<p>The association of exchange rates with stock returns and performance in major trading markets is widely accepted. The world’s economy has seen unprecedented growth of interdependent; as such the magnitude of the effect of exchange rates on returns will be even stronger. Since the author perceives the importance of exchange rates on stock returns, the author found it interesting to study the effect of exchange rates on some stocks traded on the Stock exchange.</p><p>There has been a renewed interest to investigate the relationship between returns and exchange rates as such; the author has chosen to investigate the present study to focus in the United Kingdom with data from the London Stock exchange .The author carried out his research on 18 companies traded on the London Stock Exchange in the process, using linear regression analysis. Taking into account the fact that the magnitude of exchange rate movements on stock returns is governed by a series of factors, the author did set up a selection criteria which spread across a series of industries ranging from financial services, manufacturing, aviation, mining, tobacco, fashion and food processing. All selected companies are of the FTSE 100 companies.</p><p>The author produced results that to some degree are consistent with predictions in the theoretical framework. The author find significant exposure of stock returns to changes in exchange rates for some companies in the sample of FTSE 100 firms used in the study. The author equally finds out that particular currencies may be of more risk to certain companies than to others by introducing euro values in to his regression equation. This gives the compelling evidence that these companies rely heavily on external sales and revenue.</p><p>The author, further employed lagged values of exchange rates in to his regression and found significant evidence of the possibility of mispricing for certain stocks and the impact of the previous days trading figures on present stock prices. The author believes that the weak responds in certain cases was as a result of hedging strategies put in place by these companies and risk management strategies which tend to minimise the effect of exchange rates movements.</p>

The first essay provides evidence on the origins of the size and value premiums by examining how order flow in the SMB and HML portfolios relates to economic conditions and investor sentiment. We find that buying pressure for SMB and HML is lower (increases) when economic conditions are expected to deteriorate (improve), while it is unrelated to proxies for investor sentiment and sales growth. These findings are consistent with big stock and value stocks being regarded as hedges against adverse shifts in economic conditions, and support a rational state variable interpretation of the size and value premiums. The second essay finds that the marketwide average of individual stock order flows and the difference between the average order flow for big stocks and the average order flow for small stocks (order flow differential) predict growth rates in real GDP, industrial production, and corporate earnings. The predictive significance of these two measures is robust to controls for return factors, suggesting a role for order flow in forecasting stock returns. Consistently, we show that an increase in the order flow differential forecasts higher returns for ten size-sorted portfolios and significantly greater market and size premiums in the subsequent quarter, even after accounting for a large host of variables. These findings are consistent with a world where aggregate order flow brings together dispersed information from heterogeneously informed investors. The third essay shows that stocks that are harder to value (stocks with less valuable growth options and more dispersed analyst forecasts) and stocks that attract less uninformed trading activity (small stocks, illiquid stocks, stocks not covered by analysts) have higher price impacts, greater probabilities of informed trading, and more private information in returns. In the time-series, reductions in trading activity and consumer sentiment increase the average price impact of trading and reduce the share of firm-specific information in returns. Recessions see high price impacts, low trading activity, and a smaller share of private signals in price movements. This reduction in private information seems to have an impact on the informativeness of prices for corporate managers: the sensitivity of corporate investment to the prices is significantly lower during recessions. / Finance

The association of exchange rates with stock returns and performance in major trading markets is widely accepted. The world’s economy has seen unprecedented growth of interdependent; as such the magnitude of the effect of exchange rates on returns will be even stronger. Since the author perceives the importance of exchange rates on stock returns, the author found it interesting to study the effect of exchange rates on some stocks traded on the Stock exchange. There has been a renewed interest to investigate the relationship between returns and exchange rates as such; the author has chosen to investigate the present study to focus in the United Kingdom with data from the London Stock exchange .The author carried out his research on 18 companies traded on the London Stock Exchange in the process, using linear regression analysis. Taking into account the fact that the magnitude of exchange rate movements on stock returns is governed by a series of factors, the author did set up a selection criteria which spread across a series of industries ranging from financial services, manufacturing, aviation, mining, tobacco, fashion and food processing. All selected companies are of the FTSE 100 companies. The author produced results that to some degree are consistent with predictions in the theoretical framework. The author find significant exposure of stock returns to changes in exchange rates for some companies in the sample of FTSE 100 firms used in the study. The author equally finds out that particular currencies may be of more risk to certain companies than to others by introducing euro values in to his regression equation. This gives the compelling evidence that these companies rely heavily on external sales and revenue. The author, further employed lagged values of exchange rates in to his regression and found significant evidence of the possibility of mispricing for certain stocks and the impact of the previous days trading figures on present stock prices. The author believes that the weak responds in certain cases was as a result of hedging strategies put in place by these companies and risk management strategies which tend to minimise the effect of exchange rates movements.

