This study investigates the performance of hotel common stocks relative to specific market indices and assess whether or not historic Beta was an appropriate measurement of future risk for hotel stocks in the market downturn of 2008. Using three different measurements of Beta, the study finds...

The performance of analysts' forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Purpose – This study aims to investigate whether and how different sentiments affect the stock market’s reaction to the American Customer Satisfaction Index (ACSI) information. Design/methodology/approach – The portfolio approach, with time-varying risk factor loadings and the...

This article develops and tests a methodology for rebalancing the mean-variance optimized portfolio through the use of a Kalman filter. The approach combines information from a mean-variance (MV) optimization technique along with a three factor regression model that includes market...