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The nexus between analyst forecast dispersion and expected returns surrounding stock market crashes

Chong, Terence Tai-Leung; Wang, Xiaolei - In: Journal of risk and financial management : JRFM 2 (2009) 1, pp. 75-93

empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock …

Persistent link: https://www.econbiz.de/10011556115

Sticky stock market analysts

Filiz, Ibrahim; Judek, Jan René; Lorenz, Marco; … - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-27

future. In addition, we draw on some contemporary measures of forecast quality (prediction-realization diagram, test of …

Persistent link: https://www.econbiz.de/10012799168

The cross section of country equity returns : a review of empirical literature

Zaremba, Adam - In: Journal of risk and financial management : JRFM 12 (2019) 4/165, pp. 1-26

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...

Persistent link: https://www.econbiz.de/10012171448

Forecasting volatility : evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

to make decisions using this model to forecast the risks associated with investing in the Saudi stock market, within …

Persistent link: https://www.econbiz.de/10011960525

Impact of COVID-19 on the stock market by industrial sector in Chile : an adverse overreaction

González, Pedro Antonio; Gallizo Larraz, José L. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-24

This paper studies the reaction of share prices in the Chilean securities market at the sectoral level to the arrival of COVID-19 in the country. The following question is answered: Did the Chilean market act efficiently before the arrival of COVID-19? To answer this question, an event study...

Persistent link: https://www.econbiz.de/10012795921

The impact of COVID-19 on stock market returns in Vietnam

Đao Van Hùng; Thi Minh Hue Nguyen; Thuy Duong Vu - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-15

This paper studies the impacts of COVID-19 on the performance of the Vietnamese Stock Market-a rapidly growing emerging market in a country that has to date successfully controlled the disease outbreak. The study uses a random-effect model (REM) on panel data of stock returns of 733 listed...

Persistent link: https://www.econbiz.de/10012628531

Analyst forecast dispersion and market return predictability : does conditional equity premium play a role?

Liu, Shuang; Yao, Juan; Satchell, Stephen - In: Journal of risk and financial management : JRFM 13 (2020) 5/98, pp. 1-21

Prior studies found that analyst forecast dispersion predicts future market returns. Some prior studies attribute this …

Persistent link: https://www.econbiz.de/10012304904

Information frictions and stock returns

Yang, Xiaolou - In: Journal of risk and financial management : JRFM 13 (2020) 7/140, pp. 1-13

The purpose of this paper is to assess the impact of ambiguity on financial analyst forecast incentives and the …. Investors systematically underreact to good news forecast and overreact to bad news forecast when ambiguity exists. …

Persistent link: https://www.econbiz.de/10012309266

How informative are earnings forecasts?

Bruijn, Bert de; Franses, Philip Hans - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-20

available forecast for each forecaster and the difference between the average and the forecast that this forecaster previously … made. We extended the knowledge base by analyzing the unpredictable component of the earnings forecast. We found that for … some forecasters the unpredictable component can be used to improve upon the predictable forecast, but we also found that …

Persistent link: https://www.econbiz.de/10011895745

What information in financial statements could be used to predict the risk of equity investment?

Liu, Min - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Theoretically, accounting earnings could be used to estimate the intrinsic value of equity. If accounting earnings could be predicted accurately, then, so could be the value of equity, thereby, creating much less risk in equity investment. However, earnings surprises are common, and therefore so...

Persistent link: https://www.econbiz.de/10012626688