Open Access. Powered by Scholars. Published by Universities.®
- Discipline
- Institution
Articles 1 - 11 of 11
Full-Text Articles in Business
Earnings Yield As A Predictor Of Return On Assets, Return On Equity, Economic Value Added And The Equity Multiplier, Rebecca Abraham, Judith Harris, Joel Auerbach
Earnings Yield As A Predictor Of Return On Assets, Return On Equity, Economic Value Added And The Equity Multiplier, Rebecca Abraham, Judith Harris, Joel Auerbach
HCBE Faculty Articles
This study identifies earnings yield as a measure of financial performance that is based on a firm's ability to sell profitable goods. It excludes the irrationality that can confound market-based measures of financial performance by emphasizing a firm's ability to earn profits as the indicator of superior performance. For the full sample, the differential effects of earnings yield on return on assets, return on equity, stock returns, economic value added and the equity multiplier are determined for firms of different size and volatility. The analysis is conducted both across industries and within the oil and gas, computer software, biotechnology and …
Days To Cover And Stock Returns, Harrison G. Hong, Frank Weikai Li, Sophie X. Ni, Jose A. Scheinkman, Philip Yan
Days To Cover And Stock Returns, Harrison G. Hong, Frank Weikai Li, Sophie X. Ni, Jose A. Scheinkman, Philip Yan
Research Collection Lee Kong Chian School Of Business
A crowded trade emerges when speculators' positions are large relative to the asset's liquidity, making exit difficult. We study this problem of recent regulatory concern by focusing on short-selling. We show that days to cover (DTC), the ratio of short interest to trading volume, measures the costliness of exiting crowded trades. Crowding is an important concern as short-sellers avoid illiquid stocks, which we establish using an instrumental-variables strategy involving staggered stock market decimalization reforms. Arbitrageurs require a premium to enter into such trades as a strategy shorting high DTC stocks and buying low DTC stocks generates a 1.2% monthly return. …
The Effect On Stockholder’S Wealth On Critical Systems Failure And Remedy: The Boeing 787 Case, Jayendra Gokhale, Sunder Raghavan, Victor J. Tremblay
The Effect On Stockholder’S Wealth On Critical Systems Failure And Remedy: The Boeing 787 Case, Jayendra Gokhale, Sunder Raghavan, Victor J. Tremblay
Accounting, Economics, Finance, and Information Sciences - Daytona Beach
In this paper we analyze the effect of Boeing Dreamliner 787’s battery problems on stockholder wealth. Using the event study methodology, we show that the recall in January of 2013 initially caused the company’s cumulative abnormal returns to fall by almost 4% in four trading days after the recall. This was followed by an announcement by two major airlines to ground all of the 787 Dreamliner jets. The FAA also ordered all US airlines to ground their 787s and announced an investigation to review all critical systems of 787s. However within four months of the investigation, FAA approved Boeing’s revisions …
The Impact Of Brand Quality On Shareholder Wealth, Sundar G. Bharadwaj, Kapil R. Tuli, Andre Bonfer
The Impact Of Brand Quality On Shareholder Wealth, Sundar G. Bharadwaj, Kapil R. Tuli, Andre Bonfer
Research Collection Lee Kong Chian School Of Business
This study examines the impact of brand quality on three components of shareholder wealth, stock returns, systematic risk and idiosyncratic risk. The study finds that brand quality enhances shareholder wealth as unanticipated changes in brand quality are positively associated with stock returns and negatively related to changes in idiosyncratic risk. However, unanticipated changes in brand quality can also erode shareholder wealth as they have a positive association with changes in systematic risk. The study introduces a contingency theory view to the marketing-finance interface by analyzing the moderating role of two factors that are widely followed by investors. The results show …
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Volatility Analysis Of Precious Metals Returns And Oil Returns, Lucia Morales, Bernadette Andreosso
Conference papers
This study examines volatility persistence on precious metals returns taking into account oil returns and the three world major stock equity indices (Dow Jones Industrials, FTSE 100, and Nikkei 225) using daily data over the sample period January 1995- May 2008. We first determine when large changes in the volatility of each market returns occur, by identifying major global events that would increase the volatility of these markets; the Iterated Cumulative Sums of Squares (ICSS) algorithm helps identify the break points or sudden changes in the variance of returns in each market using the standardized residuals obtained through the GARCH(1,1) …
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Do Precious Metals Markets Influence Stock Markets?, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and precious metals returns for the G-7 countries over the 1995-2006 period. We divide our sample into a number of sub periods, prior to, during and after the Asian crisis, with the objective to provide a wide analysis of the behaviour of these two markets taking into account the effects of the Asian crisis; we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. The results show that there is no evidence of volatility persistence from stock returns to …
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
European Equity Markets And Currency Markets Interlinkages, Lucia Morales
Conference papers
This thesis examines the relationship between exchange rates and stock prices in a number of European countries. We focus our attention in three different regions of Europe that are: four Eastern European markets, Czech Republic, Hungary, Poland and Slovakia, four South European Countries: Greece, Italy, Portugal and Spain and one West European Country: Ireland, using daily data we analyze the relationship between these two financial markets from 1996 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Engle and Granger two step and Johansen cointegration techniques, Vector Error Correction Modeling Technique and …
Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales
Volatility Spillovers Between Stock Returns And Foreign Exchange Rates: Evidence From Four Eastern European Countries, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and exchange rates changes for the Czech Republic, Hungary, Poland and Slovakia for the 1999-2006 period. We divide our sample in two sub period, prior to the introduction of the Euro as since the single currency has been introduced. We use an EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is non-existence of significant spillovers in these countries, what suggest the …
Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales
Volatility Spillovers Between Equity And Currency Markets: Evidence From Major Latin American Countries, Lucia Morales
Articles
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates in six Latin American countries and one European economy in the 1998-2006 period. We divide our sample into sub periods, prior to and after the introduction of the Euro and we apply the EGARCH methodology to model volatility. Our results show that the volatility of stock returns affects the volatility of exchange rates; however, we do not find evidence of volatility transmission in the opposite direction.
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
International Transmission Effects Of Volatility Between Financial Markets In The G-7 Since The Introduction Of The Euro, Lucia Morales
Conference papers
This paper investigates the nature of volatility spillovers between stock returns and a number of exchange rates changes for the G-7 countries for the 1996-2006 period. We divide our sample into a number of sub periods, prior to and after the introduction of the Euro, we use EGARCH modelling which takes into account whether bad news has the same impact on volatility as good news. Our results show that in terms of volatility spillover effects from stock returns to exchange rates returns, there is a large degree of consistency across countries and time periods with significant spillovers found for all …
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence From Four Transition Economies, Lucia Morales
Conference papers
This article examines the dynamic relationship between exchange rates and stock prices in four Easter European markets, Czech Republic, Hungary, Poland and Slovakia, using stock price and exchange rate data from these countries, as well as stock prices from the United States, Germany and the United Kingdom. The data set consists of daily data over a 7 year period from 1999 to 2006. Both the long-run and the short-run association between these variables are analyzed. We employed the Johansen cointegration technique, Vector Error Correction Modeling and the standard Granger causality test to analyze the relationship between these two financial variables. …