Search Results - subject:"Rendite"

When oil moves the market : asymmetric tail effects of oil price shocks on stock returns in major oil-producing countries

Al-Jalahma, Abdulla; Al-Mohamad, Somar; Jreisat, Ammar … - 2026

Persistent link: https://www.econbiz.de/10015617386

ESG and its components : impact on stock returns across firm sizes in Europe and the United States

Escobar-Saldívar, Luis Jacob; Villarreal-Samaniego, Dacio - 2026

A longstanding debate in finance concerns the impact of social responsibility actions on firms' long-term profitability. This study provides a broad analysis on the relationship between ESG, its components, and stock returns. Using a dataset that spans from December 2014 to December 2023, this...

Persistent link: https://www.econbiz.de/10015611256

Hard to process : atypical firms and the cross-section of expected stock returns

Weibels, Sebastian - 2026 - Current version: January 2026

Theories of limited attention predict that investors rely on typical patterns to navigate high-dimensional firm characteristics, making atypical firms hard to process. To quantify this difficulty, we propose a data-driven measure of firm atypicality using an autoencoder (ATYP). The model learns...

Persistent link: https://www.econbiz.de/10015605627

Broken symmetry of stock returns : a modified Jones-Faddy skew t-distribution

Shao, Siqi; Ghasemi, Arshia; Farahani, Hamed; Serota, … - 2026

We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns and for stochastic volatility, we argue that the...

Persistent link: https://www.econbiz.de/10015628697

Local information demand and the cross-section of stock returns

Chu, Gang; Goodell, John W.; Li, Xiao - 2026

Using internet search data, we examine how geographic proximity shapes individual investors' information acquisition behavior. Focusing on the Chinese stock market, we document a pronounced local bias in information demand: individual investors search more intensively for stocks of firms...

Persistent link: https://www.econbiz.de/10015637550

A comparative analysis of overnight vs. daytime static and momentum strategies across sector ETFs

Salotra, Gourav; Katikireddy, Tharunya; Anumolu, Yaswanth; … - 2026

This study examines overnight vs. daytime static and momentum strategies applied to ten sector Exchange-traded funds (ETFs) over a 27-year period from 1999 to 2025. Our findings reveal that several such strategies, particularly reversal strategies, consistently outperform static and buy-and-hold...

Persistent link: https://www.econbiz.de/10015640217

Efficiency, concentration, and diversification : portfolio lessons from Indian technology equities

Malhotra, Davinder Kumar; Batra, Shaurya; Singh, Rahul - 2026

This study examines the extent to which Indian technology equities generate sufficient returns relative to their inherent volatility and assesses whether intra-sector diversification can improve outcomes in this dynamic, high-risk sector. Drawing on data from January 2020 to April 2025, ten...

Persistent link: https://www.econbiz.de/10015643105

The impact of EPU on the relation between international oil price shocks and the Chinese stock market : industry and transnational perspectives

Huang, Xin; Gao, Yang - 2026

In this study, we employ the panel smooth transition (PSTR) model to establish a nonlinear framework for examining the relationship between international oil prices and stock returns in China. We specifically investigate how economic policy uncertainty (EPU) acts as a threshold-driven moderator...

Persistent link: https://www.econbiz.de/10015643264

The many facets of stock momentum : distinguishing factor and stock components

Gérard, Xavier; Jehl, Laura - 2026

Persistent link: https://www.econbiz.de/10015647136

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://www.econbiz.de/10015573684