Temporary components of stock prices: new univariate results

Article Abstract:

Research has investigated the ability to predict the effect of components on stock prices. It suggests a theory by E.F. Fama and K. French, 1988 using autocorrelation coefficient estimates overestimates the effect. Fama and French maintain components may be responsible for 36% of variance in a four year period. However, a finite-sample estimator of variance proportion in a sample period of 1926-1986 indicates variance of 7-17%.

Research, Analysis of variance

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The risk and required return of common stock following major price innovations

Article Abstract:

An analysis of the relation between price variations and common stock returns is presented. It is shown that risk and expected returns are often conditioned by major price innovations. Temporary uncertainty conditions generate a positive correlation between stock returns and return volatility shifts. In addition, a premium may be integrated with common stock returns under the influence of uncertainty.

Prices

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Foreign ownership restrictions and equity price premiums: what drives the demand for cross-border investments?

Article Abstract:

Investors now accept the benefits of international investment diversification. The correlation of foreign investments, stock prices, capital flows, and restrictions on foreign ownership are described.

Statistical Data Included, Foreign investments, Laws, regulations and rules, Capital movements

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