Does it pay to invest in green companies? In countries where a market for carbon is functioning, such as those within the European Union, our findings suggest that it should be beneficial. Using a sample of green and brown European firms, we initially demonstrate that green companies have...

This study presents novel deep neural networks (DNNs) that integrate a thorough data preparation process, including dollar bar sampling, trend scanning labeling, and piecewise aggregate approximation (PAA), to extract features for predicting the directional returns of leading technology stocks...

This study analyzes the spillover effects of economic and political uncertainty from advanced, emerging and low-income economies on stock returns in Vietnam based on a firm-level approach. After controlling for firm-level and country-level factors and addressing potential endogeneity issues, we...

This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to disentangle the probability of disaster and...

This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock returns of 10 (8 advanced plus two emerging) countries...

Purpose This study aims to analyse the effects of Economic Policy Uncertainty (EPU) on the return of growth/value and small/large-cap stocks during expansionary and recessionary periods across a conditional distribution. Design/methodology/approach The authors selected a sample covering the...

This paper introduces a new predictive analytics model for forecasting stock price trends in financial assets traded on major stock exchanges worldwide and the Colombian Stock Exchange. The model is built on a probability space definition that consists of a measurable space derived from...

This study examines the impact of China's "Zero-COVID" policies on stock returns in the healthcare sector from January 2020 to December 2022. Using panel regression analysis, we find that increases in the Stringency Index increased healthcare stock returns. In contrast, vaccination rates are...

Labour mobility and migration have long been a defining feature of the European Union (EU), fostering economic integration, cultural exchange, and social dynamism. Within this complex landscape, return mobility - where EU citizens move back to their home countries after living in another Member...

Welfare quality is usually a stochastic outcome, as attempts at improving social welfare cannot be predicted in advance. The advances in stock market participation conclude that equity market performance is able to reflect investors' mass reactions and therefore can fairly reflect the empiricism...

The notion of compensation for systematic risk is well ingrained in finance and constitutes the basis for numerous empirical tests. The concept an increase in systematic risk is accompanied by an increase in the required risk premium has strong intuitive content: The more risk there is to be...

This paper explores the hypothesis that the returns of asset classes can be predicted using common, systematic risk factors represented by the level, slope, and curvature of the US interest rate term structure. These are extracted using the Nelson-Siegel model, which effectively captures the...

Are carbon emissions priced in equity markets? The literature is split with different approaches yielding conflicting results. We develop a stylized model showing that, if emissions are priced, stock returns depend on expected emissions and the product of the innovation in emissions and the...

In this paper, models are built and evaluated to forecast the share redemption suspensions and net asset value decreases of German open-end real estate funds. These models emphasize the potential role of qualitative investment ratings in the above two aspects. The results reveal that better...