Salience Theory and Stock Prices: Empirical Evidence

2016 ◽  
Author(s):  
Mathijs Cosemans ◽  
Rik Frehen
Keyword(s):  
Empirical Evidence ◽  
Stock Prices

scholarly journals Cojumps in stock prices: Empirical evidence

2014 ◽  
Vol 40 ◽  
pp. 443-459 ◽  
Author(s):  
Dudley Gilder ◽  
Mark B. Shackleton ◽  
Stephen J. Taylor
Keyword(s):  
Empirical Evidence ◽  
Stock Prices

Why Do Demand Curves for Stocks Slope Down?

2009 ◽  
Vol 44 (5) ◽  
pp. 1013-1044 ◽  
Author(s):  
Antti Petajisto
Keyword(s):  
Risk Aversion ◽  
Empirical Evidence ◽  
Cross Section ◽  
Stock Prices ◽  
Individual Investors ◽  
Market Portfolio ◽  
Collective Risk ◽  
Demand Curves ◽  
Price Effects ◽  
Money Managers

AbstractRepresentative agent models are inconsistent with existing empirical evidence for steep demand curves for individual stocks. This paper resolves the puzzle by proposing that stock prices are instead set by two separate classes of investors. While the market portfolio is still priced by individual investors based on their collective risk aversion, those individual investors also delegate part of their wealth to active money managers, who use that capital to price stocks in the cross section. In equilibrium, the fee charged by active managers has to equal the before-fee alpha they earn. This endogenously determines the amount of active capital and the slopes of demand curves. A calibration of the model reveals that demand curves can be steep enough to match the magnitude of many empirical findings, including the price effects for stocks entering or leaving the S&P 500 index.

scholarly journals Does Stock Market Performance Affect Economic Growth? Empirical Evidence from Saudi Arabia

2019 ◽  
Vol 11 (9) ◽  
pp. 21 ◽  
Author(s):  
Moayad H. Al Rasasi ◽  
Soleman O. Alsabban ◽  
Omar A. Alarfaj
Keyword(s):  
Economic Growth ◽  
Empirical Evidence ◽  
Stock Prices ◽  
Causality Test ◽  
Steady State Condition ◽  
Long Run ◽  
Stock Market Performance ◽  
Cointegration Tests ◽  
The Impact

This research paper investigates the impact of stock prices on real economic activity in the Saudi Arabian economy. We utilize various econometric techniques – Johansen and Juselius’s (1990) cointegration tests and Granger’s (1969) causality test – to assess such a relationship, based on quarterly observations spanning the period from the first quarter of 2010 to the fourth quarter of 2018. Our empirical evidence indicates the presence of a significant cointegrating relationship between the two variables being examined; in other words, stock prices have a significant impact on real economic growth. Specifically, the estimated long-run relationship reveals that a 1 percent increase in stock prices would boost economic growth by 0.32 percent. In addition, the error correction model suggests that when the economy deviates from its steady state condition, it needs about a year and a half to return to its equilibrium condition. Lastly, this paper applies the most common Granger causality test, which confirms the essential role of stock prices in predicting changes in economic growth.

scholarly journals Peran Retrun On Assets (ROA) Sebagai Variabel Mediasi Pada Pengaruh Non Performing Loan (NPL) Dan BI Rate Terhadap Harga Saham Bank BUMN Periode 2011 – 2020

Owner ◽  
2022 ◽  
Vol 6 (1) ◽  
pp. 400-415
Author(s):  
Yayan Nasikin ◽  
Indah Yuliana
Keyword(s):  
Data Analysis ◽  
Linear Regression ◽  
Multiple Linear Regression ◽  
Empirical Evidence ◽  
Direct Effect ◽  
Indirect Effect ◽  
Stock Prices ◽  
Quantitative Research ◽  
Return On Assets ◽  
Analysis Technique

The purpose of this study is to provide empirical evidence regarding the direct effect of Non Performing Leon (NPL) and BI Rate on Return On Assets (ROA) and stock prices, indirect effect of Non Performing Leon (NPL) and BI Rate on stock prices through Return On Assets (ROA) as a mediating variable in state-owned banks for the period 2011 – 2020. This type of research is quantitative research. The data analysis technique used is multiple linear regression and mediation test using Eviews 12 program and Sobel Test Online. The results of this study show that simultaneously Non Performing Loans (NPL), BI Rate and Return On Assets (ROA) have a significant effect on stock prices. Partially 1). Non-performing loans (NPL) have a negative and significant impact on Return On Assets (ROA). 2) BI Rate has a positive but not significant impact on Return On Assets (ROA). 3). NPL (Non Performing Loan) has a negative and significant impact on stock prices. 4). BI Rate has a negatif and significant impact on stock prices. 5) Return on Assets (ROA) has a positive and significant impact on stock prices. Return on Assets (ROA) as a mediating variable is able to mediate the effect of non-performing loans (NPL) on stock prices, however, Return On Assets (ROA) does not mediate the effect of the BI Rate on stock prices.

scholarly journals Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence

10.3386/w2795 ◽  
1988 ◽  
Author(s):  
Myung Jig Kim ◽  
Charles Nelson ◽  
Richard Startz
Keyword(s):  
Empirical Evidence ◽  
Stock Prices ◽  
Mean Reversion

scholarly journals Revisiting spillover effect: An empirical evidence from GARCH-ARMA approach

Industrija ◽  
2021 ◽  
Vol 49 (1) ◽  
pp. 67-80
Author(s):  
Huruta Dolfriandra ◽  
Andreas Hananto ◽  
Roberto Forestal ◽  
Anboli Elangovan ◽  
John Diaz
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Empirical Evidence ◽  
Stock Prices ◽  
Stock Price ◽  
Spillover Effect ◽  
Commodity Markets ◽  
Commodity Exchange ◽  
Daily Data ◽  
Positive Spillover

This study analyzes the spillover effect of markets' commodity, exchange rate, and stock price. Starting from July 1, 2009, the daily data to December 31, 2019, are conducted in our study. The GARCH-ARMA approach has been undertaken in this study. The results show that four pairs experience the unidirectional (positive) spillover effect of return. Yet, the spillover effect of volatility shows a two-way relationship (both positive and negative) between commodity markets, stock prices, and exchange rates. To conclude, both stock prices and gold are volatility's net transmitters to other markets, while the EURUSD market is some markets' net receiver of volatility.

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