipulating earnings before selling stock. Consistent with this conjecture, we find that managers tended to inflate earnings prior to selling stock. Moreover, the...

The nature of fluctuations in the Indian financial market is analyzed in this paper. We have looked at the price returns of individual stocks, with tick-bytick data from the National Stock Exchange (NSE) and daily closing price data from both NSE and the Bombay Stock Exchange (BSE), the two largest exchanges in India. We find that the price returns in Indian markets follow a fat-tailed cumulati...

Operating leverage, the fraction of fixed costs of production in total costs, has recently attracted considerable attention in the asset pricing literature. Indeed, the theoretical asset pricing literature often relies on some form of operating leverage to rationalize the value premium, the fact that firms with currently low valuations compared to assets in place have higher subsequent returns ...

Channel rebates and returns policies are common mechanisms for manufacturers to entice retailers to increase their order quantities and sales ultimately. However, when the underlying demand depends on the retail price, it has been known that channel coordination cannot be achieved if only one of these mechanisms is deployed. In this paper, we show that a policy that combines the use of wholesal...

The stock price e€ects for the domestic competitors of foreign acquisition targets in the US are found to be signi®cantly positive. These results imply that signals of favorable industry conditions conveyed through cross-border acquisitions dominate any perceived changes in competitive balance. Consistent with the information-signaling hypothesis, the stock price e€ects are more favorable for r...

This paper proposes a new approach for local dependence analysis which exploits relationships at less frequent situations: a population version of contingency table analysis of two distributions expressed in a colored figure, and local impulse response analysis. The local dependence is measured by mutual information computed based on bivariate nonparametric density estimates with additional dev...

This study uses research variables such as Trading Volume, Market Capitalization, S&P 500 Index, World Oil Price, Gold Price on Bitcoin Returns. The data source in this is through internet media with the sites https://coinmarketcap.com/, https://finance.yahoo.com/, and other that support research. used are time series, target population for sample 1,096 (3 years x 365) daily report data. we...

This study examines the stock price reactions to the announcements of corporate real estate disposals by listed non-property companies in Malaysia and whether disposals under different economic conditions lead to different price reactions. The results show that the cumulative abnormal returns associated with the property disposals differ significantly in different economic conditions. Price rea...