کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5069962 | 1373225 | 2009 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Value or volume strategy?
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This article reports a study that analyzes financial data for US firms listed during 1996-2005 to examine the asymmetric effects of the informative variables on stock returns between the boom and bust conditions in stock price. The study includes analysis of changing distribution of stock returns across stocks and over time by using a quantile regression (QR hereafter) model and comparison of the results with OLS and LAD estimates. The present empirical results indicate that market investors are more influenced by the fundamental variable, such as P/E ratios, derived from the value strategy when the stock they invest is in experience of a large fall in price. Conversely, when the stock price is hugely rising, market participants increase the loading of the effect of trading volume. Last, although the market returns have a significantly positive impact on the individual stock returns, we further indicate that the systematic effects involved in the market returns are much more notable when this specific stock is experiencing a recession condition in price.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 6, Issue 4, December 2009, Pages 210-218
Journal: Finance Research Letters - Volume 6, Issue 4, December 2009, Pages 210-218
نویسندگان
Ming-Yuan Leon Li,