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THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET pdf download

Changes in the price of crude oil are often considered an important factor for understanding fluctuations in stock prices. For example, the Financial Times on August 21, 2006, attributed the decline of the U.S. stock market to...

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Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices pdf download

THE JOURNAL 5>OF FINANCE * VOL. LV, NO. 2 * APRIL 2000 Stock Market Liberalization, Economic Reform, and Emerging Market Equity Prices PETER BLAIR HENRY* ABSTRACT A stock market liberalization is a decision by a country’ s...

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Stock Market Development and Long-Run Growth pdf download

Is the financial system important for economic growth? One line of research argues that it is not; another line stresses the importance of the financial system in mobiliz-ing savings, allocating capital, exerting corporate control, and easing risk...

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Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations pdf download

Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may...

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Modeling and pricing long memory in stock market volatility pdf download

A new class of fractionally integrated GARCH and EGARCH models for character-izing financial market volatility is discussed. Monte Carlo simulations illustrate the reliability of quasi maximum likelihood estimation methods, standard model selection criteria, and residual-based portmanteau diagnostic...

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Long-Term Memory in Stock Market Prices pdf download

A test for long-run memory that is robust to short-range dependence is developed. It is an extension of the“range over standard deviation” or R/S statistic, for which the relevant asymptotic sampling theory is derived via functional central...

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Investor sentiment and the near-term stock market pdf download

We investigate investor sentiment and its relation to near-term stock market returns. We find that many commonly cited indirect measures of sentiment are related to direct measures (surveys) of investor sentiment. However, past market returns are also...

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Does the stock market fully value intangibles Employee satisfaction and equity prices pdf download

This paper analyzes the relationship between employee satisfaction and long-run stock returns. A value-weighted portfolio ofthe ‘‘100 Best Companies to Work For in America’’ (Levering, Moskowitz, and Katz, 1984; Levering and Moskowitz, 1993) earned a four-factor alpha...

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Common stochastic trends in international stock markets pdf download

This paper presents evidence concerning the number of common stochastic trends in the equity markets of the U.S., Japan. England. Germany, and Canada. Monthly and quarterly data from January 1974 through August 1990 on Morgan Stanley’s Capiral...

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