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Accounting and Stock Market Performance in the US: Evidence from Joiners and Leavers
Department of Accounting and Finance, Technological Educational Institute of Crete, Crete, Greece
Department of Accounting and Finance, Technological Educational Institute of Crete, Crete, Greece
Department of Business Administration University of Patras, Patras, Greece
Business School, University of the Aegean, Chios, Greece
- 1 Department of Accounting and Finance, Technological Educational Institute of Crete, Crete, Greece
- 2 Department of Accounting and Finance, Technological Educational Institute of Crete, Crete, Greece
- 3 Department of Business Administration University of Patras, Patras, Greece
- 4 Business School, University of the Aegean, Chios, Greece
Theoretical Economics Letters·Volume 07 (2017)·Pages 696–708·Published 8 May 2017·DOI10.4236/tel.2017.74050
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Abstract
We consider recent data from three major US indices (S & P500, NASDAQ 100, and DJIA) to examine the effect of joiners and leavers on stock market returns and volatility. We report (a) a positive effect of leavers on stock market returns (S & P500, DJIA), (b) a positive effect of leavers on stock market volatility (S & P500), and (c) a negative effect of joiners on DJIA stock market returns and volatility. No effects reported for NASDAQ100. We compare these results with the profitability, P/E and Price to Book index ratios. These findings are recommended to financial managers and investors dealing with US stock indices.
KeywordsStock Market ReturnsVolatilityIndex RatiosUSJoinersLeaversGARCH
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