Σκοπός της εργασίας είναι να εξακριβώσει αν το φαινόμενο των μικρών εταιριών εμφανίζεται και εξηγείται από τις αποδόσεις σε χαρτοφυλάκια ελληνικών μετοχών, εταιριών εισηγμένων στο Χρηματιστήριο Αξιών Αθηνών (Χ.Α.Α.) την περίοδο 2005-2010. Δηλαδή να δούμε αν και σε ποιο βαθμό το μέγεθος της κεφαλαιοποίησης των επιχειρήσεων επηρεάζει τη διαμόρφωση των αποδόσεων των μετοχών τους. / The purpose of this study is to determine whether the phenomenon of small firms appears and explained by Greek yields portfolios of shares of companies listed on the Athens Stock Exchange (ASE) over the period 2005-2010. That is to see if and to what extent the size of the market capitalization of the company influence the formation of their stock returns.

[pt] EVA é uma medida que avalia o desempenho das empresas em termos de geração de valor para os acionistas. Trata-se de uma metodologia bastante utilizada no mercado norte-americano e que vem ganhando espaço no mercado brasileiro. A relação do EVA com o valor de mercado e o desempenho das ações das empresas tem sido objeto de estudos nos últimos anos, tanto nos EUA quanto no Brasil, algumas vezes gerando resultados controversos. Neste contexto, esta pesquisa tem como principal objetivo testar, através de modelos de regressão linear, a relação entre o EVA e o desempenho das ações no mercado acionário brasileiro no período de 1995 a 2004. A amostra contempla todas as empresas que compõem o IBrX (índice das 100 ações mais negociadas da Bolsa de Valores de São Paulo) que possuam histórico mínimo de cinco anos de negociações, exceto as instituições financeiras. O resultado observado foi que de fato existe correlação entre o EVA e o desempenho das ações no mercado brasileiro, porém esta correlação é estatisticamente baixa, apesar de ter se mostrado crescente ao longo dos anos. / [en] EVA is a measure which assesses companies´ performance in terms of value generation to the shareholders. It is a methodology fairly used in the North- American market and which has been gaining space in the Brazilian market. The relation of the EVA with the market value and the companies´ performance has been the subject of many studies in the last years, both in the North-American and Brazilian markets, sometimes generating controversial results. Within this context, this research has as its main objective to test, through linear regression models, the relation between the EVA and the companies´ performance in the Brazilian Market during the period of 1995 to 2004. The sample contemplates all companies which compound the IBR-X (Index with the one hundred most traded stocks in the Bolsa de Valores de São Paulo) and that have a minimum record of five years of traded stocks, with the exception of financial institutions. The result observed was that in fact there is a correlation between the EVA and the companies´ performance in the Brazilian market, however, this correlation is statistically low, despite of its growing tendency shown in the tests throughout the years.

Submitted by Victor Duarte (victorduarte2112@gmail.com) on 2012-08-24T18:58:09Z No. of bitstreams: 1 FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2013-01-16T15:59:11Z (GMT) No. of bitstreams: 1 FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) / Made available in DSpace on 2013-01-16T16:01:55Z (GMT). No. of bitstreams: 1 FINAL.pdf: 1517093 bytes, checksum: 68490d17e1b30127bb95a56513507c8d (MD5) Previous issue date: 2012-05-28 / We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Abstract This thesis investigates whether stock returns can help forecast macroeconomic activity. Future earnings and dividends and current stock prices should contain information about the future state of firms and the consumption possibilities of consumers. These activities are linked to aggregate economic development and, hence, the stock markets should improve economic forecasting. We review the theoretical points that justify the importance of stock markets in economic forecasting. Recent literature on the stochastic discount factor in asset pricing and the real business cycle models has approached this connection. We try to show that the direction between financial markets and macroeconomy could be from stock markets to real economy. We empirically test the forecasting ability of stock markets with respect to macroeconomy. The unexpected part of stock return can be revealed with economic tracking portfolios (ETP), which are constructed so that the unexpected portion of the portfolio return has the maximum correlation with revisions to expectations of the target variable. ETP's track how investors revise their expectations about relevant macroeconomic variables. The results show that specific stock portfolios track future changes in macroeconomic variables well. In the previous literature, stock returns have been connected to the business cycle. This connection is analysed by explaining stock returns with total factor productivity (TFP) as a factor. TFP is measured by corporate innovation variable, i.e. the change in a firm's gross profit margin unexplained by changes in firm's capital and labour. The TFP variable performs quite nicely in explaining stock returns and it can be related to stock market momentum. Next, the aim is to investigate the forecasting power of stock returns together with the TFP factor. Even though in our results the TFP contains no information relevant for economic forecasting, the stock returns continue to perform well.

