tailieunhanh - A Search For Long Memory In International Stock Market Returns

This paper contributes to the literature in several ways. Our study is the first to document that firms are more likely to split their stocks before acquisition announcements and the first to attempt to explain why they might do so. This paper also contributes to the literature on managerial opportunistic behaviors. Prior studies identify possible manipulation tools such as earnings management (Erickson and Wang, 1999; Louis, 2004) and share repurchase (Chan, Ikenberry, Lee, and Wang, 2005). Our study shows that some firms appear to use stock splits to manipulate their stock prices, especially when incentives exist for them to do so. 3 This finding offers new insight into managerial. | plu TTERWORTH E I N E M A N N Journal of International Money and Finance Vol. 14. No. 4 pp. 597-615 1995 Elsevier Science Ltd 0261-5606 95 0005-4 Printed in Great Britain A search for long memory in international stock market returns Yin-Wong Cheung University of California Santa Cruz CA 95064 USA and City University of Hong Kong Hong Kong AND Kon s Lai California State University Los Angeles CA 90032 USA A major issue in financial economics is the behavior of stock returns over long as opposed to short horizons. This study provides empirical evidence from the perspective of long memory analysis. International evidence on long memory is explored using the Morgan Stanley Capital International stock index data for eighteen countries. Two tests that are robust to short-term dependence and conditional heteroskedasticity are employed a modified rescaled range test and a fractional differencing test. The empirical results in general provide little support for long memory in international stock returns. The findings are not sensitive to inflation adjustments in stock returns data sources and statistical methods used. JEL G12 . The behavior of stock returns over long as opposed to short horizons has been a hotly contested issue. Shiller 1984 and Summers 1986 show in simple models of fads that large and slowly decaying swings in stock prices away from fundamental values can occur without significant autocorrelation in short-term returns. According to the Shiller-Summers models market inefficiency can exist but statistical tests on short-term returns will fail to detect it. Stambaugh 1986 observes nonetheless that the long swings away from fundamental values suggested by the Shiller-Summers models imply the presence of negative autocorrelation in long-horizon returns. This is because to the extent that the swings away from fundamental values are not permanent prices will be mean-reverting and returns will exhibit negative serial correlation over long horizons. Fama and .

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