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Explanatory power of pre-issue financial strength for long-term market performance : evidence from initial equity offerings on an emerging market

Czapiewski, Leszek; Lizińska, Joanna - In: International Journal of Financial Studies : open … 7 (2019) 1/16, pp. 1-16

This study tests possible sources of long-term risk-adjusted returns on initial public offerings (IPO) in Poland under the calendar-time portfolio (CTP) approach. The moment of going public still remains a puzzle in many areas. Poland’s status as an emerging market has been indisputable for...

Persistent link: https://www.econbiz.de/10012038537

Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

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...

Persistent link: https://www.econbiz.de/10014307488

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

Idiosyncratic volatility and stock returns : Indian evidence

Aziz, Tariq; Ansari, Valeed Ahmad - In: Cogent economics & finance 5 (2017) 1, pp. 1-20

This paper examines the idiosyncratic volatility (IV) puzzle in the Indian stock market for the period 1999 … volatility and future stock returns. However, this relation is sensitive to the choices of portfolio weighting schemes, types of …

Persistent link: https://www.econbiz.de/10011887525

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

Persistent link: https://www.econbiz.de/10011539896

Size, Value, and Momentum in Emerging Market Stock Returns : Integrated or Segmented Pricing?

Hanauer, Matthias X. - 2015

In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...

Persistent link: https://www.econbiz.de/10013034756

Cross-sectional returns predictability for emerging market banks : a study on Indian banking system

Mohapatra, Sabyasachi; Misra, Arun Kumar - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated...

Persistent link: https://www.econbiz.de/10012023368

Testing mispricing-augmented factor models in an emerging market : a quest for parsimony

Ali, Fahad - In: Borsa Istanbul Review 22 (2022) 2, pp. 272-284

This study is the first to test a financing-based misvaluation factor (UMO, undervalued-minus-overvalued), first proposed by Hirshleifer and Jiang (2010), for the Pakistani stock market. I find that the UMO factor, long underpriced (repurchase) stocks and short overpriced (new issue) stocks,...

Persistent link: https://www.econbiz.de/10013184079

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Demirtas, K. Ozgur - 2012

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

Persistent link: https://www.econbiz.de/10013115711

Idiosyncratic Volatility and Firm-Specific News : Beyond Limited Arbitrage

DeLisle, Jared - 2016

idiosyncratic volatility is from its function as a limit arbitrage. Our evidence incorporating firm specific news is inconsistent … news volatility (volatility contemporaneous to news announcements) should be stronger than that of non-news volatility … (volatility without an identified news announcement). We find the opposite. Non-news volatility has robust negative price and …

Persistent link: https://www.econbiz.de/10013003459