IDEAS home Printed from https://ideas.repec.org/a/bla/manchs/v68y2000is1p38-50.html
   My bibliography  Save this article

International Comparisons on Stock Market Short‐termism: How Different is the UK Experience?

Author

Listed:
  • Angela J. Black
  • Patricia Fraser

Abstract

Using data from five major stock markets and a vector autoregression estimation procedure underpinned by the traditional intertemporal capital asset pricing model, initial evidence suggests that the UK investing community is particularly prejudiced in terms of short‐termist behaviour. The observed UK myopic outlook, however, may be more apparent than real. We hypothesize that UK investors are highly sensitive to uncertainty over future cash flows—a feature which is not being captured by traditional theoretical models. Motivated by the ‘option value’ approach, the evidence shows that uncertainty about UK economic conditions, as proxied by the spread between mortgage rates and base rates, can go some way in explaining the reported UK anomaly.

Suggested Citation

  • Angela J. Black & Patricia Fraser, 2000. "International Comparisons on Stock Market Short‐termism: How Different is the UK Experience?," Manchester School, University of Manchester, vol. 68(s1), pages 38-50.
  • Handle: RePEc:bla:manchs:v:68:y:2000:i:s1:p:38-50
    DOI: 10.1111/1467-9957.68.s1.3
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/1467-9957.68.s1.3
    Download Restriction: no

    File URL: https://libkey.io/10.1111/1467-9957.68.s1.3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hall, Bronwyn H. & Oriani, Raffaele, 2006. "Does the market value R&D investment by European firms? Evidence from a panel of manufacturing firms in France, Germany, and Italy," International Journal of Industrial Organization, Elsevier, vol. 24(5), pages 971-993, September.
    2. duqi, andi & mirti, riccardo & torluccio, giuseppe, 2011. "An analysis of the R&D effect on stock returns for European listed firms," MPRA Paper 40012, University Library of Munich, Germany.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:manchs:v:68:y:2000:i:s1:p:38-50. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/semanuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.