The impact of investor recognition on stock returns in Singapore exchange market.
This paper aims to explore the effectiveness of investor recognition in explaining the variations in stock returns. It also compares the explanation power of investor recognition with that of earnings and cash flows which are widely accepted as not very effective in justifying stock return fluctuati...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2013
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51282 |
| _version_ | 1826127470328283136 |
|---|---|
| author | Xu, Yawen. Guo, Meng. Tsang, Pak Kit. |
| author2 | Lau Sie Ting |
| author_facet | Lau Sie Ting Xu, Yawen. Guo, Meng. Tsang, Pak Kit. |
| author_sort | Xu, Yawen. |
| collection | NTU |
| description | This paper aims to explore the effectiveness of investor recognition in explaining the variations in stock returns. It also compares the explanation power of investor recognition with that of earnings and cash flows which are widely accepted as not very effective in justifying stock return fluctuations. Consistent with [Merton, 1987] analysis, we prove that (i) contemporaneous stock returns have a positive correlation with change in investor recognition. (ii) future stock returns are negatively related to changes in investor recognition. (iii) the above relations are stronger for stocks with higher level of idiosyncratic risk. In conclusion, our research indicates that investor recognition should be one of the critical factors to investors and managers in firm valuation. |
| first_indexed | 2024-10-01T07:09:04Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/51282 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:09:04Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | ntu-10356/512822023-05-19T03:30:07Z The impact of investor recognition on stock returns in Singapore exchange market. Xu, Yawen. Guo, Meng. Tsang, Pak Kit. Lau Sie Ting Nanyang Business School DRNTU::Business::Finance::Corporate finance This paper aims to explore the effectiveness of investor recognition in explaining the variations in stock returns. It also compares the explanation power of investor recognition with that of earnings and cash flows which are widely accepted as not very effective in justifying stock return fluctuations. Consistent with [Merton, 1987] analysis, we prove that (i) contemporaneous stock returns have a positive correlation with change in investor recognition. (ii) future stock returns are negatively related to changes in investor recognition. (iii) the above relations are stronger for stocks with higher level of idiosyncratic risk. In conclusion, our research indicates that investor recognition should be one of the critical factors to investors and managers in firm valuation. BUSINESS 2013-03-27T02:41:45Z 2013-03-27T02:41:45Z 2013 2013 Final Year Project (FYP) http://hdl.handle.net/10356/51282 en Nanyang Technological University 45 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Corporate finance Xu, Yawen. Guo, Meng. Tsang, Pak Kit. The impact of investor recognition on stock returns in Singapore exchange market. |
| title | The impact of investor recognition on stock returns in Singapore exchange market. |
| title_full | The impact of investor recognition on stock returns in Singapore exchange market. |
| title_fullStr | The impact of investor recognition on stock returns in Singapore exchange market. |
| title_full_unstemmed | The impact of investor recognition on stock returns in Singapore exchange market. |
| title_short | The impact of investor recognition on stock returns in Singapore exchange market. |
| title_sort | impact of investor recognition on stock returns in singapore exchange market |
| topic | DRNTU::Business::Finance::Corporate finance |
| url | http://hdl.handle.net/10356/51282 |
| work_keys_str_mv | AT xuyawen theimpactofinvestorrecognitiononstockreturnsinsingaporeexchangemarket AT guomeng theimpactofinvestorrecognitiononstockreturnsinsingaporeexchangemarket AT tsangpakkit theimpactofinvestorrecognitiononstockreturnsinsingaporeexchangemarket AT xuyawen impactofinvestorrecognitiononstockreturnsinsingaporeexchangemarket AT guomeng impactofinvestorrecognitiononstockreturnsinsingaporeexchangemarket AT tsangpakkit impactofinvestorrecognitiononstockreturnsinsingaporeexchangemarket |