Stock prices have always been considered as unpredictable phenomena due to their dynamic patterns. Identifying the forces that contribute to variations of stock prices is probably one of the most researched areas in f...Stock prices have always been considered as unpredictable phenomena due to their dynamic patterns. Identifying the forces that contribute to variations of stock prices is probably one of the most researched areas in finance. This study relates stock prices to the stock volatility （measured by beta） and to corporate attributes, i.e., size, liquidity, profits, leverage, and returns. The study is based on manufacturing sector in India, and it is based on a sample of 3,027 manufacturing companies during the periods from 1991-1992 to 2006-2007 collected from the Centre for Monitoring Indian Economy （CMIE） database. The regressions were performed with the dummies for time effect and firm effect separately and then for both effects together. Panel data models have been used to estimate the stock prices equation. The model finds out fixed and random effects between independent and explanatory variables and analyzes them through Hausman test. The paper also studies multicollineairity that may exist amongst the selected variables. The study shows that volatility （represented by Beta）, profit （represented by earnings per share （EPS））, and size （represented by market capitalization （MCAP）） significantly influence the stock prices （at the level of 5%）. Panel data analysis using Hausman test supports the fixed effect model.展开更多
This paper deals with a constrained stochastic linear-quadratic（LQ for short）optimal control problem where the control is constrained in a closed cone. The state process is governed by a controlled SDE with random c...This paper deals with a constrained stochastic linear-quadratic（LQ for short）optimal control problem where the control is constrained in a closed cone. The state process is governed by a controlled SDE with random coefficients. Moreover, there is a random jump of the state process. In mathematical finance, the random jump often represents the default of a counter party. Thanks to the Ito-Tanaka formula, optimal control and optimal value can be obtained by solutions of a system of backward stochastic differential equations（BSDEs for short）. The solvability of the BSDEs is obtained by solving a recursive system of BSDEs driven by the Brownian motions. The author also applies the result to the mean variance portfolio selection problem in which the stock price can be affected by the default of a counterparty.展开更多
文摘Stock prices have always been considered as unpredictable phenomena due to their dynamic patterns. Identifying the forces that contribute to variations of stock prices is probably one of the most researched areas in finance. This study relates stock prices to the stock volatility （measured by beta） and to corporate attributes, i.e., size, liquidity, profits, leverage, and returns. The study is based on manufacturing sector in India, and it is based on a sample of 3,027 manufacturing companies during the periods from 1991-1992 to 2006-2007 collected from the Centre for Monitoring Indian Economy （CMIE） database. The regressions were performed with the dummies for time effect and firm effect separately and then for both effects together. Panel data models have been used to estimate the stock prices equation. The model finds out fixed and random effects between independent and explanatory variables and analyzes them through Hausman test. The paper also studies multicollineairity that may exist amongst the selected variables. The study shows that volatility （represented by Beta）, profit （represented by earnings per share （EPS））, and size （represented by market capitalization （MCAP）） significantly influence the stock prices （at the level of 5%）. Panel data analysis using Hausman test supports the fixed effect model.
基金supported by the National Natural Science Foundation of China(Nos.10325101,11171076)the Shanghai Outstanding Academic Leaders Plan(No.14XD1400400)
文摘This paper deals with a constrained stochastic linear-quadratic（LQ for short）optimal control problem where the control is constrained in a closed cone. The state process is governed by a controlled SDE with random coefficients. Moreover, there is a random jump of the state process. In mathematical finance, the random jump often represents the default of a counter party. Thanks to the Ito-Tanaka formula, optimal control and optimal value can be obtained by solutions of a system of backward stochastic differential equations（BSDEs for short）. The solvability of the BSDEs is obtained by solving a recursive system of BSDEs driven by the Brownian motions. The author also applies the result to the mean variance portfolio selection problem in which the stock price can be affected by the default of a counterparty.