AN ABSTRACT OF THE THESIS OFSamridha Jung Rana, for the Master of Science degree in Economics, presented on November 10, 2022, at Southern Illinois University Carbondale.TITLE: MACROECONOMICS AND ANAMOLIES AS DETERMINANTS OF STOCK RETURNSMAJOR PROFESSOR: Dr. Scott GilbertAbstract: There is no general support to explain the strong correlation between the macroeconomic variables and the Standard & Poor 500 index fund returns. This thesis sheds some light on how the macroeconomic variables have impacted the monthly returns on the Standard & Poor 500 over the last decade. Firstly, we introduce the Standard & Poor 500 index and various macroeconomic factors influencing the U.S. economy over the years. Subsequently, investigating the casualty relationship between the monthly rate of returns, the consumer-producer index, the industrial producer index, Money Supply, Unemployment, inflation rate, and the exchange rate. The methodology used in this study includes a stepwise multiple regression model, Johansen cointegration test, Dickey-fuller augmented test, Phillip perron test, and the Granger Causality test. Furthermore, investigating stock market anomalies that have been verified immensely, such as the day-of-the-week Effect and month-of-the-year Effect, has also been explored to see whether those anomalies still exist in recent times.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: This research report examines stock market reactions to sudden changes in investor mood. The motivation for the study is the large volume of psychology and finance research showing that investor mood is affected by various non-economic or economically-neutral phenomena. Previous research has provided strong evidence of a link between the outcome of international sporting results, particularly soccer, and investor mood. This report examines the impact of South Africa's national soccer, rugby and cricket teams' performances in international matches on returns on the Johannesburg Stock Exchange (JSE). Match results constitute a mood proxy variable hypothesised to affect stock returns through its influence on investor mood. The unconditional mean return on the JSE All Share index for a 13 ½ year period from September 1995 to February 2009 was compared to the mean return after wins, draws and losses by the national sport teams. An event study approach was followed and four different statistical tests were conducted in order to test for a relationship. The results of the tests indicate the existence of a moderate win effect, with mean returns after wins being statistically significantly higher for all sports combined, cricket and soccer. The report concludes that there is some evidence of a relationship between sporting success and stock returns. / AFRIKAANSE OPSOMMING: Hierdie navorsingsverslag ondersoek die reaksie van die aandelebeurs op skielike veranderings in beleggersentiment. Die motivering vir die studie is die aansienlike volume sielkundige en finansiële navorsing wat toon dat beleggersentiment beïnvloed word deur verskeie nie-ekonomiese of ekonomies-neutrale verskynsels. Vorige navorsing het sterk getuienis verskaf van 'n verband tussen die uitkoms van internasionale sportresultate, veral sokker, en beleggersentiment. Hierdie verslag ondersoek die impak van Suid Afrika se nasionale sokker-, rugby- en krieketspanne se prestasies in internasionale wedstryde op opbrengste op die Johannesburg Effektebeurs (JEB). Wedstryduitslae verteenwoordig 'n sentimentsveranderlike met die hipotese dat dit aandeeloprengste sal beïnvloed deur die uitslae se invloed op beleggersentiment. Die onvoorwaardelike gemiddelde oprengs op die JEB All Aandele-index vir 'n 13 ½ jaar periode van September 1995 to Februarie 2009 is vergelyk met die gemiddelde oprengs na oorwinings, nederlae en gelykopuitslae van die drie nasionale spanne. 'n Gebeurtenisstudie-benadering is gevolg en vier verskillende statistiese toetse is uitgevoer om te toets vir 'n verband. Die resultate van die toetse dui op die bestaan van 'n matige oorwiningseffek met gemiddelde oprengste na oorwinnings wat statisties wesenlik hoër is vir alle sportsoorte gekombineerd, krieket en sokker. Die verslag kom tot die gevolgtrekking dat daar wel getuienis is van 'n verband tussen sportsuksesse en aandeeloprengste.

