The cross-section of stock returns in an early stock market

Ye, Qing; Turner, John D.

doi:10.1016/j.irfa.2014.05.007

Cited by 9 publications

(8 citation statements)

References 76 publications

(77 reference statements)

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“…The stock prices reported in the official list are usually the transaction prices from the previous day (Ye and Turner, 2014).…”

Section: Stock and Media Datamentioning

confidence: 99%

“…We use Ye and Turner's (2014) hand-collected data for each common stock listed in the COE for every month between March 1825 and December 1870.…”

Section: Stock and Media Datamentioning

confidence: 99%

“…Furthermore, we include results for both equally-and value-weighted portfolios. Following Ye and Turner (2014), we use three different treatments for missing prices. Firstly, we assume missing prices were the same as the last available price.…”

Section: <Insert Figure 2>mentioning

confidence: 99%

“…When delisting was the result of bankruptcy rather than name changes, mergers or listing migrations to regional exchanges, shareholders potentially suffered large losses, which are not captured by our analysis. The difficulty in identifying the cause of delisting is highlighted by Ye and Turner (2014). If the reason for delisting is unknown, we assume that the reason for delisting was bankruptcy.…”

Section: <Insert Figure 2>mentioning

confidence: 99%

“…If the reason for delisting is unknown, we assume that the reason for delisting was bankruptcy. We assign a -40 per cent return to all stocks on the month following delisting, following the assumption made by Ye and Turner (2014). As the delisting adjustment does not affect our main findings, we focus our discussion on the results with no adjustment for delisting bias unless otherwise stated.…”

Section: <Insert Figure 2>mentioning

confidence: 99%

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Media Coverage and Stock Returns on the London Stock Exchange, 1825–70*

Turner

Walker

2017

Review of Finance

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may Abstract:News media plays an important role in modern financial markets. In this paper, we analyse the role played by the news media in an historical financial market. Using The Times's coverage of companies listed on the London stock market between 1825 and 1870, we examine the determinants of media coverage in this era and whether there was a media discount. Our main finding is that a media discount only manifests itself after the mid-1840s and that the introduction of arm's-length ownership along with markedly increased market participation was the main reason for the emergence of this discount.

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“…The stock prices reported in the official list are usually the transaction prices from the previous day (Ye and Turner, 2014).…”

Section: Stock and Media Datamentioning

confidence: 99%

“…We use Ye and Turner's (2014) hand-collected data for each common stock listed in the COE for every month between March 1825 and December 1870.…”

Section: Stock and Media Datamentioning

confidence: 99%

Section: <Insert Figure 2>mentioning

confidence: 99%

Section: <Insert Figure 2>mentioning

confidence: 99%

Section: <Insert Figure 2>mentioning