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Whose option ratios contain information about future stock prices?

Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies : … 32 (2024) 1, pp. 58-81

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...

Persistent link: https://www.econbiz.de/10014497179

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

Modifications on book-valued ratios

Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37

Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...

Persistent link: https://www.econbiz.de/10014281276

Operating cost flexibility and implications for stock returns

Taussig, Roi D. - In: Risks : open access journal 12 (2024) 10, pp. 1-7

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...

Persistent link: https://www.econbiz.de/10015130522

The impact of investor sentiment on direction of stock price changes : evidence from the Polish stock market

Polak, Kamil - In: Journal of banking and financial economics 2 (2021) 16, pp. 72-90

The purpose of this research is to examine the impact of sentiment derived from news headlines on the direction of stock price changes. The study examines stocks listed on the WIG-banking sub-sector index on the Warsaw Stock Exchange. Two types of data were used: textual and market data. The...

Persistent link: https://www.econbiz.de/10012887921

The British stock market under the structure of market capitalization value : new evidence on its predictive content

Georgiou, Catherine - In: International journal of business and economic sciences … 13 (2020) 3, pp. 56-69

Purpose: The aim of our paper is twofold. First, we examine the predictive ability of log bookmarket, dividend-price, earnings-price and dividend-earnings ratios on the most recent data set of the strongest securities in the UK economy; unlike the majority of the studies in this data set, our...

Persistent link: https://www.econbiz.de/10012485885

Do the FAMA and FRENCH five-factor model forecast well using ANN?

Jan, Muhammad Naveed; Ayub, Usman - In: Journal of business economics and management 20 (2019) 1, pp. 168-191

Forecasting the stock returns in the emerging markets is challenging due to their peculiar characteristics. These markets exhibit linear as well as nonlinear features and Conventional forecasting methods partially succeed in dealing with the nonlinear nature of stock returns. Contrarily,...

Persistent link: https://www.econbiz.de/10012175006

Big data, accounting information, and valuation

Nissim, Doron - In: The Journal of finance and data science : JFDS 8 (2022), pp. 69-85

This paper reviews research that uses big data and/or machine learning methods to provide insight relevant for equity valuation. Given the huge volume of research in this area, the review focuses on studies that either use or inform on accounting variables. The article concludes by providing...

Persistent link: https://www.econbiz.de/10014433769

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27

growing importance of emerging markets, the literature on the nature of volatility in global markets is typified by … volatility in developed G7 and emerging BRICS markets. Broad market index data and GARCH models over the period 2003 …:01–2020:08 were employed. The study found evidence of volatility persistence, asymmetry, mean reversion and weak evidence of a risk …

Persistent link: https://www.econbiz.de/10012872753

Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market

Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

Persistent link: https://www.econbiz.de/10014308779