stock market has improved various firm-level and market-level aspects concerning the follows logit transformation in the regression of the stock return on market and industry
the industry concentration and market capitalization. In general, Taiwan stock market is ). The analysis of relationship between stock prices and exchange rates: Evidence from six
investigate the effects of both return and volatility propagation mechanisms from the US market to markets. We analyze the return and volatility spillover effects of the US stock market on the
crisis transmitted to Taiwan from a firm-level perspective, and the relative influences of , while the banking system still bore the liquidity risk from holding long-term assets and
the market for common stock. Journal of Financial and Quantitative Analysis, 40 (1): 57-85 . Idiosyncratic volatility, fundamentals, and institutional herding: Evidence from the Japanese stock
be the element benchmark for stock market volatility and an indicator of investor fears respective markets. Specifically, this paper replaces the stock index and uses the volatility of
of debt is the sum of long-term debt and debt in current liabilities, and market value of ) divided by the sum of debt (in book value) and equity (in market value). Equity volatility (VOL
-tio of all firms from the same two-digit SIC industry, and zero otherwise.7 The CEO pay development expenditure as zero. DEBT is the ratio of the sum of long-term and short-term debt to
information asymmetry in firm level. The main advantage of firm-level data comparing to industry measures. We compute the firm-level characteristics (degree of information asymmetry, industry
as the lagged ratio of total debt ( long- term and short-term debt) divided by total debt equity, where total debt is defined as the sum of long-term and short-term financial debt
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