دانلود رایگان مقاله لاتین اهمیت نسبی ویژگی سهام از سایت الزویر
عنوان فارسی مقاله:
شناسایی اهمیت نسبی ویژگی های سهام
عنوان انگلیسی مقاله:
Identifying the relative importance of stock characteristics
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
3. Data and variables
Our sample includes all London Stock Exchange (LSE) listed stocks from October 1986 to December 2011. The stock monthly return series, stock market capitalisation, stock book-to-market ratio, and stock trading volume are extracted from Thomson Reuters Datastream. We include only common stocks listed in LSE and exclude preferred stocks, unit trust, closeend and open-end funds through filtering on data type. In addition, we check stock-quoted currency and remove those that are not quoted in Sterling. This screening procedure filters out stocks with American Depository Receipts traded in the LSE. Finally, we have a total of 311,639 firm-month observations with 1028 stocks in each month on average. The construction of size and value characteristics follows Fama and French (1993). We require that each sample stock must have valid information for market capitalisation and book-to-market ratio in June of each year. The size characteristic in each month equals the logarithm of the previous June’s market value of equity. Likewise, the value characteristic equals the ratio of the book value of equity to the market value of equity in the previous June. In addition to the Fama–French size and value characteristics, we construct three additional characteristics, namely momentum, volatility and liquidity. The effect of the three additional characteristics on cross-sectional stock returns are well documented in the asset pricing literature (e.g. Jegadeesh and Titman, 1993; Goyal and Santa-Clara, 2003; Liu, 2006). The momentum variable is measured as the cumulative twelve month return up to and including the previous month. The volatility variable is defined as the standard deviation of the stock return over twelve months up to and including the previous month. We use Liu’s (2006) liquidity measure (LM12) which is defined as follows LM12 = number of zero daily trading volumes in prior 12-month + 1/12-month turnover 1, 000, 000 × 21 × 12 NoTD (4) The first term in the bracket is the number of non-trading days for a given stock in the previous 12- month period. The 12-month turnover is the sum of daily stock turnover over the prior 12 months ending in the previous month. Daily stock turnover is the ratio of the number of shares traded on a particular day to the number of shares outstanding at the end of the day. The value of 1,000,000 is chosen as a deflator to constrain the term ( 1/(12-month turnover))/1, 000, 000 between zero and one.5 NoTD is the number of trading days in prior 12 months. LM12 incorporates the number of non-trading days with the stock turnover ratio,making itidealfor capturing trading continuity. For each stock,the size and value characteristics are held constant from July to June while the momentum, volatility, and liquidity characteristics change each month based on prior 12- month information. Accordingly, the empirical analysis starts from October 1987, one year after the starting point of the dataset. Finally, when we estimate the factor return function in Eq. (3), the five characteristics are standardised in each month to have zero mean and unit variance. The construction of traditional factor-mimicking portfolios uses a predetermined cut-off rate on stock characteristics. For example, stocks within the top and bottom 30% of book-to-market ratio are defined as value and growth portfolios respectively in Fama and French (1993). The value premium is the return difference between the value and growth portfolios. The process of our factor return generation as specified in Eq. (3) does not impose any cut-off rate for a given stock characteristic. Rather, the factor return function is estimated simultaneously from all sample stocks not only just from two particular portfolios with strongest and weakest stock characteristics. This approach can potentially improve estimation efficiency.
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کلمات کلیدی:
FEATURES AND FUNCTIONS OF STOCK MARKET - SSRN https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=2123534 by P Harmilapi - 2012 http://ssrn.com/abstract=2123534. FEATURES AND FUNCTIONS OF STOCK MARKET: ARGENTINA. 1. IMPORTANCE OF SHARE MARKET IN A COUNTRY:. [PDF]Stock Exchange - Meaning: Characteristics of ... - Devchand College www.devchandcollege.org/e-NOTES/PMH%2008.pdf Characteristics of Stock Exchange: ... the features of stock markets : ... Stock exchanges play an important role in the economic development of a nation. Common Stock Features - Investopedia www.investopedia.com/walkthrough/corporate-finance/3/stock.../common-stock.aspx We look at the objectives and risks of owning common stock. Identifying the relative importance of stock characteristics https://ideas.repec.org/a/eee/mulfin/v34y2016icp80-91.html by D French - 2016 - Related articles Overall, this study provides strong evidence to support that the momentum characteristic can best explain stock returns in the UK market. The econometric ... INDIAN STOCK MARKET : FUNCTIONS AND IMPORTANCE | Mohd ... www.academia.edu/.../INDIAN_STOCK_MARKET_FUNCTIONS_AND_IMPORTA... Characteristics of Stock Market : There are some most important characteristics of Stock market which are as below: i) Stock Market is a market, where securities ... What is Stock Exchange? Meaning Definitions and Features kalyan-city.blogspot.com/2010/11/what-is-stock-exchange-its-definitions.html Jan 11, 2010 - Stock Exchange (also called Stock Market or Share Market) is one important constituent of capital market. Stock Exchange is an organized ... Searches related to importance of stock characteristics features of stock market characteristics of stock exchange pdf importance of fundamental analysis benefits of stock exchange characteristics of stocks and bonds learn fundamental analysis of stocks how to do fundamental analysis of a company fundamental analysis of a company example
