EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • EN 
    • DE
    • ES
    • FR
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  • EN 
    • DE
    • ES
    • FR
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject_exact:"Abnormal return"
Narrow search

Narrow search

Year of publication
Subject
All
Capital market returns 1,848 Kapitalmarktrendite 1,848 USA 873 United States 873 Börsenkurs 484 Share price 484 Estimation 402 Schätzung 402 Capital income 367 Kapitaleinkommen 367 Volatility 367 Volatilität 366 Theorie 294 Theory 294 Portfolio selection 274 Portfolio-Management 273 Anlageverhalten 251 Behavioural finance 249 Aktienmarkt 209 Stock market 207 Welt 206 World 205 Forecasting model 200 Prognoseverfahren 200 CAPM 180 ARCH model 144 ARCH-Modell 144 Risk premium 125 Risikoprämie 124 Ankündigungseffekt 113 Announcement effect 113 Risk 90 Risiko 88 Finanzanalyse 86 Financial analysis 85 Investment Fund 83 Investmentfonds 83 abnormal return 80 Financial economics 74 Kapitalmarkttheorie 73
more ... less ...
Online availability
All
Undetermined 798 Free 503
Type of publication
All
Article 1,253 Book / Working Paper 735 Journal 1 Other 1
Type of publication (narrower categories)
All
Article in journal 1,075 Aufsatz in Zeitschrift 1,075 Graue Literatur 609 Non-commercial literature 609 Arbeitspapier 535 Working Paper 535 Aufsatz im Buch 132 Book section 132 Hochschulschrift 103 Thesis 77 Collection of articles written by one author 46 Sammlung 46 Collection of articles of several authors 39 Sammelwerk 39 Conference paper 15 Konferenzbeitrag 15 Aufsatzsammlung 4 Handbook 3 Handbuch 3 Ratgeber 3 Systematic review 3 Übersichtsarbeit 3 Amtsdruckschrift 2 Article 2 Case study 2 Commentary 2 Fallstudie 2 Glossar enthalten 2 Glossary included 2 Government document 2 Guidebook 2 Kommentar 2 Bibliografie enthalten 1 Bibliography included 1 Festschrift 1 Konferenzschrift 1 Lehrbuch 1 Mikroform 1 Statistics 1 Statistik 1
more ... less ...
Language
All
English 1,894 German 41 Undetermined 40 Polish 5 Lithuanian 4 Spanish 3 Portuguese 2 Indonesian 1 Chinese 1
more ... less ...
Author
All
McAleer, Michael 59 Chang, Chia-Lin 25 Allen, David E. 14 Asai, Manabu 11 Massa, Massimo 11 Rodriguez, Gabriel 11 Weber, Michael 11 Zaremba, Adam 11 Lettau, Martin 9 Stambaugh, Robert F. 9 Linnainmaa, Juhani 8 Maio, Paulo 8 Nagel, Stefan 8 Powell, Robert 8 Schrimpf, Andreas 8 Wagner, Alexander F. 8 Cakici, Nusret 7 Ghysels, Eric 7 Grossman, Richard S. 7 Gupta, Rangan 7 Hafner, Christian M. 7 Hirshleifer, David 7 Hjalmarsson, Erik 7 Kelly, Bryan T. 7 Narayan, Paresh Kumar 7 Ratti, Ronald A. 7 Whitelaw, Robert F. 7 Bali, Turan G. 6 Bianchi, Francesco 6 Da, Zhi 6 Daniel, Kent 6 Favero, Carlo A. 6 Kang, Wensheng 6 Kaniel, Ron 6 Ludvigson, Sydney C. 6 Martinet, Guillaume Gaetan 6 Neuhierl, Andreas 6 Plazzi, Alberto 6 Pástor, Ľuboš 6 Singh, Abhay Kumar 6
more ... less ...
Institution
All
Vytautas Magnus University 4 Springer International Publishing AG 3 Universität Mannheim 3 Europäische Kommission / Gemeinsame Forschungsstelle 2 Springer-Verlag GmbH 2 Verlag Dr. Kovač 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 Books on Demand GmbH <Norderstedt> 1 Bucerius Law School 1 Christian-Albrechts-Universität zu Kiel 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 Karlsruher Institut für Technologie 1 Kassel University Press GmbH 1 Shaker Verlag GmbH 1 Society for Computational Economics - SCE 1 Springer Fachmedien Wiesbaden GmbH 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 Wissenschaft & Praxis Dr. Brauner GmbH 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
more ... less ...
Published in...
