Suchergebnisse

Persistence of stock returns is an extensively studied and discussed theme in the analysis of financial markets. Antipersistence is usually attributed to volatilities. However, not only volatilities but also stock returns can exhibit antipersistence. Antipersistent noise has a somewhat rougher appearance than Gaussian noise. Heuristically spoken, price movements are more likely followed by movements in the opposite direction than in the same direction. The pertaining integrated process exhibits a smaller range prices seem to stay in the vicinity of the initial value. We apply a widely used test based upon the modified R/S-Method by Lo [1991] to daily returns of 21 German stocks from 1960 to 2008. Combining this test with the concept of moving windows by Carbone et al. [2004], we are able to determine periods of antipersistence for some of the series under examination. Our results suggest that antipersistence can be found for stocks and periods where extraordinary corporate actions such as mergers & acquisitions or financial distress are present. These effects should be properly accounted for when choosing and designing models for inference.

AbstractEmpirical evidence suggests that U. S. and Canadian stock returns follow predictable patterns over a shortterm horizon. In particular, abnormal profits could have been generated by purchasing previous strong performers and selling previous poor performers. Our evidence suggests that a portion of this profitability represents appropriate compensation for risk and risk premiums that vary through time. We also examine the impact of transactions costs on the implementation of this strategy and find it may not be exploitable by the average retail investor facing higher levels of transactions costs. However, sensitivity analysis indicates that momentum trading may have merit for more nimble traders facing lower transactions costs.RésuméLes données empiriques suggèrent que le rendement sur les actions aux états‐Unis et au Canada se conforme, à court terme, à des modèles prévisibles. En particulier, des profits anormaux auraient pu ětre générés par l'achat d'anciens performateurs forts et la vente d'anciens performateurs faibles. Nos données suggèrent qu'une partie de cette rentabilité représente une compensation appropriée au risque et aux primes de risque qui varient avec le temps. Nous examinons aussi l'impact des frais de transaction sur la mise en pratique de cette stratégie, et nous trouvons que l'investisseur individuel moyen contraint à faire face à des frais de transaction plus élevés ne serait peut‐ětre pas en mesure de l'exploiter. Cependant, l'analyse de susceptibilité indique que la stratégie de placement par "momentum" aurait peut‐ětre de la valeur pour des investisseurs plus agiles confrontés à des frais de transaction moins élevés.

During the first eight months of 2015, there was an ongoing debate about whether or not Greece should remain in the euro area. Using an event study approach, we quantify the effects of Grexit-related statements made by six important euro area politicians (Merkel, Schaeuble, Tsipras, Varoufakis, Juncker, and Schulz) on intraday stock returns in Germany, Greece, and the euro area during the period of January 1, 2015 - August 19, 2015. We show that positive statements indicating that a Grexit is less likely lead to higher returns, and negative statements to lower returns. The overall impact of negative statements is more pronounced. The cumulative absolute effects on stock returns are sizeable as the statements contribute to a variation of up to 58 percentage points in the ATHEX. These large effects are of particular relevance as our study only captures an eight month snapshot of the Greek government debt crisis.