The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market

Miralles‐Quirós, José Luis; Miralles-Quirós, María del Mar; Gonçalves, Luis Miguel Valente

doi:10.1080/1540496x.2017.1422428

Cited by 5 publications

(6 citation statements)

References 35 publications

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“…Thus, it can be seen that the better the ESG performance of a company, the better the stock liquidity, and the hypothesis of this study is verified. The results support the findings of the literature such as Velte (2017);Li et al (2018), andMiralles-Quirós et al (2018) that corporate ESG helps companies to increase their value and form positive feedback in the capital market, reflecting the value creation effect of ESG practices.…”

supporting

confidence: 88%

Does ESG performance promote vitality of capital market? Analysis from the perspective of stock liquidity

Chen

Liu

Jiang

et al. 2023

Front. Environ. Sci.

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Environmental, Social, and Governance (ESG) is changing from a concept to corporate soft power. Can this improve corporate performance in capital markets? There is little literature linking environmental, Social, and Governance performance to stock liquidity. Therefore, It is of urgent theoretical and practical importance to study the impact of environmental, Social, and Governance performance on stock liquidity. Using Chinese A-share listed companies from 2015 to 2020 as a sample to empirically examine the impact of environmental, Social, and Governance performance on stock liquidity and its mechanism. We find that environmental, Social, and Governance performance has a significant positive impact on listed companie’s stock liquidity. This conclusion was validated after conducting a series of robustness tests. Mechanism analysis shows that environmental, Social, and Governance performance can promote stock liquidity by reducing agency costs, increasing the proportion of foreign ownership, and improving corporate reputation. The heterogeneity analysis shows that environmental, Social, and Governance performance in state-owned enterprises, heavily polluting enterprises, and enterprises in areas with low degrees of marketisation has a more significant positive promoting effect on stock liquidity. This study expands the research on environmental, Social, and Governance performance and has implications for promoting the development of environmental, Social, and Governance practices.

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supporting

confidence: 88%

Does ESG performance promote vitality of capital market? Analysis from the perspective of stock liquidity

Chen

Liu

Jiang

et al. 2023

Front. Environ. Sci.

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“…Nidar and Ulfa (2017) also found that the size effect occurs on stocks in the portfolio of winners and losers. Shares of small companies are superior or have higher returns than shares of large companies (Miralles-Quirós et al, 2019). The findings of market anomalies in the form of winner-loser portfolio reversals and the influence of size on the winner-loser portfolios mentioned above indicate inefficiencies in the market.…”

Section: Discussionmentioning

confidence: 97%

Investigation of winner-loser portfolio anomalies and size effect anomalies in LQ45 index, Indonesia stock exchange

Miswanto,

Putri

2023

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This study investigates the anomalies of winner-loser portfolios and anomalies of size effect on LQ45 stocks in the Indonesia Stock Exchange (IDX), period 2015-2020. The paired sample t-test (parametric) and Wilcoxon test (non-parametric) are used to test samples. Sample selection is carried out using the non-probability and purposive sampling methods. The shares of companies that met the sample criteria were 26. The primary data used cumulative abnormal returns and market capitalization as proxies for a company's stock size. The anomaly of the winner-loser effect phenomenon is observed by dividing the data into two periods: the formation period and the testing period. The periods are both short-term and long-term. The short-term period is six months, and the long-term is 12 months. The first finding shows reversals in average cumulative abnormal returns (CARs) on the winner-loser stock portfolio. In the testing period, the average CARs were turned down, and many average CARs became negative. Portfolio loser in the testing period, the average CARs reversed to positive. The second is a reversal in average CARs in winner-loser stock portfolios caused by the size effect. The performance of small winner-loser portfolios is proven to outperform big winners' portfolios. The reversal occurs in both the short-term and long-term. This finding suggests that behavioral finance can explain this market anomaly, and it is helpful for investors in coming up with strategies to get abnormal returns.

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“…The results show that shareholders in sensitive sectors are especially concerned about environmental practices although are already reflected in stock prices. On the other hand, unexpected information about CSR practices is what generates significant added value (Miralles-Quirós et al, 2019). We use the book value per ordinary share (BVOS) to calculate the value per share of a company based on the company's net worth.…”

Section: Control Variablesmentioning

confidence: 99%

Corporate Social Responsibility and Capital Structure in the World's Largest Economies

Passos¹,

Colauto²

2020

Anais Do(a) XLIV ENCONTRO DA ANPAD - EnANPAD 2020

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Companies are under external pressure to adopt Corporate Social Responsibility (CSR) practices. No consensus has been achieved in CSR literature yet. Positive and significant results of the relationship between CSR and financial performance are not always confirmed in empirical studies. Thereby, we seek to understand the influence of capital structure on the performance of CSR practices, since there is a theoretical omission about intangible attributes. We used a sample of 1,642 publicly traded companies on the 10 highest GDP countries. Using GMM 2SLS estimator, the results reveal positive and significant relationship between Capital Structure and CSR. We found differences between countries related to the Capital Structure volume required to achieve a CSR positive index. Our findings provoke further debate concerning the reasons that conduct organizations to adopt such practices and foster new discussions about the aspects that involve social practices responsible adoption in companies.

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The Profitability of Moving Average Rules: Smaller Is Better in the Brazilian Stock Market

Cited by 5 publications

References 35 publications

Does ESG performance promote vitality of capital market? Analysis from the perspective of stock liquidity

Does ESG performance promote vitality of capital market? Analysis from the perspective of stock liquidity

Investigation of winner-loser portfolio anomalies and size effect anomalies in LQ45 index, Indonesia stock exchange

Corporate Social Responsibility and Capital Structure in the World's Largest Economies

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