A STUDY OF SIZE EFFECT AND MACROECONOMICS FACTORS IN NEW YORK STOCK EXCHANGE STOCK RETURNS

The purpose of this paper is to look at the ‘size-effect’ question using a large sample drawn from New York Stock Exchange prices. The impact of the stock returns' size is also examined and the validity of models explaining the observed negative relations between asset returns and inflation are addressed. The generalized impulse response functions are adopted. Further, The vector error correction model (VECM) (Johansen (1991)) is utilized to determine the impact of selected macroeconomic variables on NYSE. Results reveal that size had an impact on stock returns. Further, it appears that there is reliable negative relationship between stock prices and inflation. The level of real economic activity affects stock prices positively. Finally, interest rates have a negative relationship with stock pricesInflation, Growth Rate, Stock Returns, Positive Accounting, Market Capitalization and Portfolio Size.

The Impact of Mergers and Acquisitions on the Efficiency of the US Banking Industry: Further Evidence

Using the Stochastic Frontier Approach (SFA), this study investigates the cost and profit efficiency effects of bank mergers on the US banking industry. We also use the non-parametric technique of Data Envelopment Analysis (DEA) to evaluate the production structure of merged and non-merged banks. The empirical results indicate that mergers have improved the cost and profit efficiencies of banks. Further, evidence shows that merged banks have lower costs than non-merged banks because they are using the most efficient technology available (technical efficiency) as well as a cost minimizing input mix (allocative efficiency). The results suggest that there is an economic rational for future mergers in the banking industry. Finally, mergers may allow the banking industry to take advantage of the opportunities created by improved technology. Copyright 2007 The Authors Journal compilation (c) 2007 Blackwell Publishing Ltd.

New evidence on shareholder wealth effects in bank mergers during 1980-2000

Bank Mergers, Valuation, E-Garch, G21, G34,