This paper researches the relationships between sub-center cities, satellite cities and core cities in Jingjinji Area, Huninghang Area and Pearl River Delta. It also covers the connections between Chinese housing market and stock market. It uses an unique dataset called China Real Estate Index System (CREIS) to measure the Chinese housing prices. Through correlations, Granger causality tests and regression models, this paper concludes there are indeed connections for the movements in housing prices in the surrounding cities relative to Beijing, Shanghai and Shenzhen in the three city groups, and there is no sufficient evidence to show the existence of the connection between Chinese housing market and stock market.

This research consists of two essays. The first essay entitled” Stock Return Forecasting with Sum-of-the-Parts Methodology: Evidence from Around the World”, examines forecasting ability of stock returns by employing the sum-of-the-parts (SOP) modeling technique introduced by Ferreira and Santa-Clara (2011).This approach decomposes return into three components of growth in price-earnings ratio, earnings growth, and dividend-price ratio. Each component is forecasted separately and fitted values are used in forecast model to predict stock return. We conduct a series of one-step ahead recursive forecasts for a wide range of developed and emerging markets over the period February 1995 through November 2014. Decomposed return components are forecasted separately using a list of financial variables and the fitted values from the best estimators are used according to out-of-sample performance. Our findings show that the SOP method with financial variables outperforms the historical sample mean for the majority of countries. Second essay entitled,” Equity Premium Predictability under Regime Shifts: International Evidence”, utilizes the modified version of the dividend-price ratio that alleviates some econometric concerns in the literature regarding the non-stationary and persistent predictor when forecasting international equity premium across different regimes. We employ Markov switching technique to address the issue of non-linearity between the equity premium and the predictor. The results show different patterns of equity premium predictability over the regimes across countries by the modified ratio as predictor. In addition, transition probability analysis show the adverse effect of financial crisis on regime transition probabilities by increasing the probability of switching between regimes post-crisis 2007 implying higher risk perceived by investors as a result of uncertainty inherent in regime transitions.

This paper aims to examine if firms listed on Nasdaq Stockholm with dividend exposure yield higher risk-adjusted returns than firms without dividend exposure. Using a data set consisting of observations between 2000-2017 we test the difference in mean risk-adjusted return, measured by the Sharpe ratio, between securities with different levels of dividend exposure. We divide our sample into portfolios, categorized in the first stage independently of investment style, size and book-to-market ratio, and in the second stage on dividend exposure, that are regrouped annually. We measure the performance in terms of the geometric mean monthly returns, the risk as standard deviation of returns and the risk-adjusted performance measured with the Sharpe ratio. Following our empirical study, we find indications of a value effect in the Swedish capital market and draw upon three main conclusions. First, for all but one portfolio, the risk decreases with an increased degree of dividend exposure. Second, securities with high-dividend exposure tend to yield higher risk-adjusted returns relative to securities with no-dividend exposure. Third, the effect of dividend exposure on risk-adjusted performance appears to be most significant on mid firms and growth firms

This study examines two interrelated but separate issues: cross-sectional predictability of equity returns in the Stock Exchange of Thailand (SET), and transmission of stock market movements. The first essay empirically investigates to what extent the evidence of three major documented stock market anomalies (earnings-price ratio, firm size, and book-to-market ratio) can be generalized across national stock markets. The second essay studies the price and volatility spillover effects from the New York Stock Exchange (NYSE) to the SET. The first essay, using the Fama-Macbeth procedure and the pooled time-series cross-sectional GLS regressions, finds a weak relation between the beta and average stock returns. The adjustment of estimated beta for the effect of thin trading does not change the implications of the results. Of the three anomalies investigated, the size effect has the most prominent and consistent role in explaining average returns. For the earnings-price ratio, the results indicate that the significance of the E/P ratio variable persists only if the nonfinancial firms are considered. In contrast to the previous empirical results for the U.S. and Japanese stock markets, the book-to-market ratio fails to explain the SET equity returns. The second essay employs a generalized autoregressive conditionally heteroskedastic (GARCH) model with conditional t-distributed errors to investigate the spillover effects. No evidence of price spillover effects is found for the full sample period. However, the spillover effects are significant during the period in which the Federal Reserve Board raised interest rates. Further examinations reveal that information inferred from price changes in the U.S. market influences only the opening price in the SET, not the open-to-close Thai stock market returns. This implies that price in the SET is informationally efficient with respect to the price determined in the U.S. stock market. The evidence is generally supportive of international financial integration and informational efficiency in the Thai stock market.