Share Price Formation, Market Exuberance and Financial Stability Under Alternative Accounting Regimes

2013 ◽  
Author(s):  
Yuri Biondi ◽  
Pierpaolo Giannoccolo
Keyword(s):  
Financial Stability ◽  
Share Price ◽  
Price Formation ◽  
Market Exuberance

Evolution of the IBEX-35 vs other international indices: determinants of market value according to XGBOOST and GLM models

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Juián Martínez-Vargas ◽  
Pedro Carmona ◽  
Pol Torrelles
Keyword(s):  
Market Value ◽  
Financial Statements ◽  
Share Price ◽  
Price Formation ◽  
Coefficient Of Determination ◽  
Gradient Boosting ◽  
Political Factors ◽  
Content Type ◽  
International Trends ◽  
Extreme Gradient Boosting

PurposeThe purpose of this paper is to study the influence of different quantitative (traditionally used) and qualitative variables, such as the possible negative effect in determined periods of certain socio-political factors on share price formation.Design/methodology/approachWe first analyse descriptively the evolution of the Ibex-35 in recent years and compare it with other international benchmark indices. Bellow, two techniques have been compared: a classic linear regression statistical model (GLM) and a method based on machine learning techniques called Extreme Gradient Boosting (XGBoost).FindingsXGBoost yields a very accurate market value prediction model that clearly outperforms the other, with a coefficient of determination close to 90%, calculated on validation sets.Practical implicationsAccording to our analysis, individual accounts are equally or more important than consolidated information in predicting the behaviour of share prices. This would justify Spain maintaining the obligation to present individual interim financial statements, which does not happen in other European Union countries because IAS 34 only stipulates consolidated interim financial statements.Social implicationsThe descriptive analysis allows us to see how the Ibex-35 has moved away from international trends, especially in periods in which some relevant socio-political events occurred, such as the independence referendum in Catalonia, the double elections of 2019 or the early handling of the Covid-19 pandemic in 2020.Originality/valueCompared to other variables, the XGBoost model assigns little importance to socio-political factors when it comes to share price formation; however, this model explains 89.33% of its variance.

scholarly journals The Dynamics of Share-Price Formation

1939 ◽  
Vol 21 (4) ◽  
pp. 153 ◽  
Author(s):  
J. Tinbergen
Keyword(s):  
Share Price ◽  
Price Formation

scholarly journals The Functionality of Book-to-Market Ratio in Chinese Markets

2018 ◽  
Vol 2 (2) ◽  
pp. 50
Author(s):  
Larry Li ◽  
Adela McMurray ◽  
Bo Liu
Keyword(s):  
Stock Returns ◽  
Strong Relationship ◽  
Share Price ◽  
Price Formation ◽  
Leverage Ratio ◽  
Chinese Markets ◽  
Book To Market Ratio

We investigate the question whether the book to market ratio acts as a “risk-based” or “mispricing-based” proxy for share price formation in Chinese markets. We find that a strong relationship is observed between the firms’ book to market ratio and stock returns both in current and following years, while we cannot find a steady relationship between market leverage ratio and stock returns. In addition, the findings support the notion that a mispricing-based explanation is more plausible in China due to the speculative features of the Chinese markets.

scholarly journals Models for Predicting the Probability of Bankruptcy: Applying in Construction Companies

2021 ◽  
Vol 8 (1) ◽  
pp. 13-23
Author(s):  
A. V. Voiko
Keyword(s):  
Financial Markets ◽  
Financial Stability ◽  
Financial Analysis ◽  
Predictive Ability ◽  
Share Price ◽  
Share Prices ◽  
Construction Companies ◽  
Probability Of Bankruptcy ◽  
Using Data ◽  
Analytical Services

The paper examines some foreign and domestic methods of forecasting bankruptcy of enterprises in order to apply them in the largest construction organizations in Russia. The empirical basis of the study is the construction companies that are comparable in size, revenue, and market share. Their annual financial statements preceding the analysis are the information base of calculations. The quality of forecasts has been checked on independent indicators’ calculations of financial analysis, as well as using data from financial markets and share prices under studied companies. The result of the research is the selection of models that gives the most correct forecast of the financial situation of a company in the construction industry. It has been also revealed that models for predicting financial insolvency of enterprises has not been able to assess changes in financial stability in the short term. Therefore, the author compares calculation results with data of financial markets. As a result, it was found that models which demonstrate the greatest predictive ability correlate with the results of independent financial analysis, as well as with data of financial markets regarding the share price dynamics of construction companies. The paper provides recommendations on approaches to choosing models for analyzing the probability of bankruptcy and can be useful for specialists of financial and analytical services to predict the financial insolvency of construction business.

Share Return Seasonalities and Price Linkages of Chinese A and B Shares

1999 ◽  
Vol 02 (02) ◽  
pp. 205-229 ◽  
Author(s):  
Richard A. Heaney ◽  
John G. Powell ◽  
Jing Shi
Keyword(s):  
Share Price ◽  
Price Formation ◽  
A Share

This paper investigates share price linkages between Chinese corporations' foreign-designated B shares and the numerically dominant domestic A shares of the same companies. Chinese share return seasonalities are examined and the suggested satellite trading relationships are subsequently tested in order to provide an understanding of the linkages between A and B shares. The seasonality results along with arbitrage activity in the market for Chinese A and B shares suggest that a dominant-satellite relationship is likely to exist whereby the A share market is the dominant market for price formation and the B share market is the satellite. The paper identifies significant price linkages from the A to B share markets which are nevertheless weaker in an economic sense than might be expected.

Who saw it coming? The UK’s great financial crisis

2014 ◽  
Vol 35 (1) ◽  
pp. 63-96 ◽  
Author(s):  
Andrew Hindmoor ◽  
Allan McConnell
Keyword(s):  
Financial Stability ◽  
Credit Rating ◽  
Empirical Work ◽  
Share Price ◽  
Annual Reports ◽  
Financial Service Authority ◽  
Select Committee ◽  
Bank Of England ◽  
Crisis Conditions ◽  
The Uk

AbstractWho foresaw the UK banking crisis? This paper addresses this issue through detailed empirical work on the content of the Chancellor of the Exchequer’s speeches, Bank of EnglandFinancial Stability Reports, Financial Service Authority reports and speeches by Bank of England officials, editorials in theTimesandFinancial Times, bank annual reports and financial statements, credit rating reports, share price movements, Parliamentary questions, Treasury select committee reports and the output of academic economists. We find that few people inside or outside government recognised the existence of significant financial vulnerabilities in the financial system in the years prior to the collapse of Northern Rock in September 2007. We use the conceptual lenses of individual, institutional and paradigmatic pathologies to provide explanations for this failure to detect looming crisis conditions. We argue ultimately that regulators and commentators were blinded by faith in market forces and the risk-tempering properties of securitisation.

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