SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test

2018 ◽  
Vol 509 ◽  
pp. 1009-1022 ◽  
Author(s):  
Qingsong Ruan ◽  
Manqian Zhang ◽  
Dayong Lv ◽  
Haiquan Yang
Keyword(s):  
Nonlinear Analysis ◽  
Stock Returns ◽  
Granger Test

Freedom Indices and Capital Asset Pricing Model: Some Malaysian Evidence

2020 ◽  
Vol 1 (1) ◽  
pp. 1-21
Author(s):  
Ying Tay Lee ◽  
Devinaga Rasiah ◽  
Ming Ming Lai
Keyword(s):  
Human Rights ◽  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Explanatory Power ◽  
Least Square ◽  
Press Freedom ◽  
Capital Asset Pricing ◽  
Capital Asset ◽  
Cross Sectional

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely from country to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are included in the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Geographic Concentration of Firm’s Income-Producing Assets and Stock Returns

2018 ◽  
Author(s):  
Stanimira Milcheva ◽  
Yildiray Yildirim ◽  
Zhu Bing
Keyword(s):  
Stock Returns ◽  
Geographic Concentration

The Impact of Dividend Announcement on Stock Returns

2016 ◽  
Vol 7 (1) ◽  
pp. 46
Author(s):  
Naik Priyanka Umesh ◽  
Nezvila Tracy Saldanha ◽  
Y. V. Reddy
Keyword(s):  
Stock Returns ◽  
The Impact
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