On the individual and incremental information content of accrual earnings, cash flows and cash dividends in the Finnish stock market

Article Abstract:

The informational features of cash dividend releases, cash flow-based earnings and accrual earnings in the Finnish stock market are examined. The Finnish stock market's structural changes have created substantial time-series variations, although the reaction of the market is generally as expected from the data. The incremental information content of accounting data and cash dividends is examined. The stock market's semi-strong efficiency is unfulfilled, particularly in respect to the cash dividend data, although this could be due to difficulties with risk estimation.

Economic aspects, Profits, Cash flow, Earnings per share, Corporate profits

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Stichastic modeling of security returns: evidence from the Helsinki Stock Exchange

Article Abstract:

Evidence is provided for nonlinear dependence in the case of returns of stock, and for assessing the affectiveness of techniqies using ARCH modeling, using data from the Helsinki Stock Exchange. The exchange's index, weighted for value, provides raw data for the study, with prices in the form of natural logarithms. The study backs the idea of linear dependence and nonlinear dependence, and uses a GARCH model which can handle both, in addition to the structural impact on stock reutrns in Finland.

Finance

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The behavior of extreme values in Germany's stock index futures: an application to intradaily margin setting

Article Abstract:

Studies on the statistical properties of FDAX, the German stock index futures contract, suggest that the intradaily extremes in Germany's FDAX contracts often emulate a Type II limiting extreme value distribution. These findings would verify the previous research results regarding the distribution of futures' price changes. Furthermore, the findings convey that extreme value theory should offer valuable data to the Deutsche Terminborse's margin setting committee.

Securities and Commodity Exchanges, Misc Stock Exchanges, Distributions, Theory of (Functional analysis), Theory of distributions, Germany, Futures market, Futures markets, Margins (Futures trading)

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