scholarly journals The time‐varying performance of UK analyst recommendation revisions: Do market conditions matter?

2020 ◽  
Vol 29 (2) ◽  
pp. 65-89
Author(s):  
Chen Su ◽  
Hanxiong Zhang ◽  
Robert S. Hudson
Keyword(s):  
Time Varying ◽  
Market Conditions ◽  
Analyst Recommendation ◽  
Recommendation Revisions

Understanding Distressed Residential Transaction Discounts Across Price Segments and Market Conditions

2020 ◽  
Vol 42 (1) ◽  
pp. 151-182
Author(s):  
Ramya Rajajagadeesan Aroul ◽  
J. Andrew Hansz ◽  
Mauricio Rodriguez
Keyword(s):  
Transaction Costs ◽  
Time Varying ◽  
Market Segment ◽  
Market Conditions ◽  
Large Market ◽  
Space And Time ◽  
Wide Range ◽  
Time Periods ◽  
Market Areas

In the literature, there is a wide range of discounts associated with foreclosures. Comparisons across studies are difficult as they use different methodologies across large areas over different time periods. We employ a consistent methodology across space and time. We find modest discounts, within the range of typical transaction costs, in all but the highest priced market segment. Higher priced segments could explain prior findings of substantial discounts. We find that discounts are time-varying, with discounts increasing with market distress. A one-size-fits-all approach is not appropriate when estimating distressed transaction discounts across large market areas or under changing market conditions.

Investor attention, analyst recommendation revisions, and stock prices

2017 ◽  
Vol 45 ◽  
pp. 211-223 ◽  
Author(s):  
Venura Welagedara ◽  
Saikat Sovan Deb ◽  
Harminder Singh
Keyword(s):  
Stock Prices ◽  
Investor Attention ◽  
Analyst Recommendation ◽  
Recommendation Revisions

scholarly journals Adaptive Market Hypothesis and Time-varying Contrarian Effect: Evidence From Emerging Stock Markets of South Asia

SAGE Open ◽  
2022 ◽  
Vol 12 (1) ◽  
pp. 215824402110684
Author(s):  
Ali Fayyaz Munir ◽  
Mohd Edil Abd. Sukor ◽  
Shahrin Saaid Shaharuddin
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
South Asian ◽  
Stock Markets ◽  
Time Varying ◽  
Market Conditions ◽  
Market Anomalies ◽  
Developed Markets ◽  
Emerging Stock Markets ◽  
Stock Market Anomalies

This study contributes to the growing debate on the relation between varying stock market conditions and the profitability of stock market anomalies. We investigate the effect of changed market conditions on time-varying contrarian profitability in order to examine the presence of the Adaptive Market Hypothesis (AMH) in South Asian emerging stock markets. The empirical findings reveal that a strong contrarian effect holds in all the emerging markets. We also find the stock return opportunities vary over time based on contrarian portfolios. We show that contrarian returns strengthen during the down state of market, higher volatility and crises periods, particularly during the Asian financial crisis. Interestingly, the market state instead of market volatility is the primary predictor of contrarian payoffs, which contradicts the findings of developed markets. We argue that the linkage arises from structural and psychological differences in emerging markets that produce unique intuitions regarding stock market anomalies returns. The overall findings on the time-varying contrarian returns in this study provide partial support to AMH. Another significant outcome of this study implies that investors in South Asian emerging markets, like investors in the developed markets, could not adapt to evolving market conditions. Therefore, contrarian profits often exist, and persistent weak-form market inefficiencies prevail in these markets.

scholarly journals Can Adaptive Market Hypothesis Explain the Existence of Seasonal Anomalies? Evidence from Dhaka Stock Exchange, Bangladesh

2021 ◽  
Vol 15 (2) ◽  
pp. 198-223
Author(s):  
Tahmina Akhter ◽  
Othman Yong
Keyword(s):  
Stock Exchange ◽  
Circuit Breaker ◽  
Time Varying ◽  
Markov Switching Model ◽  
Market Conditions ◽  
Switching Model ◽  
Emerging Stock Markets ◽  
General Index ◽  
Rolling Window ◽  
Stock Market Bubbles

This paper examines the behavior of seasonal anomalies in Dhaka Stock Exchange (DSE) of Bangladesh and whether the time varying nature of the anomalies is in line with Adaptive Market Hypothesis (AMH). With this aim the research investigated whether the changes in market conditions, for example: up and down market states, stock market bubbles and crashes, initiation of automated trading system and circuit breaker system can affect the behavior of calendar anomalies and therefore, can provide justification for the seasonal patterns in DSE. To achieve the stated objectives, this study utilizes daily general index values of DSE from 1993 to 2018, with GARCH (1,1) model, Markov switching model, subsample analysis and rolling window analysis. The findings support the existence of AMH at DSE in the form of time-varying nature of seasonal anomalies. However, not all seasonal anomalies examined in the study were found to grow weaker over time. The most important finding of this study is that the investors in emerging stock markets, for example DSE, may not learn from the past investment experiences and show the adapting ability towards changed market conditions in the same manner like the investors in a developed market.

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