This study presents the correlation and regression between ten different selected stocks which are Berkshire Hathaway, America Express, Apple Inc., Ford motors, Cabot Oil Gas, Walmart, Disney, JP Morgan Chase, Unilever Nike and Wilshire 5000 which are listed on NYSE. Henceforth CAPM helps to...

This paper conducts a comprehensive asset pricing study based on a unique dataset for the German stock market. For the period 1963 to 2006 we show that two value characteristics (book-to-market equity, earnings-to-price) and momentum explain the cross-section of stock returns. Corresponding...

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

In this study, we apply new sentiment variables and examine dynamic connectedness among major market indices in Europe and that of USA. By doing this, we use the GARCH-MIDAS model and its extensions to provide new insights on the impact of behavioural biases on asset prices. Specifically, we...