Modern portfolio theory is based on the relationship between risk and return and in this paper, specific uncertainty conditions are introduced as ambiguity which affects the asset pricing. Also, the relationship between risk, ambiguity and return is examined. First, ambiguity is estimated by the means of three-variable and main component method, trading volume, ask-bid spread, error of earnings...

In this paper I hypothesize that the well documented positive mean excess stock return earned by parent firms when they announce they are carving out stock in a subsidiary is due to noise traders who optimistically misinterpret a carve-out’s true value-irrelevance, rather than to the impounding of new value-enhancing information by sophisticated investors. I offer three pieces of evidence that ...

This paper proposes a risk scoring model to assess the performance of 27 US companies listed online by applying Data Envelopment Analysis (DEA) and comparing with the traditional financial measure Return on Equity (ROE). The DEA evaluation process involves two processes: (1) computation of operating efficiency and effectiveness to measure a company’s operating performance, and (2) measurement o...

abstract t he return of capital is fundamental to the intertemporal allocation of resources by changing the consumption behavior and capital accumulation over time. taxation on return of capital increases the marginal product of capital, meaning that capital stock is lower than when capital is not taxed, which results decreased growth and welfare in steady state. this paper studies the impact o...

We analyze the performance of retail firms for the period 1978-97 using public financial data. Our performance measures are long-term stock returns and whether the firm filed for bankruptcy in the period of study. We assume that over a long time period of at least five years, stock returns are a reasonable measure of the overall success of a firm. We have found a very wide disparity in performa...

In this paper we provide empirical findings on the significance of positive feedback trading for the return behavior in the German stock market. Relying on the ShillerSentana-Wadhwani model, we use the link between index return auto-correlation and volatility to obtain a better understanding into the return characteristics generated by traders adhering to positive feedback trading strategies. O...

Being able to quantify the probability of large price changes in stock markets is of crucial importance in understanding financial crises that affect the lives of people worldwide. Large changes in stock market prices can arise abruptly, within a matter of minutes, or develop across much longer time scales. Here, we analyze a dataset comprising the stocks forming the Dow Jones Industrial Averag...

Stock return distribution in the BRICS. Access to the published version may require subscription. Abstract Stock returns in emerging market economies exhibit patterns that are distinctively different from developed countries: returns are noted to be highly volatile and autocorrelated, and long horizon returns are predictable. While these stylized facts are well established, the assumption under...

We examine predictive return regressions from a new angle. We ask what observable univariate properties of returns tell us about the “predictive space” that defines the true predictive model: the triplet ¡ λ,R2 x, ρ ¢ , where λ is the predictor’s persistence, R2 x is the predictive R-squared, and ρ is the "Stambaugh Correlation" (between innovations in the predictive system). When returns are n...