Mohammad A. Khataybeh, Mohamad Abdulaziz, Zyad Marashdeh
{"title":"Cross-Sectional Relationship Between Beta and Realized Returns in Emerging Markets","authors":"Mohammad A. Khataybeh, Mohamad Abdulaziz, Zyad Marashdeh","doi":"10.3790/aeq.65.2.115","DOIUrl":"https://doi.org/10.3790/aeq.65.2.115","url":null,"abstract":"Abstract\u0000 This paper examines the conditional risk-return relationship caused by the impact of using realized returns as a proxy for expected returns, which requires a separation of negative and positive market premiums. Following the methodology of Pettengill et al. (1995), we test the cross sectional relationship between beta and realized returns on the Amman Stock Exchange (ASE) for ten beta sorted portfolio over the period of January 1993 to December 2016. The empirical results suggest that the traditional two-pass approach produces an insignificant relationship between beta and realized returns in most of the sample period. However, when adjusting for negative market premiums, the results show a significant and consistent relationship for all the testing periods and samples. However, a guaranteed reward for holding extra risk occurred only in the period 2001 –2008, which suggests an assurance of positive risk-return tradeoff during bull markets.\u0000 JEL Classifications: G11, G12, G15, C21\u0000 Asset Pricing, Emerging Markets, Conditional Relationship, Beta, Market Premium","PeriodicalId":387943,"journal":{"name":"Applied Economics Quarterly: Volume 65, Issue 2","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126591541","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}
{"title":"Economic Policy Uncertainty and Household Financial Assets","authors":"Hassan F. Gholipour, M. Dunkley","doi":"10.3790/aeq.65.2.101","DOIUrl":"https://doi.org/10.3790/aeq.65.2.101","url":null,"abstract":"Abstract\u0000 We examine the relationship between economic policy uncertainty (EPU) and patterns of two major household financial assets. Using data from a set of OECD countries from 1995 to 2016 and applying cointegrating regressions, we find evidence that escalations in EPU shift households’ portfolios away from shares and towards currency and deposits. Our results have important implications for macroeconomic policymakers and corporate finance managers.\u0000 JEL Classifications: G11, D81\u0000 Policy Uncertainty; Household Financial Assets; FMOLS","PeriodicalId":387943,"journal":{"name":"Applied Economics Quarterly: Volume 65, Issue 2","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126879669","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}
{"title":"Do Globalization and Institutional Reforms Matter for Financial Structure in Selected Asian Countries? A Panel Data Approach","authors":"Madhu Sehrawat, A. K. Giri","doi":"10.3790/aeq.65.2.87","DOIUrl":"https://doi.org/10.3790/aeq.65.2.87","url":null,"abstract":"Abstract\u0000 This present study aims to examine the dynamic relationship between globalization, institutional reforms, and financial development in the context of South Asian economies over the period 1985–2015 by employing panel data methods. The Westerlund (2007) panel co-integration test result indicates that there exists a long-run equilibrium relationship between globalization, institutional reforms, and financial development. The findings of panel dynamic ordinary least squares (PDOLS) indicate that the effect of globalization is positive and statistically significant to financial development. Furthermore, the empirical evidence of a dynamic panel error-correction model reveals a unidirectional causal relationship running from globalization and institutional reform to financial development. In terms of policy recom-mendations, the study suggests that it is vital to focus on globalization and institutional reforms to promote effectiveness of the financial system and economic performance in the region.\u0000 JEL Classifications: F19, G29\u0000 globalization, institutional reforms, South Asia, Panel Dynamic OLS (PDOLS), panel causality","PeriodicalId":387943,"journal":{"name":"Applied Economics Quarterly: Volume 65, Issue 2","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131279843","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}
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
