NBC News Scripts
WBAP-TV (Television station : Fort Worth, Tex.)
1954-12-31
Search results
19 records were found.
In this article, a multifactor asset pricing model incorporating a price limit factor is developed to explain the cross section of asset returns following closely the mimicking portfolio methodology of Fama and French (1996). Differing regulatory environments in the Asian region suggest that empirical studies consider the features of each market. Price limits on the daily movement of stock prices are common in the emerging markets of Asia; however, research on the sensitivity of asset prices to price limits has been lacking. Prior research suggests that price limits are a significant institutional feature of the Taiwan Stock Exchange and this market is used for empirical analysis. Our findings show that the overall market factor, firm size and price limits capture the cross section of average stock returns in a meaningful manner. Howev...
There is growing acceptance in financial economics that the beta of the Sharpe (1964), Lintner (1965) and Black (1972) Capital Asset Pricing Model (CAPM) is lacking in cross-sectional explanatory power. This paper examines the two most commonly used additional explanatory factors, size and hook to market equity in three Asia-Pacific markets where little evidence exists as to their applicability in explaining the cross-sectional of stock returns. This paper tests for evidence of multifactor risk premia from markets outside the US. We find that the overall market factor is highly significant in all the markets and the magnitude of significance of the other two factors (size and book to market equity) varies across countries. We also reject the claim that the multifactor model findings can be explained by the turn of the year effect. At a...
This paper employs the mimicking portfolio approach of Fama and French [J. Finance 51 (1996) 55] and asks whether idiosyncratic volatility is priced for equities listed in the Shanghai Stock Exchange (SSE). The paper also provides evidence on whether returns on small stocks are higher in January than in the remaining months. Our findings reveal that (a) idiosyncratic volatility is priced and (b) the multifactor model provides a better description of average returns than the traditional capital asset pricing model (CAPM). We also find that the absolute pricing errors of the CAPM are large when compared with the multifactor model. We argue that firm size and idiosyncratic volatility may serve as proxies for systematic risk. We also dismiss the claim that returns on small stocks are on average higher in January than in the remaining month...
In this article we compare the performance of the traditional CAPM with the multi factor model of Fama and French (1996) for equities listed in the Shanghai Stock Exchange. We also investigate the explanatory power of idiosyncratic volatility and respond to the claim that multi factor model findings can be explained by the turn of the year effect. Our results show that firm size, book to market equity and idiosyncratic volatility are priced risk factors in addition to the theoretically well specified market factor. As far as the turn of the year effect is concerned we reject the claim that the findings are driven by seasonal factors.
This paper investigates the profitability of momentum investment strategies for equities listed in the Shanghai Stock Exchange. We also investigate the role of trading volume to examine whether there is any relationship between stock returns and past trading volume for Chinese equities. We find evidence of substantial momentum profits during the period 1995 to 2005 and that momentum is a pervasive feature of stock returns for the market investigated in this paper. Our findings suggest that investors can generate superior returns by investing in strategies unrelated to market movements. We also investigate the potential of past volume to explain momentum profits, and find no strong link between past volume and momentum profits. Our findings also show a strong momentum effect around earnings announcements but the magnitude of these retur...
Capital market theory is concerned with the equilibrium relationship between risk and expected return on risky assets. Within this framework, this paper seeks to extend the mounting evidence against the view that the beta coefficient of the Capital Asset Pricing Model is the sole measure of risk. In this paper we test the multifactor approach to asset pricing in one of the most challenging international markets, the Shanghai Stock Exchange, China. Firstly, we seek to determine whether the size and value premia exists in China. Secondly, we address the challenge that size and value premia are largely determined by seasonal factors (such as the January and/or Chinese New Year effect). Our findings suggest that mean-variance efficient investors in China can select some combination of small and low book-to-market equity firms in addition t...
This study examines securities price reaction to announcements of rights issues by listed Indian firms during the period 1997-2005. We document a positive but statistically insignificant price reaction to such announcements. The price reaction is significantly more negative for firms with a family group affiliation compared to firms with no family group affiliation. The notable differential price reaction between firms with and without a family group affiliation can be explained by the "tunneling hypothesis." For firms affiliated with a family group, we surmise that investors perceive that the proceeds of the rights issue may be misused for the benefit of the controlling shareholder. We also find that higher levels of individual shareholding in the firm are associated with a more positive price reaction to the announcement.
The paper is aimed at examining the inter-relationships between firm size, liquidity, idiosyncratic volatility and their relation to a stock's beta and return performance for Australian equities. Our analysis suggests the existence of confounding effects that may need to be recognised in making meaningful interpretations of the data; specifically, that as well as being potentially explanatory of equity performance, beta, liquidity and idiosyncratic volatility are capable of being the outcome of equity performance behaviour. Over and above achieving a degree of clarification on these issues, the paper's main conclusions are summarised as follows. We find no relationship between beta, firm size, liquidity or idiosyncratic volatility and stock returns for large stocks. However, the smallest capitalised stocks markedly outperform...
School of Accounting and Finance
School of Accounting and Finance
