Time Aggregation and the Estimation of the Market Model: Empirical Evidence

1987 ◽  
Vol 5 (1) ◽  
pp. 131 ◽  
Author(s):  
Phillip A. Cartwright ◽  
Cheng F. Lee
Keyword(s):  
Empirical Evidence ◽  
Market Model ◽  
Time Aggregation

The Empirical Evidence for Citizen Information and a Local Market for Public Goods

1995 ◽  
Vol 89 (3) ◽  
pp. 705-709 ◽  
Author(s):  
David Lowery ◽  
W. E. Lyons ◽  
Ruth Hoogland DeHoog ◽  
Paul Teske ◽  
Mark Schneider ◽  
...  
Keyword(s):  
School Districts ◽  
Theoretical Analysis ◽  
Empirical Study ◽  
Empirical Evidence ◽  
Local Governments ◽  
Competitive Market ◽  
Market Model ◽  
Local Market ◽  
Tax Rates ◽  
General Importance

In their 1993 article in this Review, Paul Teske, Mark Schneider, Michael Mintrom, and Samuel Best sought to establish the microfoundations for a model of a competitive market for public services between local governments in polycentric regions. An important part of their model focused on subgroups of informed citizens, especially recent movers. Theoretical analysis was supplemented by an empirical study of the factors shaping accuracy of Long Island homeowners' information about relative expenditures and tax rates of their school districts. David Lowery, W. E. Lyons and Ruth Hoogland DeHoog criticize the relevance of this empirical evidence, suggesting the atypical nature of education as a service (especially in this site) and challenging the sufficiency of the demonstrated levels of information for generating a competitive market. Teske and his colleagues reply by pointing out the general importance of education throughout American local policymaking and by defending the relevance of their measures and conclusions for their market model.

scholarly journals The Profitability of Momentum Strategies: Empirical Evidence from Damascus Securities Exchange (DSE)

2018 ◽  
Vol 5 (1) ◽  
pp. 16-29
Author(s):  
Oubay Mahmoud ◽  
Almougheer I Wardeh
Keyword(s):  
Empirical Evidence ◽  
Market Risk ◽  
Trading Strategies ◽  
Market Model ◽  
Momentum Effect ◽  
Momentum Strategy ◽  
Momentum Strategies ◽  
Monthly Data ◽  
Contrarian Strategy ◽  
Momentum Profits

The purpose of this study is to examine the profitability of Momentum based- trading strategies and investigate the causes of such profitability in Damascus Securities Exchange (DSE) market. The study analyzed 16 Momentum strategies based on full rebalancing and equally weighted techniques using monthly data from January 2010 to December 2016. The findings of the study showed low but significant Momentum effect, where the returns of Momentum portfolios were statistically positive only in 1 out of 16 strategies. Our findings suggest that Momentum strategy is applicable for winner portfolios whereas contrarian strategy is more appropriate for loser portfolios. We also adopted Market Model in order to investigate the possible risk-based explanations of Momentum profits, but we found that market risk is unable to explain the Momentum profitability in DSE market.

scholarly journals Does CEO Turnover Matter? Empirical Evidence from the Philippines

2019 ◽  
Vol 7 (1) ◽  
pp. 1014-1029
Author(s):  
Deske Mandagi
Keyword(s):  
Empirical Evidence ◽  
Market Reaction ◽  
Emerging Market ◽  
Explanatory Power ◽  
Voluntary Turnover ◽  
The Philippines ◽  
Ceo Turnover ◽  
Market Model ◽  
Study Methodology ◽  
Forced Turnover

Introduction: This study investigated the market reaction to announcements of CEO turnovers in Philippine-listed companies between January 2008 and December 2018. Turnovers were classified concerning successors’ origin (internal versus external), turnover type (forced versus voluntary), and successors’ gender (male versus female).   Methods: Event study methodology using the market model was employed to analyze the hand-collected sample of 136 CEO turnover announcements.   Results: Market reaction was significantly positive for internal, external, and voluntary turnover. The market reaction, however, was found to be significantly negative in the case of forced turnover. Similarly, concerning the gender difference, the result showed that market reaction was significantly negative for female CEO appointments and significantly positive for male CEOs.   Discussion: The results provide strong evidence that new CEOs’ selected attributes and the turnover’s characteristics are factors that have the explanatory power on the investor’s reaction. The contributions of this study to the literature are threefold. First, it serves as the first empirical evidence of market reaction to CEO turnover from the Philippines emerging market. This study also confirms the finding of the previous studies on CEO turnover by looking into several turnover categories, namely external, internal, forced, and voluntary. Finally, it enriches the limited empirical evidence on the CEOs’ gender effect on abnormal return surrounding the turnover announcement date.

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