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Articles 181 - 190 of 190
Full-Text Articles in Finance and Financial Management
Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu
Realized Daily Variance Of S&P 500 Cash Index: A Revaluation Of Stylized Facts, Shirley Huang, Qianqiu Liu, Jun Yu
Research Collection School Of Economics
In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, Mykland and Ait-Sahalia (2005). The time series properties of realized daily variance are compared with those of variance estimates obtained from parametric GARCH and stochastic volatility models. Unconditional and dynamic properties concerning the realized daily variance are examined, the relationship between realized variance and returns is investigated, and the stylized facts concerning realized daily …
Two Essays On Corporate Spin-Offs, Yingchou Lin
Two Essays On Corporate Spin-Offs, Yingchou Lin
Theses and Dissertations in Business Administration
This dissertation investigates two possible sources that contribute to the gains of corporate spin-offs. In the first essay, I investigate the relation between the value created by corporate spin-offs and the misvaluations of the parent firms and their spun-off divisions. I argue that spin-offs could create value even though the efficiency of the firm remains unchanged. Corporate spin-offs could be driven by the desire to correct the undervaluation of the parent firm or the spun-off unit. Thus, the gains of spin-offs should be highly correlated with the degree of misvaluation. By examining a 263 corporate spinoffs sample in the period …
Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu
Two Essays On Lead-Lag Patterns Between Trading Volume And Stock Return In China Stock Markets, Xiaotian Zhu
Theses and Dissertations in Business Administration
This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns between trading volume and stock returns and link them to the corresponding behavioral explanations. In particular, Lee and Swaminathan's (2000) Momentum Life Cycle theory best explains the strong negative relations between lagged trading volume and subsequent return in China A share market. The strong positive relations between lagged market return and subsequent trading volume found in both China's B share …
The Effect Of Survey-Based Sentiment Measures On The Predictability And Volatility Of Stock Returns Conditioned On The Payout Yield And Issue Yield, Darryl Philip Samsell
The Effect Of Survey-Based Sentiment Measures On The Predictability And Volatility Of Stock Returns Conditioned On The Payout Yield And Issue Yield, Darryl Philip Samsell
Theses and Dissertations in Business Administration
Survey-based sentiment indexes from the American Association of Individual Investors, Investors' Intelligence, and the Yale University International Center for Finance show strong in-sample monthly return predictability and are strong factors in explaining the cross-sectional variation in monthly returns and in explaining the excess volatility in returns beyond that explained by cash flow fundamentals proxied by the payout yield and the issue yield from Boudoukh, et al. (2007). These finding are robust to the use of numerous methods of sentiment variable computation. Sentiment is a more significant factor during the period from January 1997 to December 2005 when U.S. stock valuations …
Developing The Physician Executive: From The Surgical Suite To The Executive Suite, William Martin, Susan Quinn
Developing The Physician Executive: From The Surgical Suite To The Executive Suite, William Martin, Susan Quinn
William Marty Martin
The education and training of physician executives represents a challenge. This paper describes several models to design and delier an executive and leadership development program for physicians.
Quality Models: Selecting The Best Model To Deliver Results, William Martin
Quality Models: Selecting The Best Model To Deliver Results, William Martin
William Marty Martin
No abstract provided.
Calling The End Of The Bubble: Are There Trends In Order Imbalances, Julia Henker, Thomas Henker
Calling The End Of The Bubble: Are There Trends In Order Imbalances, Julia Henker, Thomas Henker
Julia Henker
Extract:
Can traders effectively conceal their information processing from the rest of the market, or is it there for the alert investor to observe? Could we see, for example, the reduction in demand that leads to the crash of a stock price bubble, or can investors keep their sentiment private?
We might expect that if we look carefully at buy and sell orders over several days, we could forecast the change from an upward to a downward trend in asset prices, but we would be wrong.
In this article, we investigate whether stock price bubble crashes are foreshadowed in order …
Calling The End Of The Bubble: Are There Trends In Order Imbalances, Julia Henker, Thomas Henker
Calling The End Of The Bubble: Are There Trends In Order Imbalances, Julia Henker, Thomas Henker
Thomas Henker
Extract:
Can traders effectively conceal their information processing from the rest of the market, or is it there for the alert investor to observe? Could we see, for example, the reduction in demand that leads to the crash of a stock price bubble, or can investors keep their sentiment private?
We might expect that if we look carefully at buy and sell orders over several days, we could forecast the change from an upward to a downward trend in asset prices, but we would be wrong.
In this article, we investigate whether stock price bubble crashes are foreshadowed in order …
Pre-Test Assessment In The Introductory Finance Course, Thomas D. Berry
Pre-Test Assessment In The Introductory Finance Course, Thomas D. Berry
Thomas D Berry
Berkshire Region: Technology Sector Update, Robert A. Nakosteen
Berkshire Region: Technology Sector Update, Robert A. Nakosteen
Robert A Nakosteen
Despite a statewide tech turnaround, the region’s high-tech enterprises lag behind the recovery.