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Πλοήγηση Διδακτορικές διατριβές ανά Θέμα "Asset pricing"

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    The role of the output gap in asset pricing: the case of internet stocks
    Karakitsou, Maria-Zoe; Athens University of Economics and Business, Department of Accounting and Finance; Καβουσανός, Εμμανουήλ; Παπαθανασίου, Ελευθέριος; Βενιέρης, Γεώργιος
    Many researchers in asset pricing have characterized the course of envolvement of internet stocks’ pricing in the late 1990’s as a “bubble”, or in other words, they claim that the abrupt rise and subsequent fall of internet stock prices in the particular time period cannot be rationally explained. Nonetheless their judgistification is in many instances limited and/or altogether absent since they are viewing such a course of stock prices as “self-evident” of irrational behavior. In this analysis it is argued that the NASDAQ valuations can be at least partly explained through the models analyzed. Moreover an attempt is made to pinpoint whether and how the determinants of internet stock prices have changed as the sector matured over the years. What comes out as a most interesting finding both then in the 1999-2003 dataset as well as more recently i.e. in 2007-2011 is the importance that the output gap seems to have in determining asset prices in the particular sector in both periods. Moreover the SMB and HML Fama and French benchmark factors appear also significant. Last but not least accounting data seems of no importance in the first time period but appears to have some explanatory power in the second. Analysis for both datasets is based on panel data analysis which although it has limitations it seems the best available option due to the short periods of analysis as well as due to the inclusion of multiple independent variables in the analysis.