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  • Search: subject_exact:"Abnormal return"
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Year of publication
Subject
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Capital market returns 3,339 Kapitalmarktrendite 3,339 Capital income 1,236 Kapitaleinkommen 1,236 Börsenkurs 1,064 Share price 1,064 Estimation 805 Schätzung 805 USA 701 United States 701 Volatility 585 Volatilität 583 Portfolio selection 512 Anlageverhalten 511 Portfolio-Management 511 Behavioural finance 509 Forecasting model 489 Prognoseverfahren 489 CAPM 477 Aktienmarkt 428 Stock market 428 Theorie 428 Theory 428 Welt 388 World 387 Risk premium 325 Risikoprämie 324 Risk 230 Ankündigungseffekt 226 Announcement effect 226 Risiko 224 Investment Fund 162 Investmentfonds 162 Financial economics 156 Kapitalmarkttheorie 155 Oil price 152 Ölpreis 152 Finanzanalyse 141 ARCH model 140 ARCH-Modell 140
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Online availability
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Free 1,509 Undetermined 1,189
Type of publication
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Book / Working Paper 1,831 Article 1,703 Journal 1 Other 1
Type of publication (narrower categories)
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Article in journal 1,508 Aufsatz in Zeitschrift 1,508 Graue Literatur 698 Non-commercial literature 698 Working Paper 600 Arbeitspapier 599 Aufsatz im Buch 145 Book section 145 Hochschulschrift 129 Thesis 78 Collection of articles written by one author 53 Sammlung 53 Collection of articles of several authors 40 Sammelwerk 40 Conference paper 16 Konferenzbeitrag 16 Aufsatzsammlung 15 Article 9 Amtsdruckschrift 4 Government document 4 Glossar enthalten 3 Glossary included 3 Handbook 3 Handbuch 3 Ratgeber 3 Systematic review 3 Übersichtsarbeit 3 Bibliografie enthalten 2 Bibliography included 2 Case study 2 Fallstudie 2 Guidebook 2 Lehrbuch 2 Textbook 2 Fallstudiensammlung 1 Festschrift 1 Konferenzschrift 1 Mikroform 1 Nachruf 1 Nachschlagewerk 1
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Language
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English 3,419 German 59 Undetermined 40 Polish 7 Lithuanian 4 Spanish 4 Portuguese 2 Indonesian 1 Chinese 1
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Author
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McAleer, Michael 69 Weber, Michael 31 Bali, Turan G. 30 Cakici, Nusret 26 Chang, Chia-Lin 26 Zaremba, Adam 24 Nagel, Stefan 17 Lettau, Martin 16 Massa, Massimo 15 Stambaugh, Robert F. 15 Allen, David E. 14 Asai, Manabu 14 Ghysels, Eric 13 Hasan, Iftekhar 13 Hjalmarsson, Erik 13 Kang, Wensheng 13 Kelly, Bryan T. 13 Neuhierl, Andreas 13 Papanikolaou, Dimitris 13 Ratti, Ronald A. 13 Whitelaw, Robert 13 Demirtas, K. Ozgur 12 Glabadanidis, Paskalis 12 Whitelaw, Robert F. 12 Zhou, Guofu 12 Bartram, Söhnke M. 11 Freyberger, Joachim 11 Griffin, John M. 11 Adam, Klaus 10 Atilgan, Yigit 10 Donangelo, Andres 10 Grossman, Richard S. 10 Guo, Hui 10 Hirshleifer, David 10 Hsu, Po-Hsuan 10 Linnainmaa, Juhani 10 Long, Huaigang 10 Taylor, Lucian A. 10 Xiu, Dacheng 10 Bianchi, Francesco 9
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Institution
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National Bureau of Economic Research 86 Vytautas Magnus University 4 Christian-Albrechts-Universität zu Kiel 3 Springer International Publishing 3 Universität Mannheim 3 Books on Demand GmbH <Norderstedt> 2 Europäische Kommission / Gemeinsame Forschungsstelle 2 Springer-Verlag GmbH 2 BOK-BIS Conference on "Asia-Pacific Fixed Income Markets: Evolving Structure, Participation and Pricing" <2018, Seoul> 1 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 1 Bank of Korea 1 Bucerius Law School 1 Department of Economics, Leicester University 1 Duff & Phelps Corp. 1 Exotix Capital <Firma> 1 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 1 Friedrich-Ebert-Stiftung / Abteilung Wirtschafts- und Sozialpolitik 1 Goethe-Universität Frankfurt am Main 1 Karlsruher Institut für Technologie 1 Kassel University Press GmbH 1 Kroll, LLC 1 Leuphana Universität Lüneburg 1 Peter Lang GmbH 1 Polski Instytut Ekonomiczny 1 Schweiz / Staatssekretariat für Wirtschaft 1 Shaker Verlag 1 Society for Computational Economics - SCE 1 Springer Fachmedien Wiesbaden 1 Technische Universität Dresden 1 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 1 University of Hong Kong / School of Economics and Finance 1 Universität St. Gallen / Institut für Versicherungswirtschaft 1 Verlag Dr. Kovač 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Yale University. / Management. 1
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Published in...
