Return range and the cross-section of expected index returns in international stock markets

This paper assesses the existence of the size effect on the most important stock markets in Latin America (Argentina, Brazil, Chile, Colombia, Mexico and Peru) for the period between 2002 and 2012, using the cross-section contrast methodology of the size effect in the CAPM context. Results show that there is reversed effect in some of the Latin American markets.

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Are herding transmissions in the gulf cooperation council stock markets regional or international?

Review of Behavioral Finance ◽

10.1108/rbf-06-2020-0137 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Dina Gabbori ◽

Basel Awartani ◽

Aktham I. Maghyereh ◽

Nader Virk

Keyword(s):

Cross Section ◽

Stock Markets ◽

Equity Market ◽

Short Term ◽

Absolute Deviation ◽

Content Type ◽

Market Return ◽

The Us ◽

The Cross ◽

The Relationship

PurposeThe authors aim to assess whether herding in GCC stock markets is more responsive to global dynamics than its response to regional developments. To do so, they use the largest equity market in the region which is Saudi Arabia as the benchmark, and then they examine if herding crosses from this large regional market to the rest of equities in the neighboring markets during various time periods. To compare the importance of global influences on herding, the authors investigate and compare the impact of the information flow from the US equity market on the herding of equities in the GCC markets.Design/methodology/approachTo investigate herding in GCC markets the authors use the relationship between the squared market return and the cross-section absolute deviation that does not covary with market styles and/or fundamentals. In order to do that we follow Galariotis et al. (2015) and account for four styles: market-oriented, small-cap, value and momentum. As these factors have been shown to be associated with the economic fundamentals, filtering the covariance of deviation with these factors is expected to remove the style and the fundamental herding influence from the value of the dispersion.FindingsThe results show significant herding behavior that persists across various independent periods. This evidence stands even when the authors control for the well- known factor structures in stock returns. Importantly, the authors find that the few herding crossovers that occurred during the sample period are more likely to originate from the Saudi market rather than from the US. Therefore, the authors conclude that behavioral inefficiencies in the GCC equity markets are likely to be regional and that the sentiment-based trading in the US has essentially a minimal role to play.Practical implicationsThe empirical findings are useful for policymakers who aim at preventing market manipulation in order to preserve the integrity of financial markets. Policymakers in the GCC should disclose more information to aid investors so they do not rely on other investors' trades. The portfolio managers should be aware that the correlation of GCC equities can be higher in the short term due to common market herding in these countries. As the US market does not play an important role in triggering behavioral irrationalities in these markets, investing in GCC equities is a good hedge in a US portfolio. Finally, the results have also important implications for active funds that aim to exploit short-term trending in markets in order to enhance performance.Originality/valueThe authors’ contribution in this paper is to investigate herding in GCC markets by using the relationship between the squared market return and the cross-section absolute deviation that does not covary with market styles and/or fundamentals. Another contribution of our paper is to investigate any cross herding from the Saudi market to the rest of the markets in the area. The previous literature on GCC equity market herding is silent on this issue and it is typically restricted to the level of the single market.

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The cross section of conditional mutual fund performance in European stock markets

Journal of Financial Economics ◽

10.1016/j.jfineco.2013.01.008 ◽

2013 ◽

Vol 108 (3) ◽

pp. 699-726 ◽

Cited By ~ 54

Author(s):

Ayelen Banegas ◽

Ben Gillen ◽

Allan Timmermann ◽

Russ Wermers

Keyword(s):

Cross Section ◽

Mutual Fund ◽

Stock Markets ◽

Fund Performance ◽

Mutual Fund Performance ◽

The Cross ◽

European Stock Markets

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A New Approach to the Demonstration of Oxidase-Localization Using Tannic Acid Or Catechin

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100073933 ◽

1973 ◽

Vol 31 ◽

pp. 698-699

Author(s):

V. Mizuhira ◽

Y. Futaesaku

Keyword(s):

Cross Section ◽

Tannic Acid ◽

Elastic Fiber ◽

The Other ◽

New Approach ◽

Tissue Block ◽

Active Reaction ◽

The Cross

Previously we reported that tannic acid is a very effective fixative for proteins including polypeptides. Especially, in the cross section of microtubules, thirteen submits in A-tubule and eleven in B-tubule could be observed very clearly. An elastic fiber could be demonstrated very clearly, as an electron opaque, homogeneous fiber. However, tannic acid did not penetrate into the deep portion of the tissue-block. So we tried Catechin. This shows almost the same chemical natures as that of proteins, as tannic acid. Moreover, we thought that catechin should have two active-reaction sites, one is phenol,and the other is catechole. Catechole site should react with osmium, to make Os- black. Phenol-site should react with peroxidase existing perhydroxide.

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Energy Distribution in Electron Beams

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100096096 ◽

1972 ◽

Vol 30 ◽

pp. 568-569

Author(s):

Tamotsu Ohno

Keyword(s):

Electron Beam ◽

Energy Distribution ◽

Cross Section ◽

Integral Curve ◽

Electron Beams ◽

Electron Gun ◽

Angular Divergence ◽

Apparent Increase ◽

Integral Width ◽

The Cross

The energy distribution in an electron; beam from an electron gun provided with a biased Wehnelt cylinder was measured by a retarding potential analyser. All the measurements were carried out with a beam of small angular divergence (<3xl0-4 rad) to eliminate the apparent increase of energy width as pointed out by Ichinokawa.The cross section of the beam from a gun with a tungsten hairpin cathode varies as shown in Fig.1a with the bias voltage Vg. The central part of the beam was analysed. An example of the integral curve as well as the energy spectrum is shown in Fig.2. The integral width of the spectrum ΔEi varies with Vg as shown in Fig.1b The width ΔEi is smaller than the Maxwellian width near the cut-off. As |Vg| is decreased, ΔEi increases beyond the Maxwellian width, reaches a maximum and then decreases. Note that the cross section of the beam enlarges with decreasing |Vg|.

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