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The Lure of the Slant and the Banality of the Conservative 倾向性的诱惑和保守主义的平庸
Asset Pricing 1 Pub Date : 2016-04-12 DOI: 10.2139/ssrn.1746463
Craig O. Brown
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引用次数: 1
The Impact of Monetary Policy on Australian Capital City House Prices: The Case of Australia 货币政策对澳大利亚首都城市房价的影响:以澳大利亚为例
Asset Pricing 1 Pub Date : 2013-08-08 DOI: 10.2139/ssrn.2307469
Greg Costello, P. Fraser, G. Macdonald
{"title":"The Impact of Monetary Policy on Australian Capital City House Prices: The Case of Australia","authors":"Greg Costello, P. Fraser, G. Macdonald","doi":"10.2139/ssrn.2307469","DOIUrl":"https://doi.org/10.2139/ssrn.2307469","url":null,"abstract":"Using Australian national economic data and state level house prices we construct a structural vector autoregressive (SVAR) model to identify the impact of common monetary policy shocks on house prices both at national and state levels. Our results suggest that the impact of a shock to interest rates on national aggregate house prices is almost neutral. However, aggregation influences mask asymmetries in the responses of state capital city housing markets. Positive shocks to interest rates on capital city house prices exhibit significant asymmetries.","PeriodicalId":123484,"journal":{"name":"Asset Pricing 1","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133507764","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
CEO Ownership and Stock Market Performance, and Managerial Discretion CEO所有权、股票市场表现和管理层自由裁量权
Asset Pricing 1 Pub Date : 2013-05-01 DOI: 10.2139/SSRN.1343179
Ulf von Lilienfeld-Toal, S. Ruenzi
{"title":"CEO Ownership and Stock Market Performance, and Managerial Discretion","authors":"Ulf von Lilienfeld-Toal, S. Ruenzi","doi":"10.2139/SSRN.1343179","DOIUrl":"https://doi.org/10.2139/SSRN.1343179","url":null,"abstract":"type=\"main\"> We examine the relationship between CEO ownership and stock market performance. A strategy based on public information about managerial ownership delivers annual abnormal returns of 4% to 10%. The effect is strongest among firms with weak external governance, weak product market competition, and large managerial discretion, suggesting that CEO ownership can reverse the negative impact of weak governance. Furthermore, owner-CEOs are value increasing: they reduce empire building and run their firms more efficiently. Overall, our findings indicate that the market does not correctly price the incentive effects of managerial ownership, suggesting interesting feedback effects between corporate finance and asset pricing.","PeriodicalId":123484,"journal":{"name":"Asset Pricing 1","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133223798","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 91
Are Co-Skewness and Co-Kurtosis Factors Priced? 共偏性和共峰度因素定价了吗?
Asset Pricing 1 Pub Date : 2011-08-26 DOI: 10.2139/ssrn.1917084
R. Heaney, Yihui Lan, Sirimon Treepongkaruna
{"title":"Are Co-Skewness and Co-Kurtosis Factors Priced?","authors":"R. Heaney, Yihui Lan, Sirimon Treepongkaruna","doi":"10.2139/ssrn.1917084","DOIUrl":"https://doi.org/10.2139/ssrn.1917084","url":null,"abstract":"This paper investigates whether co-skewness and co-kurtosis are priced in US stocks over the period from July 1963 to December 2010, using the Fama and Macbeth (1973) method. The results in this paper suggest that these moment based variables are subsumed by the Fama and French (1992, 1993) three-factor model. We also include a momentum factor in our analysis but find little support for this factor except in the earlier part of our study period (July 1963 to December 1990). Our findings reaffirm the importance of size and book-to-market factors in the US stock market.","PeriodicalId":123484,"journal":{"name":"Asset Pricing 1","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114874280","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Stock Markets, Banks and Economic Growth: Some Evidence on the Role of Stock Price Informativeness 股票市场、银行与经济增长:股票价格信息性作用的证据
Asset Pricing 1 Pub Date : 2011-08-26 DOI: 10.2139/ssrn.1917328
Fang Chin Cheng, F. Gul
{"title":"Stock Markets, Banks and Economic Growth: Some Evidence on the Role of Stock Price Informativeness","authors":"Fang Chin Cheng, F. Gul","doi":"10.2139/ssrn.1917328","DOIUrl":"https://doi.org/10.2139/ssrn.1917328","url":null,"abstract":"This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return variation is positively associated with economic growth after controlling for variables in the Levine and Zervos’s (1998) model. However, when we split the countries into emerging versus developed countries, we find that stock price informativeness acts as a substitute for banking development and stock market liquidity in predicting economic growth in emerging countries but not in more developed countries. These results are consistent with the Roll’s (1988) claim: more information-laden stock prices signal efficient stock markets and, therefore, stronger economic growth.","PeriodicalId":123484,"journal":{"name":"Asset Pricing 1","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127920413","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Individualism, Uncertainty Avoidance, and Earnings Momentum in International Markets 个人主义、不确定性规避与国际市场的收益动量
Asset Pricing 1 Pub Date : 2010-10-08 DOI: 10.2139/ssrn.1689420
Yiwen Dou, J. Hunton, Cameron Truong, M. Veeraraghavan
{"title":"Individualism, Uncertainty Avoidance, and Earnings Momentum in International Markets","authors":"Yiwen Dou, J. Hunton, Cameron Truong, M. Veeraraghavan","doi":"10.2139/ssrn.1689420","DOIUrl":"https://doi.org/10.2139/ssrn.1689420","url":null,"abstract":"This study examines whether cultural dimensions such as individualism and uncertainty avoidance can explain the variation in the profitability of the earnings momentum strategies in international markets. Using the time-varying cultural indices of Tang and Koveos (2008) for 30,383 firms from 41 countries over the period 1995–2008, we show that the level of individualism in a country is positively associated and the level of uncertainty avoidance is negatively associated with earnings momentum profits. Our findings are robust to the inclusion of a comprehensive set of control variables and alternative cultural metrics. The central message is that we emphasize the necessity to go beyond the assumption of perfect rationality and to account for innate differences among international investors to explain how accounting information is incorporated into stock prices. We recommend that cultural dimensions be included in cross-country research to account for innate differences among international investors.","PeriodicalId":123484,"journal":{"name":"Asset Pricing 1","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132743472","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 47
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