Zobrazeno 1 - 10 of 23 pro vyhledávání: '"Ling T. He"'
1
Time variation paths of risk sensitivities of bank stocks in the past two decades
Autor: Ling T. He, R.B. Lenin, Kaiyi Chen
Publikováno v: The Journal of Risk Finance. 17:446-455
Purpose The purpose of this study is to trace time variation paths in risk sensitivities of bank stock returns over the period of 1990-2014, which covers one of most serious financial crises in the history of the USA. Design/methodology/approach This
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::48ac62d1a1ccd36c34c870915e80dc4d
https://doi.org/10.1108/jrf-02-2016-0016
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2
Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices
Autor: Ling T. He, K.M. Casey
Publikováno v: Energy Economics. 47:121-128
Using a binomial probability distribution model this paper creates an endurance index of oil service investor sentiment. The index reflects the probability of the high or low stock price being the close price for the PHLX Oil Service Sector Index. Re
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::369889f69fa4a653bbed3647311fc48c
https://doi.org/10.1016/j.eneco.2014.11.005
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3
Exuberance Embedded in the Process of Mean Reversion of Extreme Stock Returns
Autor: Ling T. He
Publikováno v: The Journal of Investing. 22:51-59
This study finds evidence of mean reversion for the 228 highest and 136 lowest monthly rolling annual returns, identified by a rolling equality test over a 125-year period. The distribution of returns in processes of mean reversion further suggests t
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::2526350d321c459bb8e03968d4a76813
https://doi.org/10.3905/joi.2013.22.4.051
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4
Mean Reversion of Volatility Around Extreme Stock Returns: Evidence from U.S. Stock Indexes
Autor: Ling T. He
Publikováno v: The International Journal of Business and Finance Research. 7(4):91-101
This paper examines mean reversion processes in volatility structure of stock markets after extremely high or low stock returns. The stock market volatility is reflected in three aspects, overall volatility, volatility momentum, and volatility concen
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______645::d3eab3ae375ef53c8e8eda2037da754f
http://www.theibfr2.com/public_ftp/RePEc/IBF/ijbfre/ijbfr-v7n4-2013/ijbfr-v7n4-2013-7.pdf
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5
A Note on Impacts of International Trade on Economic Growth and Inflation
Autor: Ling T. He
Publikováno v: The International Trade Journal. 25:418-432
Results of this study indicate that short- and long-term effects of international trade on inflation, GDP, and inflation-adjusted GDP growth vary over periods with fixed or freely floating exchange rates or a big accumulated trade deficit. Causalitie
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::1687bddaeba21d883bed8fedf0c9ded4
https://doi.org/10.1080/08853908.2011.597681
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6
Has the November Effect Replaced the January Effect in Stock Markets?
Autor: Ling T. He, Shao C. He
Publikováno v: Managerial and Decision Economics. 32:481-486
Results of previous studies support the November effect of the 1986 Tax Reform Act (TRA) on certain stock portfolios. The rapid growth of mutual funds driven by the fundamental changes in the retirement benefit system in past decades may expand the s
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::50e2547d2ec20fa67d370dd5a44a69f4
https://doi.org/10.1002/mde.1548
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8
What Can We Learn from 123 Years of Stock Market Fluctuations? Processes of Mean Aversion and Reversion
Autor: Ling T. He
Publikováno v: The Journal of Investing. 18:57-71
This article uses the accumulative mean as the population mean to reexamine the mean reversion phenomenon in 123 years of stock returns. The analysis provides strong empirical evidence for mean aversion and mean reversion in stock returns. Mean avers
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::cc8a35e41d4806c83b6e448e5bec9d8b
https://doi.org/10.3905/joi.2009.18.4.057
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9
Does Prepayment Risk of Mortgages Affect Excess Returns of Bank Stocks?
Autor: Ling T He
Publikováno v: Business Economics. 42:45-52
This paper explores the relationship between the prepayment risk embedded in conventional, fixed-rate residential mortgages and excess returns for bank stocks. There are two interesting findings in this study. First, commercial banks traded in the Na
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::532da1440c1d6bd52d60b1944e5ee71c
https://doi.org/10.2145/20070105
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10
Variations in effects of monetary policy on stock market returns in the past four decades
Autor: Ling T. He
Publikováno v: Review of Financial Economics. 15:331-349
Stock prices are sensitive to monetary policy. However, the sensitivities are not stable over time. A drastic change in monetary policy can alter effects of monetary policy on stock returns. This study finds that stock prices can be affected by curre
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::2a9df685f6133a6ce3a5a8d8823a3b7c
https://doi.org/10.1016/j.rfe.2005.07.001
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