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evidence. Economic Modelling , 37, 216–223. Gibbons, R. S. and P. Hess (1981). Day of the week effects and asset return. Journal of Business 54, 579–596. Gultekin, M.N., and Gultekin, N.B. (1983). Stock market seasonality: International evidence. Journal of Financial Economics , 12, 469–481. Haug, M., and Hirschey, M. (2006). The January effect. Financial Analysts Journal , 62(5), 78–88. Jacobsen, B., and Zhang, C.Y. (2013). Are monthly seasonals real? A three century perspective. Review of Finance , 17(5), 1743–1785. Jaffe, J., and Westerfield, R. (1985). The week

’s earnings before interests, tax, depreciation, and amortization (EBITDA) and previous year’s EBITDA divided by previous year’s EBITDA Growth of net result GRNR The difference between the net result and previous year’s net result divided by previous year’s net result Return on assets ROA Ratio of the net result to the total of assets Return on assets 2 ROAE Ratio of the EBITDA to the total of assets Return on sales ROS Ratio of the net result to the total of sales Return on sales 2 ROSE Ratio of the EBITDA to the total of sales Return on equity ROE Ratio of net result to

t 2 $$\lambda \sigma _{t}^{2}$$ is the time-varying risk premium parameter. A positive risk premium λ indicates that asset returns are positively related to their volatility. That is to say, a positive risk premium value denotes that there is a positive relationship between the mean and the variance of asset return [ Rossi, 2004 ]. Asymmetric models were also employed to capture the leverage effects or the asymmetric responses to negative and positive shocks. In simple words, asymmetric models can help in determining whether the influence of a negative shock to

for the year Chen [2004] t +1 total asset return and net assets utilization for the year Lin [2015] Company future performance (first year, second year, and third years’ average performance) Chen et al. [2005] The total asset yield of the company in the second year and the average total asset yield for the following 3 years EPS, earnings per share. This paper draws on Hou et al. [2016] , using t +1 year [2017] EPS, to measure the companies’ future business performance. EPS is the core index to measure the value of stock investment reflecting the level of the