Stock Markets in the Russian Federation, Transitional Europe & the United States: Profitability vs. Pessimism/Optimism

Academy of Finance Proceedings, pp. 1-9, 2003

9 Pages Posted: 22 Nov 2009

See all articles by Tanweer Hasan

Tanweer Hasan

Roosevelt University

Lalith P. Samarakoon

University of St. Thomas

Munzoor Shaikh

affiliation not provided to SSRN

Date Written: 2003

Abstract

This study develops and estimates the level of profitability and pessimism/optimism in the stock markets of the Russian Federation, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania and Slovenia and compares them with the U.S. market. The risk premium associated with the volatility in each market is taken as a proxy for profitability while the pessimism/optimism is estimated as the ratio of the volatility given a negative shock versus a positive shock, of the same magnitude. The results indicate that while none of the newer markets as well as the more mature U.S. market displays a risk premium in their daily log returns, the newer markets, in general, show optimism. This apparent optimism documented for the newer markets could be indicative of the fact that these markets are growing at a faster pace with the passage of time.

Keywords: Profitability, Pessimism, Optimism, Volatility, Risk premium, Emerging stock markets

JEL Classification: G11, G12, G15

Suggested Citation

Hasan, Tanweer and Samarakoon, Lalith P. and Shaikh, Munzoor, Stock Markets in the Russian Federation, Transitional Europe & the United States: Profitability vs. Pessimism/Optimism (2003). Academy of Finance Proceedings, pp. 1-9, 2003, Available at SSRN: https://ssrn.com/abstract=1509641

Tanweer Hasan (Contact Author)

Roosevelt University ( email )

Chicago, IL 60605
United States

Lalith P. Samarakoon

University of St. Thomas ( email )

2115 Summit Ave
St. Paul, MN 55105
United States

HOME PAGE: http://www.lalithsamarakoon.com

Munzoor Shaikh

affiliation not provided to SSRN

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