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Characteristics and Information Value of Corporate Disclosures of Forward-Looking Information in Global Equity Markets

Frost, Carol Ann - 2000

This study documents the characteristics and information value of corporate disclosures of forward-looking information in different equity markets. It focuses on the extent to which national differences in legal and regulatory environments, and systems of corporate governance and finance...

Persistent link: https://www.econbiz.de/10014224019

Firm Characteristics and Empirical Factor Models : A Model Mining Experiment

Tian, Mary H. - 2021

In a novel model mining experiment, we data mine hundreds of randomly constructed three-factor models and find that many outperform well-known models from the literature, including those with four and five factors. The results provide compelling evidence that the threshold of factor model...

Persistent link: https://www.econbiz.de/10013250566

Stylized Facts of Intraday Precious Metal Returns

Batten, Jonathan A. - 2016

closing of major markets around the world while the BAS is at its lowest when European markets are open. We also show a …

Persistent link: https://www.econbiz.de/10012999879

Volatility Risk and Stock Return Predictability on Global Financial Crises

Kongsilp, Worawuth - 2016

This paper investigates the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options Exchange (CBOE)...

Persistent link: https://www.econbiz.de/10012999962

Impact of Volatility and Performance of Major Stock Markets on Sarajevo Stock Exchange in 2008-2012 Period

Dzanic, Enis - 2016

the performance of major world exchanges such as New York, Frankfurt or Tokyo stock exchange. This research analyses … the end of 2012. This time period contains significant events in the US and the rest of the world, including the housing … low correlation at times of low volatility. With these results, we will be able to understand the impact of major world …

Persistent link: https://www.econbiz.de/10013001008

Habitat Momentum

Maryniak, Paweł - 2017

In this paper we find strong empirical evidence that stocks connected by common ownership with well-performing stocks tend to perform well in the following periods. Based on this observation, we introduce a new strategy – dubbed habitat momentum – and show for US stock price data from the...

Persistent link: https://www.econbiz.de/10012967601

Merger Imbalance and Returns in International Equity Markets

Zaremba, Adam - 2017

At the global level, the mispricing theory of mergers by Shleifer and Vishny (2003) may imply that a significant number of targets acquired in a given country is a sign of market-wide undervaluation whereas intense acquisition activity indicates overvaluation. The present study develops a...

Persistent link: https://www.econbiz.de/10012968527

Equity Anomalies and Idiosyncratic Risk Around the World

Fan, Steven - 2015

In this study, we examine how idiosyncratic risk is correlated with a wide array of anomalies, including asset growth, book-to-market, investment-to-assets, momentum, net stock issues, size, and total accruals, in international equity markets. We use zero-cost trading strategy and multifactor...

Persistent link: https://www.econbiz.de/10013022117

Idiosyncratic Volatility and Expected Returns at the Global Level

Umutlu, Mehmet - 2015

We investigate the existence and significance of a cross-sectional relation between idiosyncratic volatility and expected returns at the global level by introducing a global idiosyncratic volatility measure and globally diversified test assets. We find that the portfolios with the highest and...

Persistent link: https://www.econbiz.de/10013028948

Can Dividend Schedules Predict Abnormal Returns? International Evidence

Ainsworth, Andrew - 2015

This study presents international evidence on the dividend month premium. In the US, Hartzmark and Solomon (2013) find abnormally high returns during the months when stocks are predicted to pay a dividend. We test for this predicted dividend month premium in eleven developed markets, including...

Persistent link: https://www.econbiz.de/10013029370