Stock price crash risk is a phenomenon in which stock prices are subject to severe negative and sudden adjustments. So far, different approaches have been proposed to model and predict  the  stock price crash risk, which in most cases have been the main emphasis on the factors affecting it, and often traditional methods have been used for prediction. On the other hand, using  Meta Heuristic Alg...

We analyze the dynamics of price jumps and the impact of the European debt crisis using the high-frequency data reported by selected stock exchanges on the European continent during the period January 2008 to June 2012. We employ two methods to identify price jumps: Method 1 minimizes the probability of false jump detection (the Type-II Error-Optimal price jump indicator) and Method 2 maximizes...

in this section of the journal, a summary of theses completed at the m.b.a level is presented. the title of these are: 1- the effect of financing methods on the stock price on the tehran stock exchange by mohammad rahmani 2- the effect of money supply on the exchange rate in iran by minuo kiani -red 3- an investigation of the reasons for price volatility of stock price an tehran on the stock ex...

The papers by Brickley, Bhagat and Lease ('The Impact of Long-Range Managerial Compensation Plans on Shareholder Wealth') and by Tehranian and Waegelein ('Market Reaction to Short-Term Executive Compensation Plan Adoption') examine stock price performance around the time firms adopt management incentive plans. Each paper finds positive stock price performance. In this overview, I integrate the ...

Stock price bubbles are often on productive assets and occur in a sector of the economy. In addition, their occurrence is often accompanied by credit booms. Incorporating these features, we provide a two-sector endogenous growth model with credit-driven stock price bubbles. Bubbles have a credit easing effect in that they relax collateral constraints and improve investment efficiency. Sectoral ...

With the expansion of stock market, investors and capital are increasing step by step, which makes the stock market an increasing impact on the macro-economy. In order to reveal the effect of macro factors on the specified industry’s stock price, a new nonlinear regression model is established with Eviews6.0 software in the paper. We take macro variables as samples which are based on interest r...

We compare the impact of mandatory against voluntary ownership transfer on stock price informativeness using the unique research setting provided by the Split Share Structure Reform in China. Ownership transfers from state to private entity are expected to improve corporate governance, which in turn reduce managerial incentives to withhold value-relevant information to outside investor. However...

This paper examines the impact of tick size reduction on price continuity in the Taiwan stock market where employs call auction method throughout the entire trading day. Using the intraday data from September 1, 2004 to August 31, 2005, the results indicate that the price continuity of call stock market could be improved after tick size reduction. A smaller tick size is associated with a lower ...