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The review of financial studies 124 Working paper / National Bureau of Economic Research, Inc. 102 Journal of financial and quantitative analysis : JFQA 87 NBER working paper series 86 NBER Working Paper 77 Discussion paper / Centre for Economic Policy Research 72 The journal of finance : the journal of the American Finance Association 51 The journal of futures markets 51 Journal of financial economics 46 Journal of banking & finance 37 International review of finance 30 Pacific-Basin finance journal 29 Applied economics 28 Econometric Institute research papers 26 Energy economics 25 Finance research letters 25 Discussion paper / Tinbergen Institute 24 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 23 Finance India : the quarterly journal of Indian Institute of Finance 22 International review of financial analysis 22 Financial management 21 The journal of financial research 21 Journal of empirical finance 19 Journal of international financial markets, institutions & money 18 Review of finance : journal of the European Finance Association 18 Journal of risk and financial management : JRFM 17 Portfolio construction, measurement, and efficiency : essays in honor of Jack Treynor 17 Review of asset pricing studies 17 SpringerLink / Bücher 17 CESifo working papers 16 Management science : journal of the Institute for Operations Research and the Management Sciences 16 Working paper 16 International review of economics & finance : IREF 15 International finance discussion papers 14 Discussion papers / CEPR 13 Research paper series / Swiss Finance Institute 13 Springer eBook Collection 13 The North American journal of economics and finance : a journal of financial economics studies 13 Economics letters 12 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 12
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Source
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ECONIS (ZBW) 3,476 RePEc 43 EconStor 10 BASE 7
Showing 1 - 50 of 3,536
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Asymmetric effect of investors sentiments on herding behavior and stock returns : pre and post Covid-19 analysis
Bagh, Tanveer; Khan, Muhammad Asif; Fenyves, Veronika; … - In: Montenegrin journal of economics 19 (2023) 1, pp. 43-55
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Long-horizon investing in a non-CAPM world
Polk, Christopher; Vayanos, Dimitri; Woolley, Paul - 2023
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Consumer, bank, and stock market reaction to CFPB's complaint data disclosure
Bhattacharya, Abhi - In: Journal of financial services marketing 28 (2023) 1, pp. 128-145
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Sector Level Equity Returns Predictability with Machine Learning and Market Contagion Measure
Peng, Weijia; Yao, Chun - 2023
In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting information associated with financial market contagion. These measures are based on the decomposition (using high-frequency financial data) of the quadratic covariation between two assets...
Persistent link: https://ebtypo.dmz1.zbw/10014256827
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Corporate Bond Moments and Predictability of Equity Returns
Li, Sophia Zhengzi; Yuan, Peixuan; Zhou, Guofu - 2023
We document that the first and third cross-sectional moments of corporate bond returns significantly and positively predict future stock market returns both in- and out-of-sample. The predictability emerges from informed bond trading and gradual diffusion of information. Particularly, the...
Persistent link: https://ebtypo.dmz1.zbw/10014257015
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Essays on empirical asset pricing
Jensen, Theis Ingerslev - 2023 - First edition
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Anomalies and investor sentiment : international evidence and the impact of size factor
Salur, Bayram Veli; Ekinci, Cumhur - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-21
We examine whether investor sentiment can explain anomalies such as size and book-to-market in the US stock market. Differently from the literature, we test combination portfolios (portfolios formed on more than one factor such as size, book-to-market ratio, etc.) of developed markets for the...
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A High-Frequency Investigation of the Interaction between Volatility and DAX Returns
Masset, Philippe; Wallmeier, Martin - 2023
One of the most noticeable stylized facts in finance is that stock index returns are negatively correlated with changes in volatility. The economic rationale for the effect is still controversial. The competing explanations have different implications for the origin of the relationship: Are...
