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Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - In: Journal of risk and financial management : JRFM 14 (2021) 6, pp. 1-14

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

Persistent link: https://www.econbiz.de/10012587977

Abnormal returns and idiosyncratic volatility puzzle : an empirical investigation in Vietnam stock market

Vo Xuan Vinh; Van Phong Vo; Thanh Phuc Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-25

residuals estimated from regression based on capital asset pricing model (CAPM), Fama-French three-factor model and Carhart four …

Persistent link: https://www.econbiz.de/10012219258

Witching days and abnormal profits in the US stock market

Caporale, Guglielmo Maria; Plastun, Alex - In: Cogent economics & finance 11 (2023) 1, pp. 1-12

anomalies in price behaviour arise from witching by using various parametric (Student's t-test, and ANOVA) and non … detected anomalies give rise to profit opportunities by applying a trading simulation approach. The results suggest the …

Persistent link: https://www.econbiz.de/10014500683

Short-sale constraints and stock returns : a systematic review

Khan, Mostafa Saidur Rahim - In: Journal of capital markets studies 8 (2024) 1, pp. 43-66

Purpose This study delves into the nuanced implications of short-sale constraints on stock prices within the context of stock market efficiency. While existing research has explored this relationship, inconsistencies persist in their findings. The purpose of this study is to conduct a...

Persistent link: https://www.econbiz.de/10015047535

Size, value effects and the explanatory power of pricing models : evidence from BSE listed Indian industries

Sharma, Bhumiswor; Srikanth P; Suresha B. - In: Scientific papers of the University of Pardubice 30 (2022) 2, pp. 1-17

The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of …-known pricing models - CAPM, three-and five-factor across and within 15 Indian industries. The study considers all firms listed on … that size and value effects exist in almost all industries, presenting that size and value anomalies are the most prominent …

Persistent link: https://www.econbiz.de/10014440925

MAX, lottery-type stocks, and the cross-section of stock returns : evidence from the Chinese stock market

Hoang Van Hai - In: Cogent economics & finance 11 (2023) 1, pp. 1-33

This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...

Persistent link: https://www.econbiz.de/10014500653

Role of size and risk effects in value anomaly : evidence from the Indian stock market

Sharma, Mehak; Jain, Anshul - In: Cogent economics & finance 8 (2020) 1, pp. 1-12

Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the...

Persistent link: https://www.econbiz.de/10013179656

Investor attention and stock returns under negative shocks : an empirical analysis based on "dragon and tiger" list in China

Zhai, Xiao-ying; Hou, Ying-ying; Li, Yuanshun - In: Journal of business economics and management 21 (2020) 3, pp. 914-941

Using the "Dragon and Tiger" list, we construct a clean indicator that directly measures investor attention, empirically test the effect of investor attention on stock return under negative shocks and whether the effect is affected by the bull or bear market, the industry, firm size, age and...

Persistent link: https://www.econbiz.de/10012270507

The effects of Myanmar’s 2020 general election and 2021 military coup on stock market returns

Khanthavit, Anya - In: Thailand and the world economy 40 (2022) 3, pp. 1-14

Stock market returns are driven by political events. Investors adjust their behavior and reallocate their investments with respect to them. This study examines the effects of Myanmar’s 2020 general election and 2021 military coup on the Yangon Stock Exchange’s (YSX) returns. Myanmar is one...

Persistent link: https://www.econbiz.de/10013440358

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against … evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper … reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …

Persistent link: https://www.econbiz.de/10012237439