StudentShare solutions
Triangle menu
  • Home
  • Subjects
  • Finance & Accounting
  • Are Small Cap Stocks Influenced Similarly and by the Same Economic Indicators as Large Cap Stocks An Annotated Bibliography

Are Small Cap Stocks Influenced Similarly and by the Same Economic Indicators as Large Cap Stocks An Annotated Bibliography - Essay Example

Nobody downloaded yet

Extract of sample
Are Small Cap Stocks Influenced Similarly and by the Same Economic Indicators as Large Cap Stocks An Annotated Bibliography

The study used monthly data from 1974 to 1989 for macroeconomic indicators and for the Fed monetary policy (as independent variables) and used 39 portfolios of 10 value weighted stocks from large cap and small cap categories (as dependent variables) to study the volatility in stock return. They found that 32% of the stock market return volatility could be explained by the monetary policy which is similar to the finding of Chang, Yeung, & Yip. (2000) below that macroeconomic indicators do not fully explain the stock market movements. It was also found that 96% of the cases showed that a tightening of the monetary policy (reduced money supply) reduced stock returns. Further, the study found that while both small and large firms were harmed by the disinflationary monetary policy, only large firms benefited from expansionary monetary policy. The study illuminates the bibliographic topic by making a distinction between small and large cap stocks and the difference in effect of macroeconomic indicators on different stock categories.
The authors at the time of the study were Doctoral Students at the University of Pennsylvania. They studied the impact of a set of 21 economic indicators and followed a regression analysis approach to identify whether economic indicators could explain the stock market movements from 1997 to 1999....
They first started with testing for correlation between the economic indicators and excluded some of them based on the statistical correlation. For the remaining indicators, they developed a multiple linear regression model to explain the stock price. They found that even after multiple regressions and excluding the insignificant variables, the resulting regression model could not fully explain the stock market movements. This finding is in line with that of Thorbecke and Coppock (1995) above. This study is of importance for the current research as I intend to use a similar methodology for multiple regression on 9 economic indicators in the US that this study found to be statistically significant in their regression model. Vygodina, A. V. (2006). Effects of size and international exposure of the US firms on the relationship between stock prices and exchange rates. Global Finance Journal 17 , 214-23. The author at the time of the study was a Professor at the Department of Finance, CBA, California State University at Sacramento. The research was aimed at studying whether the changes in exchange rates have a difference in impact on the stock prices based on the size of a firm. The methodology used was to conduct a Granger Causality test to verify the causality from large cap and small cap stocks to the exchange rate. The Granger Causality test was used in the study as it statistically tests whether one time series causes movements in another time series. It was found that while there did exist a statistically significant Granger Causality from large-caps to the exchange rate, there was no causality from small caps. The study also noted that the as both variables are significantly affected by the federal monetary policy and that the nature of relationship ...Show more
Cite this document
  • APA
  • MLA
  • CHICAGO
(“Are Small Cap Stocks Influenced Similarly and by the Same Economic Essay”, n.d.)
Retrieved from https://studentshare.net/finance-accounting/850-are-small-cap-stocks-influenced-similarly-and-by-the-same-economic-indicators-as-large-cap-stocks-an-annotated-bibliography
(Are Small Cap Stocks Influenced Similarly and by the Same Economic Essay)
https://studentshare.net/finance-accounting/850-are-small-cap-stocks-influenced-similarly-and-by-the-same-economic-indicators-as-large-cap-stocks-an-annotated-bibliography.
“Are Small Cap Stocks Influenced Similarly and by the Same Economic Essay”, n.d. https://studentshare.net/finance-accounting/850-are-small-cap-stocks-influenced-similarly-and-by-the-same-economic-indicators-as-large-cap-stocks-an-annotated-bibliography.
  • Cited: 0 times

Summary

The authors Thorbecke and Coppock conducted the study with the aim to verifying what percentage of the stock market variation can be explained by macroeconomic factors and monetary policy. …
Are Small Cap Stocks Influenced Similarly and by the Same Economic Indicators as Large Cap Stocks An Annotated Bibliography
Read Text Preview
Save Your Time for More Important Things
Let us write or edit the essay on your topic
"Are Small Cap Stocks Influenced Similarly and by the Same Economic Indicators as Large Cap Stocks An Annotated Bibliography"
with a personal 20% discount.
Grab the best paper

Check these samples - they also fit your topic

Stocks
(Maunder 3rd Ed)Also in the event of liquidation/insolvency the stockholders will be the last ones to have their claim to the capital satisfied (After the bondholders, Creditors, and preferred stockholders).(Maunder 3rd Ed) Generally the common stockholders will only be entitled to one vote per share to be able to nominate directors on the board of directors but this may not always be the case as sometimes the number of votes each director is entitled to may be proportional to the Common shareholders also receive voting rights regarding other company matters such as stock splits and company objectives.
4 pages (1000 words) Essay
Common Stocks
The whole process has to be dynamic, continuous and demands unfailing attention as well as reserve financial resources to fall back
3 pages (750 words) Essay
Stocks Perference
With the current market conditions and bleak economic scenario, it might not be advisable to consider issuing bonds. Interest rates have been nose-diving since the past couple of years and
2 pages (500 words) Essay
Remissions and Economic Development
The Researchers have gone ahead to highlight the components of the Dominican Rep Emergency Lending Facility. These include; protecting investment into the social programs by increasing funding for education, healthcare, and the Solidarity Program; maintaining
2 pages (500 words) Annotated Bibliography
Interest rates & stocks
The current dividend of XYZ Company is $0.80 and ‘Ks’ is the required rate of return of the stock which has already been calculated using CAPM and its value is 14.425%. Growth of XYZ stock
2 pages (500 words) Essay
Migration and Economic/Media Development - 4
Finally, economic integration has also been viewed as a factor increasing migration level. Reasons for rural urban migration like mechanized
1 pages (250 words) Annotated Bibliography
Stocks Returns Investment Analysis
The excess returns of these stocks are identified by applying the Three Factor Model given by Fama and French in 1993. This model postulates that a given stock’s excess return is mainly dependent upon three factors which are as follows: Excess Market Return (EMR); Small Company Returns minus Big Company Returns (SMB)
4 pages (1000 words) Essay
Valuing Stocks
of these measurements are used by investors to determine the trend in stock market.However,S&P 500 is a better measure as it is more encompassing and includes greater sample of total U.S stocks. A 5% change in a $50 stock will affect the index like a 5% change in $100 stock,
1 pages (250 words) Essay
Economic issues for a country in Africa
Rowley and Winch in their article named Troubles in South Africa’s mining sector start to affect the economy state that strikes are taking place in the natural resources and mining
8 pages (2000 words) Annotated Bibliography
FINAL Cap
On other side, the peers and friends to these children also play a role in character formation of the children. However, does this influence affect the entire life of a child? In efforts to answer this question, this paper studies particular children and
1 pages (250 words) Essay
Comments (0)
Click to create a comment
Let us find you another Essay on topic Are Small Cap Stocks Influenced Similarly and by the Same Economic Indicators as Large Cap Stocks An Annotated Bibliography for FREE!
Contact us:
+16312120006
Contact Us Now
FREE Mobile Apps:
  • About StudentShare
  • Testimonials
  • FAQ
  • Blog
  • Free Essays
  • New Essays
  • Essays
  • The Newest Essay Topics
  • Index samples by all dates
Join us:
Contact Us