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Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022

We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...

Persistent link: https://www.econbiz.de/10014236192

Effect of Real Estate News Sentiment on the Stock Returns of Swedbank and Seb Bank

Puzanova, Yuliia - 2020

apply several GARCH specifications to show that negative and positive news explain the asymmetric effects in the volatility …

Persistent link: https://www.econbiz.de/10012837554

Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

Persistent link: https://www.econbiz.de/10015179749

Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? : a multi-scale perspective

Ftiti, Zied; Hadhri, Sinda - In: Pacific-Basin finance journal 53 (2019), pp. 40-55

Persistent link: https://www.econbiz.de/10012133290

New evidence of psychological barrier from the oil market

Narayan, Paresh Kumar; Ranjeeni, Kumari; … - In: The journal of behavioral finance : a publication of … 18 (2017) 4, pp. 457-469

Persistent link: https://www.econbiz.de/10012008659

Banks' return reaction to freedom, sentiment, and uncertainty

Shah, Syed Faisal; Mohamed Al-Baity; Mahfuzur Rahman - In: Journal of open innovation : technology, market, and … 9 (2023) 1, pp. 1-14

The paper aims to investigate the impact of freedom dimensions, investor sentiment, and uncertainty on bank stock returns. Additionally, this study examines the interaction between economic freedom dimensions and oil prices. To meet the study's objectives, a two-step GMM estimator was applied to...

Persistent link: https://www.econbiz.de/10014289303

Idiosyncratic Momentum in Commodity Futures

Shpak, Iuliia - 2017

This paper provides novel findings on idiosyncratic momentum in commodity futures. Momentum strategy that forms portfolios on the basis of commodity-specific returns delivers compelling investment returns which are substantially more robust and superior to total return momentum on an absolute...

Persistent link: https://www.econbiz.de/10012948042

The Investors' Belief in Stock Returns and Volatilities

Wang, Jiakou - 2014

volatility of the returns are the concave, bell-shaped functions of the investors' belief if risk aversion is a constant ….The empirical findings in this paper suggest that the expected excess return and the volatility are monotonically increasing … volatility in the bad regime are generated. A second empirical finding is that the stock return predictors, such as the term …

Persistent link: https://www.econbiz.de/10013056213

Momentum and reversal : information from prior returns

Kolari, James W.; Shin, Sang-Ook - In: Applied economics 56 (2024) 3, pp. 318-336

Persistent link: https://www.econbiz.de/10014439916

Investor clientele and intraday patterns in the cross section of stock returns

Chen, Jian; Haboub, Ahmad; Khan, Ali; Mahmud, Syed - In: Review of quantitative finance and accounting 64 (2025) 2, pp. 757-797

Persistent link: https://www.econbiz.de/10015194606