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Does the bond-stock earnings yield differential model predict equity market corrections better than high P/E models?

Lleo, Sébastien; Ziemba, William T. - In: Financial markets, institutions & instruments 26 (2017) 2, pp. 61-123

Persistent link: https://www.econbiz.de/10011713610

Market momentum amplifies market volatility risk : evidence from China's equity market

Liang, Chao; Luu Duc Toan Huynh; Li, Yan - In: Journal of international financial markets, … 88 (2023), pp. 1-17

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Dynamic factors and asset pricing : international and further U.S. evidence

He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Pacific-Basin finance journal 32 (2015), pp. 21-39

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Country-level analyst recommendations and international stock market returns

Berkman, Henk; Yang, Wanyi - In: Journal of banking & finance 103 (2019), pp. 1-17

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Do anomalies really predict market returns? : new data and new evidence

Cakici, Nusret; Fieberg, Christian; Metko, Daniel; … - In: Review of finance : journal of the European Finance … 28 (2024) 1, pp. 1-44

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Realized semibetas and international stock return predictability

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Momentum Crashes and Variations to Market Liquidity

Butt, Hilal Anwar - 2019

We document that the variation in market liquidity is an important determinant of momentum crashes that is independent of other known explanations surfaced on this topic. This relationship is driven by the asymmetric large return sensitivity of short-leg of momentum portfolio to changes in...

Persistent link: https://www.econbiz.de/10012895183

Isolating momentum crashes

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Mechanisms of overpricing : An investigation on momentum crashes

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The role of multivariate skew-student density in the estimation of stock market crashes

Wu, Lei; Meng, Qingbin; Velazquez, Julio C. - In: The European journal of finance 21 (2015) 13/15, pp. 1144-1160

Persistent link: https://www.econbiz.de/10011419786