Browsing by Subject "stock returns"

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  • Jokipii, Terhi; Lucey, Brian (2006)
    Bank of Finland Research Discussion Papers 15/2006
    Published in Economic Systems, 31,1, 2007: 71-96
    Making use of ten years of daily data, this paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based on simple unadjusted correlation analysis uncover evidence of contagion between all pairs of countries. Adjusting for market volatility during turmoil, however, produces different results. We then find contagion from the Czech Republic to Hungary during this time, but all other cross-market co-movements are rather attributable rather to strong cross-market linkages. In addition, we construct a set of dummy variables to try to capture the impact of macroeconomic news on these markets. Controlling for own-country fundamentals, we discover that the correlations diminish between the Czech Republic and Poland, but that coefficients for all pairs remain substantial and significant. Finally, we address the problem of simultaneous equations, omitted variables and heteroskedasticity, and adjust our data accordingly. We confirm our previous findings. Our tests provide evidence in favour of parameter instability, again signifying the existence of contagion arising from problems in the Czech Republic affecting Hungary during much of 1996.
  • Fungáčová, Zuzana; Godlewski, Christophe J.; Weill, Laurent (2020)
    Quarterly Review of Economics and Finance February
    We study the effect of syndicated loan and bond announcements on the stock price of borrowers. No work since James (1987) on US data has compared the impact of both types of announcements on the same sample. Applying an event study methodology on a sample of companies from 17 Western European countries, we find that debt announcements tend to generate a positive stock market reaction. Our main conclusion is that loan issuance exerts a significantly stronger reaction than a bond issuance. This finding supports the hypothesis that loan issuance has a positive certification effect. The analysis of determinants of abnormal returns following debt announcements shows a positive impact for financial development and a negative effect for the Eurozone crisis.
  • Fungáčová, Zuzana; Godlewski, Christophe J.; Weill, Laurent (2015)
    Bank of Finland Research Discussion Papers 19/2015
    Published online in Quarterly Review of Economics and Finance, April 2019
    We study the effect of bank loan and bond announcements on borrower’s stock price. We apply an event study methodology on a sample of companies from 17 European countries and find that debt announcement generates a positive stock market reaction. However, our main conclusion is that the issuance of a loan exerts a significantly stronger reaction than does the issuance of a bond. This finding supports the hypothesis that loan issuance has a positive certification effect. The analysis of determinants of abnormal returns following debt announcements shows a positive impact of financial development and a negative effect of the Eurozone crisis.
  • Faria, Gonçalo; Verona, Fabio (2018)
    Journal of Empirical Finance January 2018
    Published in Bank of Finland Research Discussion Papers 29/2016.
    We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method significantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample R2 of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures different frequencies of stock market returns.
  • Faria, Gonçalo; Verona, Fabio (2016)
    Bank of Finland Research Discussion Papers 29/2016
    Published in Journal of Empirical Finance, 45, January, 2018, 228–242 https://doi.org/10.1016/j.jempfin.2017.11.009
    We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method signi cantly improves upon the original sum-of-the-parts and delivers statistically and economically gains over historical mean forecasts, with monthly out-of-sample R2 of 2.60% and annual utility gains of 558 basis points. The strong performance of this method comes from its ability to isolate the frequencies of the parts with the highest predictive power, and from the fact that the selected frequency-decomposed parts carry complementary information that captures di erent frequencies of stock market returns.