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...

This paper aims to examine the relation between idiosyncratic volatility (IVOL) and stock returns with full-sample and conditional alpha sub-samples in Vietnam stock market covering the period from January 2008 to December 2018. We test the IVOL effect on stock returns employing Fama-Macbeth...

This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...

This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...

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...

We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...

Purpose - Motivated by the significant role of uncertainty in affecting investment decisions and China's economic leadership in Asia, this paper investigates the predictive role of exposure to Chinese economic policy uncertainty at the individual stock level in large Asian markets....

This study suggests a new measure for a firm's operating cost flexibility. Flexible firms are less risky and, therefore, require lower stock returns. This analysis of 126,202 firm-year observations from the U.S. cross-section of stock returns finds that the new measure explains a negative...

Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were...

This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...