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Risk or Mispricing? Cross-Country Evidence on the Cross-Section of Stock Returns

Dong, Mike - 2019

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...

Persistent link: https://www.econbiz.de/10012860225

Comparative Evidence on the Value Relevance of IFRS-Based Accounting Information in Germany and the UK

Elbakry, Ashraf Elsayed - 2016

changes in the value relevance of accounting information before and after the mandatory adoption of IFRS in Germany and the UK … Germany and the UK after the switch to the IFRS. Second, a modified model, which shows that the incremental value relevance of … both earnings and book values are considerably higher in the long term for firms in the UK than in Germany. Third, a …

Persistent link: https://www.econbiz.de/10012977363

Do Managers Always Know Better? Relative Accuracy of Management and Analyst Forecasts

Hutton, Amy P. - 2012

the industry level. The two have comparable abilities to forecast earnings for firms with revenues or earnings that are …

Persistent link: https://www.econbiz.de/10013107227

Forecasting Stock Market Crashes via Machine Learning

Dichtl, Hubert; Drobetz, Wolfgang; Otto, Tizian - 2021

and among the best-performing univariate benchmarks, while still being truly out-of-sample. The ability to forecast …

Persistent link: https://www.econbiz.de/10013225686

A Comparative Analysis on the Volume-Return Relationship of the ETF and Stock Market

Lin, Jung-Chu - 2019

This paper aims to examine the contemporaneous relationship between trading volume and returns in the ETF market taking the stock market as a contrast. While past research using correlation analysis and OLS method to specify a linear regression model only catches the average relationship between...

Persistent link: https://www.econbiz.de/10012904919

On the Imbalances between the Real Estate Market and Stock Markets in China

Zhang, Gaiyan - 2009

This paper explores the imbalance between China's real estate market, which is booming, and the stock market, which has plunged over four years. Our empirical analysis shows that the two markets are systematically negatively related due to fund flows. The plummeting stock indexes are partly...

Persistent link: https://www.econbiz.de/10013155170