Persistent link: https://ebtypo.dmz1.zbw/10014257347
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Ambiguity and the Cross Section of Stock Returns
Cevheroglu-Acar, Merve G.; Karahan, Cenk C. - 2023
We examine the effect of ambiguity exposure on the cross-section of stock returns in the US equity market. In order to quantify ambiguity, we use a recently-developed methodology that measures ambiguity by perturbations in uncertain probabilities, and aversion to ambiguity by aversion to...
Persistent link: https://ebtypo.dmz1.zbw/10014254741
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ESG Rating, Investor Attention, and Stock Returns in China
Qin, Kaiyue - 2023
We study whether ESG ratings can predict stock returns in China. We find marginal evidence that stocks with higher ESG ratings have lower future returns. In addition, we explore the cross-sectional and time-series heterogeneities of the relationship between ESG and stock returns. We find the...
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Extreme Downside Risk in the Cross-Section of Asset Returns
Ergun, Lerby Murat - 2023
This paper considers an extension to Ang et al.’s (2006) non-linear downside beta framework. The extreme downside risk extension counts the extreme negative stock returns conditional on the market return being extremely negative. The extension is used in double-sorted portfolios, where I...
Persistent link: https://ebtypo.dmz1.zbw/10014257425
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Quantile Based Lottery Measure and the Cross-Section of Stock Returns
Bi, Jia; Zhu, Yifeng - 2023
We construct a new quantile based lottery measure — QBL to evaluate the lottery preference feature of stocks. The new measure is different from the commonly used lottery proxies: maximum daily return (MAX) and skewness (SKEW). The relationship between the QBL and expected returns is negative...
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The Market Timing Power of Moving Averages : Evidence from US REITs and REIT Indexes
Glabadanidis, Paskalis - 2023
I present evidence that a moving average trading strategy dominates buying and holding the underlying asset in a mean-variance sense using monthly returns of value-weighted and equal-weighted US REIT Indexes over the period January 1980 until December 2010. The abnormal returns are largely...
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The Cross Section of Stock Returns in an Artificial Stock Market
van Cappelle, Tjeerd; Pokidin, Dmytro; Zwinkels, Remco C. J. - 2023
We develop an Artificial Stock Market - an agent-based simulation model of the stock market with many risky assets. The ASM has three layers of heterogeneous and interacting agents, and generates prices for 150 stocks. We present the current state of the model and demonstrate its ability to...
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Market Timing with Moving Averages
Glabadanidis, Paskalis - 2023
I present evidence that a moving average (MA) trading strategy has a greater average return and skewness as well as a lower variance compared to buying and holding the underlying asset using monthly returns of value-weighted US decile portfolios sorted by market size, book-to-market, and...
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Timing the Market with a Combination of Moving Averages
Glabadanidis, Paskalis - 2023
A combination of simple moving average (MA) trading strategies with several window lengths delivers a greater average return and skewness as well as a lower variance and kurtosis compared to buying and holding the underlying asset using daily returns of value-weighted US decile portfolios sorted...
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Organizational Capital, Tobin's Q, and the Cross Section of Stock Returns
Wang, Kai - 2023
Asset growth factor (AG) – the return on a portfolio that is long in shares of low asset growth firms and short in shares of high asset growth firms - is an economy-wide pervasive risk factor in the widely used Fama and French (2015) five-factor model (FF5) and in the Hou, Xue, and Zhang...
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Can Real Options Explain the Skewness of Stock Returns?
Ho, Tuan Quoc; Kim, Kirak; Li, Yang; Xu, Fangming - 2023
We study a novel mechanism through which real options play a prominent role in inducing the skewness of stock returns. Building on the investment-based asset pricing framework, we show that firms’ real options to contract (expand) their businesses when productivity is low (high) can increase...
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The crude oil price-stock return connectedness and the impact of the Russian-Ukraine war on stock returns in East Asian countries
Behera, Chinmaya - In: Bulletin of monetary economics and banking 26 (2023), pp. 97-110
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Banks’ return reaction to freedom, sentiment, and uncertainty
Shah, Syed Faisal; Al-Baity, Mohamed; Mahfuzur Rahman - In: Journal of open innovation : technology, market, and … 9 (2023) 1, pp. 1-14
The paper aims to investigate the impact of freedom dimensions, investor sentiment, and uncertainty on bank stock returns. Additionally, this study examines the interaction between economic freedom dimensions and oil prices. To meet the study's objectives, a two-step GMM estimator was applied to...
