282 research outputs found
Media-expressed negative tone and firm-level stock returns
No full textWe build a corpus of over 5½ million news articles on 20 large US firms over the 10-year period from January 2001 to December 2010, and use it to study the time-varying nature of the relation between media-expressed firm-specific tone and firm-level returns. By estimating a series of separate rolling window vector autoregressive (VAR) models for each firm, we show how media-expressed negative tone impacts firm-level returns episodically in ways that vary across firms and over time. We find that firms experience prolonged periods during which media-expressed tone has no effect on returns, and occasional episodes when it has a significant impact. During the significant episodes, its impacts are sometimes quickly reversed and at other times they endure – implying that media comment and analysis can sometimes be sentiment (or noise), but it can also contain value-relevant information or news. Our findings are in general consistent with efficiently functioning markets in which the media assists with the processing of complex informatio
A Century of Mathematical Excellence at Spelman College
No full textThis file consists of the presentation slides of a presentation by Colm Mulcahy at the AMS-NAM Joint Special Session on The Mathematics of the Atlanta University Center. The event was held Thursday January 5, 2017, 8:00 a.m.-4:00 p.m. at the Marriott Marquis in Atlanta, Georgia. KEYWORDS: Mathematics, Spelman College, Histor
Emerging European financial markets independence and integration post-enlargement
No full textInterdependence and integration in emerging European financial markets / Jonathan A. Batten, Colm Kearney -- A comparative study of bank efficiency in central and Eastern Europe : the role of foreign ownership / Peter Zajc -- A comparative study of banks balance sheets in the European Union and European transition countries, 1995-2003 / Ilko Naaborg, Bert Scholtens -- Fiscal policy surveillance in the enlarged European Union : procedural checks or simple arithmetic? / Nico Groenendijk -- Governance by supranational interdependence : domestic policy change in the Turkish financial services industry / Caner Bakir -- The development of financial derivatives markets in an expanded EU / Jing Chi, Martin Young -- Financial liberalization and business cycles : the experience of the new EU member states / Lúcio Vinhas de Souza -- Common factors in Euro-denominated emerging market bond spreads / Patrick McGuire, Martijn Schrijvers --Romanian financial markets / Michael Skully, Kym Brown -- Conditional contemporaneous correlations among European emerging markets / Seppo Pynnönen -- The links between central, east European and western security markets / Roy Kouwenberg, Albert Mentink -- The relations between emerging European and developed stock markets before and after the Russian crisis of 1997-1998 / Brian M. Lucey, Svitlana Voronkova -- Trading versus non-trading returns : evidence from Russia and the U.K. / Uri Ben-Zion, Niklas Wagner -- Foreign direct investment in emerging and transition european countries / Steven Globerman, Daniel Shapiro, Yao Tang -- Foreign direct investment, stock exchange development, and economic growth in central and eastern Europe / Yusaf H. Akbar, Heather Elms, Tej S. Dhakar -- The impact of fiscal variables on risk premiums in central and eastern European countries / Dalia Grigonyte -- The impact of EU enlargement on FDI Flows / Klámán Kalotay --Monetary policy operational frameworks compared : euro area versus some non-euro area countries / Orazio Mastroeni -- What accession countries need to know about the ECB : a comparative analysis of the independence of the ECB, the Bundesbank and the Reichsbank / Richard A. Werne
Correlation dynamics in European equity markets
No full textWe examine correlation dynamics using daily data from 1993 to 2002 on the five largest Euro-zone stock market indices. We also study, for comparison, the correlations of a sample of individual stocks. We employ both unconditional and conditional estimation methodologies, including estimation of the conditional correlations using the symmetric and asymmetric DCC-MVGARCH model, extended with the inclusion of a deterministic time trend. We confirm the presence of a structural break in market index correlations reported by previous researchers and, using an innovative likelihood-based search, we find that the it occurred at the beginning the process of monetary integration in the Euro-zone. We find mixed evidence of asymmetric correlation reactions to news of the type modelled by conventional asymmetric DCC-MVGARCH specifications. © 2005 Elsevier B.V. All rights reserved
Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area
No full text"We examine the dynamics of idiosyncratic risk, market risk and return correlations in European equity markets using weekly observations from 3515 stocks listed in the 12 euro area stock markets over the period 1974-2004. Similarly to""Campbell et al. (2001)"", we find a rise in idiosyncratic volatility, implying that it now takes more stocks to diversify away idiosyncratic risk. Contrary to the US, however, market risk is trended upwards in Europe and correlations are not trended downwards. Both the volatility and correlation measures are pro-cyclical, and they rise during times of low market returns. Market and average idiosyncratic volatility jointly predict market wide returns, and the latter impact upon both market and idiosyncratic volatility. This has asset pricing and risk management implications." Copyright (c) 2007 The Authors Journal compilation (c) 2007 Blackwell Publishing Ltd.
Short Stories, Novels and Spain. An Interview With Colm Tóibín
No full textColm Tóibín (Enniscorthy, 1955) is the author of five novels, The South (1990), The Heather Blazing (1992), The Story of the Night (1996), The Blackwater Lightship(1999) and The Master (2004). This last novel won the IMPAC Dublin Literary Award, the Los Angeles Times Novel of the Year, the Prix du Meilleur Livre Etranger for the best foreign novel published in 2005 in France, and it was shortlisted for the Man Booker Prize. Colm Tóibín has a long career in journalism and was the editor of the magazine Magill from 1982 to 1985. He is also the author of several non-fiction books, including Homage to Barcelona (1990) and The Sign of the Cross: Travels in Catholic Europe (1994). He edited The Penguin Book of Irish Fiction (1999) and has recently published his first book of short stories,Mothers and Sons (2006). Colm Tóibín attended the 10th International Conference on the Short Story in English, held at University College Cork on 19-21 June 2008, where this interview took place
Equity pricing, volatility and skewness : the dynamic behaviour and interactions of first and second moments in the Euro area and United States stock markets
No full textTHESIS 7991This thesis contributes to the empirical asset pricing literature on both the cross- section and time series of stock returns. It also contributes to the recent but rapidly growing literature on total and idiosyncratic risk and to the literature on the dependence structure of stock market returns. Concerning the asset pricing problem, the main contribution is a novel beta-pricing representation of Harvey and Siddique?s (2000) 3-moment conditional CAPM. Its main advantage is that both its beta coefficients and risk premia can be interpreted as parameters of appropriate regression models. In an empirical application to US stocks sorted into 30 industry portfolios, I add to the extant evidence that, while coskewness helps explain a substantial portion of the cross section of average returns and the coskewness premium is of the same order of magnitude as the covariance premium, the estimated unconstrained 3-moment model implies a utility function that is not concave over the relevant wealth range
A Guest at the Feast
No full textColm Tóibín\u27s touching memoir, A Guest at the Feast, beautifully read by the author himself. A Guest at the Feast moves from the small town of Enniscorthy to Dublin, from memories of a mother who always had a book on the go to the author\u27s early adulthood, from a love of literature to the influences of place and family. Tóibín\u27s captivating memoir is the story of a writer coming of age and his connections between home, work and love. It is a perfect gem of a book.https://corescholar.libraries.wright.edu/dlpp_all/1452/thumbnail.jp
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