This study presents an observation of the impact of Opec announcements on the behavior of sector indexes returns of the Stockholm stock market. It looks at the effects of the announcements on the stock returns of three sectors indices of theStockholm stock market: Energy, Telecommunications and Financial using the general market index return (OMX Stockholm 30) as the explanatory variable. The time period analyzed is limited to the years of 2005 to 2007 when markets worldwide were taken by euphoria and panic caused by the anticipation of the upcoming financial crisis given that it has been well proved that such events do cause a substantial effect on stock prices. In order to estimate the reaction of the sector index returns over Opec announcements, the author uses the event studies and constructs an extended version of the CAPM model by introducing dummy variables for each day of the set of announcements over the event window. It is used stationary time series data and the returns on the three sector indices were subdivided in an event window of 5 days around the announcement dates in continuous intervals of 3 years according to the Stockholm stock market trading days. As to improve the results obtained with the CAPM model, the author uses the Cumulative Abnormal Returns (CAR) which adds all the coefficients of the dummy variables which are the returns in excess of what is expected. The empirical findings for the event study reveal that none of the dummy variable coefficients were significant which indicate that none of the sector indexes is sensitive to the announcements. For the CAR results, the Telecommunication was the only sector that responded to news. Most likely because the general market index OMXST30 has proved to create extra returns around these dates. That is probably the reason that the three sector indexes could not produce significant additional response.

The purpose of this paper is to investigate if real stock returns are related to real GDP growth for the case of Sweden between 1980 and 2008. By using correlation tests, the paper presents evidence that there is almost no correlation between current real stock returns and current real GDP growth. On the other hand, Granger causality tests show that stock returns are related to future production growth for the period 1980-2008. Stock returns therefore indicate real economic activity in the next quarter. Between 1980 and 1992, there is no evidence of Granger causality from stock returns to GDP growth. However, stock returns Granger-cause production growth between 1993 and 2008, which suggests that the market has become better at predicting future economic activity. The paper also documents that GDP growth does not indicate future stock returns.

With the progress of the times, the international financial market link is becoming more and more closely, while the probability of extreme events more and more high, if there are some indicators can be used as a prediction of the crash, as whether to sell the stocks, it can be very useful. The study process for the use of the Fama-French five-factor model, as well as the VaR model, with the cluster analysis method, and clustering for Taiwan 50 constituent stocks in accordance with the five-factor characteristics of the individual stocks, the similar nature of stock into the same group, the establishment of portfolio, the use of portfolio daily returns to calculate the the VaR, and observe the VaR spread before the crash, how the trend, and whether certain characteristics. Comparison of the cluster group for the predictive ability of the collapse events, as well as the relationship between risk factors and predictive ability. The results of VaR spread movements are often subject to fluctuations significantly change the situation before the crash occurs. By intense will be stable or from stable will be severe. Good predictive ability of the cluster, often its constituent stocks and the collapse of the reasons more closely the relationship. Financial stocks sensitive to the financial tsunami; Electronic stocks are subject to exchange rate affect.Overall, the group with the best predictive ability is more sensitive to momentum effects and investor sentiment indicators ,but non-sensitive to book-to-market factor.To use the Var spread as a predictor of reference,choosing to meet the aforementioned conditions of stocks to the portfolio is a nice way.

Due to the financial turmoil in recent years, risk management has become an important issue, investors would like to be fully-prepared to cope with financial crisis before it happen. This research uses the Fama and French three-factor and the U.S. Dollar Index (USDX) as an exchange rate variations indicator to capture the international relations. It constitutes a four-factor model to analyze the S&P100 stock returns changes, and we introduce the skewed-t distribution to simulate the distribution of stock returns and capture the characteristics of skewness and kurtosis. We use cluster analysis to cluster the sample companies by their risk characteristics. And then we observe the explanatory power of each risk factor. The study shows that the S&P100 stocks are subjected to the market premium, and the scale effect is smaller than others. ¡@¡@ At last, in accordance with the GARCH-Skewed-t model to simulate the average, variance, skewness and kurtosis of each cluster. We track the long-term performance of each parameter which are used to observe the unusual changes before financial crisis. The empirical results show that the skewness parameter has perfect warning for financial turmoil. The cluster with warning ability is affected by B/M ratio effect and exchange rate changes. Among the case, the cluster has the best early warning effect when it's influenced by the exchange rate indicator. It displays that by adding an exchange rate risk indicator into the multi-factor model, we will have a better clustering result. It means that the skewness parameter of cluster with influence of exchange rate indicator can be used to observe financial turmoil, which can in turns, be used as an early warning system to determine the occurrence of extreme events.

Existing papers have shown that innovation and consumer satisfaction influence the firm performance and stock returns; however, the related papers usually neglect the impacts of market status. This paper extends prior papers by considering the impacts of market status when exploring the relationship among innovation, consumer satisfaction, and firm performance. Empirical results show that in the bull markets innovation and consumer satisfaction do not significantly affect stock returns while in the bear markets stock returns are positively associated with the level of innovation and consumer satisfaction. These results suggest that managers should take market status into consideration when making marketing decisions.

<p>The purpose of this paper is to investigate if real stock returns are related to real GDP growth for the case of Sweden between 1980 and 2008. By using correlation tests, the paper presents evidence that there is almost no correlation between current real stock returns and current real GDP growth. On the other hand, Granger causality tests show that stock returns are related to future production growth for the period 1980-2008. Stock returns therefore indicate real economic activity in the next quarter. Between 1980 and 1992, there is no evidence of Granger causality from stock returns to GDP growth. However, stock returns Granger-cause production growth between 1993 and 2008, which suggests that the market has become better at predicting future economic activity. The paper also documents that GDP growth does not indicate future stock returns.</p>

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