Persistent link: https://ebtypo.dmz1.zbw/10014289303
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Cross-Section of Returns, Predictors Credibility, and Method Issues
In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-12
The paper focuses on the relationship between firms' characteristics and cross-section returns. The author reviews and critically assesses the most recent contributions in the literature. After comparing the abnormal returns (Alpha) and t statistics of the original works with those of...
Persistent link: https://ebtypo.dmz1.zbw/10014294998
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Disposed to be overconfident
Gödker, Katrin; Odean, Terrance; Smeets, Paul - 2023
We show that the disposition effect-the tendency of investors to hold losers and sell winners-can be a source of overconfidence. We find experimental evidence that individuals update beliefs about their own investment ability based on realized gains and losses rather than the overall performance...
Persistent link: https://ebtypo.dmz1.zbw/10014251033
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Machine learning techniques for cross-sectional equity returns' prediction
Fieberg, Christian; Metko, Daniel; Poddig, Thorsten; … - In: OR spectrum : quantitative approaches in management 45 (2023) 1, pp. 289-323
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Neglected peers in merger valuations
Guo, Feng; Liu, Tingting; Tu, Danni - In: The review of financial studies 36 (2023) 8, pp. 3257-3310
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The dynamics of disagreement
Daniel, Kent; Klos, Alexander; Rottke, Simon - In: The review of financial studies 36 (2023) 6, pp. 2431-2467
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Long-horizon stock returns are positively skewed
Farago, Adam; Hjalmarsson, Erik - In: Review of finance : journal of the European Finance … 27 (2023) 2, pp. 495-538
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Investor sentiment, cross-sectional stock returns, and short-sales : evidence from Korea
Lee, Hyo-jeong - In: Global business and finance review 28 (2023) 3, pp. 117-135
Purpose: This study investigates the return co-movements associated with investor sentiment shifts in the cross-sections under a setting where market-wide sentiment interacts with short-sale impediments. Design/methodology/approach: This study estimates the return sensitivity to market sentiment...
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Changes in firm profitability, heterogeneous investor beliefs, and stock returns
Yang, Baochen; Su, Yunpeng - In: Journal of management science and engineering 8 (2023) 2, pp. 258-272
In this study, we show that changes in profitability predict a firm's stock returns and future profitability. We construct three horizon-based profitability changes, including short-, medium-, and long-term changes. We find that the predictive information for short-term changes in profitability...
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Changes in oil price and economic policy uncertainty and the G7 stock returns : evidence from asymmetric quantile regression analysis
Nusair, Salah A.; Al-Khasawneh, Jamal A. - In: Economic change & restructuring 56 (2023) 3, pp. 1849-1893
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The risk-return tradeoff : are sustainable investors compensated adequately?
Bannier, Christina E.; Bofinger, Yannik; Rock, Björn - In: The journal of asset management : a major new, … 24 (2023) 3, pp. 165-172
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The dynamics of returns predictability in cryptocurrency markets
Bianchi, Daniele; Guidolin, Massimo; Pedio, Manuela - In: The European journal of finance 29 (2023) 6, pp. 583-611
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Financial economics with preferences and frictions
Brøgger, Andreas - 2023 - First edition
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New methods for testing, prediction, and estimation with applications to finance
Hediger, Simon - 2023
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Pandemic labor force participation and net worth fluctuations
Faria e Castro, Miguel; Jordan-Wood, Samuel - 2023
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Cross-Section of Returns, Predictors Credibility, and Method Issues
Yu, Zhimin - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-12
The paper focuses on the relationship between firms' characteristics and cross-section returns. The author reviews and critically assesses the most recent contributions in the literature. After comparing the abnormal returns (Alpha) and t statistics of the original works with those of...
Persistent link: https://ebtypo.dmz1.zbw/10014332809
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Disposed to Be Overconfident
Gödker, Katrin; Odean, Terrance; Smeets, Paul - 2023
We show that the disposition effect - the tendency of investors to hold losers and sell winners - can be a source of overconfidence. We find experimental evidence that individuals update beliefs about their own investment ability based on realized gains and losses rather than the overall...
Persistent link: https://ebtypo.dmz1.zbw/10014355531
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Predicting Equity Returns with Forecast Combinations of Deep Learning and Ensemble Methods
Brinkop, Eike-Christian; Lazar, Emese; Prokopczuk, Marcel - 2023
We contribute to the literature by analyzing forecast combination methods in the context of machine learning to predict equity returns. Whilst individual models lack robustness, forecast combinations display stability and are able to produce improved results with Sharpe ratios up to 3.16. We use...
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The Cross-Section of Factor Returns
Blitz, David - 2023
We explore the cross-section of factor returns using a sample of 150+ equity factors. Most factors exhibit a positive premium and a negative market beta in the long run. Factor themes with a clear positive beta, in particular low leverage and size, have no alpha after controlling for this beta...
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Information Choice, Uncertainty, and Expected Returns
Cao, Charles; Gempesaw, David; Simin, Timothy T. - 2023
We investigate how information choices impact equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns...
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Measuring and Testing Systemic Risk from the Cross Section of Stock Returns
Gil-Jaime, Jesus; Olmo, Jose - 2023
This study quantifies the presence of financial distress in the cross section of stock returns. Systemic risk is defined as the occurrence of simultaneous tail events for a large fraction of firms. A tail event is interpreted as evidence of downside risk in the tail distribution of financial...
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The Term Structure of Equity Returns and Duration Premium
Yang, Shuxin; Tamaki, Kenichiro - 2023
This study investigates the relationship between equity duration, stock liquidity, and market conditions, revealing that short-duration portfolios consistently deliver higher average returns compared to their long-duration counterparts, regardless of firm size, book-to-market ratios, and...
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Stock Return Skewness and the Cross Section of Monetary Policy Announcement Premiums
Chue, Timothy K.; Li, Gang; Chen, Sipeng - 2023
We find that the FOMC-announcement-day return premium earned by a firm is positively related to the increase in its ex ante, option-implied skewness prior to the announcement. This finding is consistent with: (1) the existence of an announcement-day Fed put that is partially anticipated by the...
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Factor Mimicking Portfolios and the Cross-section of Asset Returns
Maio, Paulo F. - 2023
A common approach in cross-sectional tests of macro asset pricing models is to employ factor-mimicking portfolios (FMP) estimated from basis assets that differ from the testing assets. This approach is theoretically incorrect and originates a specification error in the traded model, even if the...
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Portfolio Return Prediction and Risk Price Heterogeneity
Taylor, Nicholas - 2023
A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...
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Fund Flows and Asset Valuations of Bond Mutual Funds : Effect of Side-by-Side Management
Koo, Minjae; Muslu, Volkan - 2023
We compare fund flows and asset valuations of bond mutual funds whose managers concurrently manage portfolios with performance-based fees and those whose managers do not. We find that bond mutual funds whose managers concurrently manage portfolios with performance-based fees receive less fund...
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News-based Investor Disagreement and Cross Section of Stock Returns
Li, Sophia Zhengzi; Luan, Zeyao - 2023
We provide new evidence on investor disagreement based on a model where investors observe public information but agree to disagree on its interpretation. Specifically, we measure firm-level investor disagreement by the intraday volume-volatility elasticity around corporate news announcement. A...
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Identification of Coefficients on Ratio Variables in the Cross Section of Stock Returns
Keay, Myoung-Jin - 2023
This article examines the validity of regressions that use the ratio variables as regressors for analyzing the stock returns. Although price-earnings and price-book value ratios have been often used as regressors, their coefficients rarely find the causal effects due to the omitted variables...
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Interest Rate Risk, Inflation, and the Cross Section of Stock Returns
Park, Heungju; Sohn, Sungbin - 2023
We posit that the pricing mechanism of interest rate risk is contingent upon the prevailing inflation levels; in times of high (low) inflation, a positive (negative) shock to interest rates is indicative of a negative economic state. In line with this proposition, we introduce a conditional...
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Option Factor Momentum
Käfer, Niclas; Moerke, Mathis; Wiest, Tobias - 2023
We document profitable cross-sectional and time-series momentum in a broad set of 56 option factors constructed from monthly sorts on daily delta-hedged option positions. Option factor returns are highly autocorrelated, but momentum profits of strategies with longer formation periods are mainly...
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Risk-neutral moments and return predictability : international evidence
Ruan, Xinfeng; Zhang, Jin E. - In: Journal of forecasting 42 (2023) 5, pp. 1086-1111
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