All
Working paper / National Bureau of Economic Research, Inc. 103 The review of financial studies 84 Discussion paper / Centre for Economic Policy Research 72 Journal of financial and quantitative analysis : JFQA 63 The journal of futures markets 50 The journal of finance : the journal of the American Finance Association 44 International review of finance 30 Discussion paper / Tinbergen Institute 24 Econometric Institute research papers 23 Financial management 22 The journal of financial research 21 Applied economics 19 Portfolio construction, measurement, and efficiency : essays in honor of Jack Treynor 17 Journal of banking & finance 16 Review of asset pricing studies 16 Journal of empirical finance 15 International finance discussion papers 14 International review of financial analysis 14 Journal of financial economics 14 Pacific-Basin finance journal 14 Review of finance : journal of the European Finance Association 14 CESifo working papers 13 Research paper series / Swiss Finance Institute 13 Working paper 12 Energy economics 11 Working papers / Rodney L. White Center for Financial Research 10 Australian journal of management 9 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 9 Discussion papers / CEPR 9 Documento de trabajo / Pontifícia Universidad Católica del Perú, Departamento de Economía 9 Finance research letters 9 International review of economics & finance : IREF 9 Tinbergen Institute research series 9 CAMA working paper series 8 Contemporary accounting research : a journal of the Canadian Academic Accounting Association 8 Discussion paper series / Tasmanian School of Business and Economics, University of Tasmania 8 IMF working papers 8 Management science : journal of the Institute for Operations Research and the Management Sciences 8 Real estate economics : journal of the American Real Estate and Urban Economics Association 8 The North American journal of economics and finance : a journal of financial economics studies 8
more ... less ...
Source
All
ECONIS (ZBW) 1,938 RePEc 43 BASE 7 EconStor 2
Showing 1 - 50 of 1,990
Cover Image
Modeling latent variables in economics and finance
Bluteau, Keven - 2019
The subject of unobservable variables encompasses this thesis. These latent (i.e., unobservable) variables must be inferred using statistical models or observable proxies. The objectives of my doctoral thesis are to develop and test new statistical models to infer these variables and link them...
Persistent link: https://ebtypo.dmz1.zbw/10012055679
Saved in:
Cover Image
Diverging roads: theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020
We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the quality of their return forecasts. In the low signal-to-noise environment of a one month horizon, we find that it is preferable to rely on a theory-based approach instead of engaging...
Persistent link: https://ebtypo.dmz1.zbw/10012163064
Saved in:
Cover Image
Performance evaluation of global high-rated ETFs during the taper tantrum
Marios, Arampatzis; Kalliopi, Daskalou; Evangelia, … - In: Journal of central banking theory and practice 9 (2020) 1, pp. 23-44
This study examines the performance of fifty global exchanged-traded funds (ETFs) traded on US stock exchanges. Specififcally, it refers to the period following the end of quantitative easing, which took place in 2014. Therefore, the data, on which the study is based, refer to the period from...
Persistent link: https://ebtypo.dmz1.zbw/10012167185
Saved in:
Cover Image
Impact of market anomalies on stock exchange : a comparative study of KSE and PSX
Anjum, Sadia - In: Future Business Journal 6 (2020) 1, pp. 1-11
This paper serves the purpose of empirically investigating the impact of three market anomalies: day-of-the-week effect, weekend effect and monthly effect (January and July effects) on Pakistan stock market prior and after the establishment of PSX. The paper constructed multiple regression...
Persistent link: https://ebtypo.dmz1.zbw/10012169752
Saved in:
Cover Image
Did mutual fund return persistence persist?
Choi, James J.; Zhao, Kevin - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012194178
Saved in:
Cover Image
Factor timing
Haddad, Valentin; Kozak, Serhiy; Santosh, Shrihari - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012194183
Saved in:
Cover Image
Valuation ratios, surprises, uncertainty or sentiment : how does financial machine learning predict returns from earnings announcements?
Schnaubelt, Matthias; Seifert, Oleg - 2020
We apply state-of-the-art financial machine learning to assess the return-predictive value of more than 45,000 earnings announcements on a majority of S&P1500 constituents. To represent the diverse information content of earnings announcements, we generate predictor variables based on various...
Persistent link: https://ebtypo.dmz1.zbw/10012200759
Saved in:
Cover Image
The distribution of cross sectional momentum returns when underlying asset returns are student’s t distributed
Kwon, Oh Kang; Satchell, Stephen - In: Journal of risk and financial management : JRFM 13 (2020) 2/27, pp. 1-19
In Kwon and Satchell (2018), a theoretical framework was introduced to investigate the distributional properties of the cross-sectional momentum returns under the assumption that the vector of asset returns over the ranking and holding periods were multivariate normal. In this paper, the...
Persistent link: https://ebtypo.dmz1.zbw/10012173937
Saved in:
Cover Image
Modeling heterogeneity in firm-level return predictability with machine learning
Evgeniou, Theodoros; Guecioueur, Ahmed; Prieto, Rodolfo - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012226172
Saved in:
Cover Image
Time-varying risk aversion and the profitability of carry trades : evidence from the cross-quantilogram
Demirer, Rıza; Gupta, Rangan; Hassani, Hossein; Huang, Xu - In: Economies : open access journal 8 (2020) 1/18, pp. 1-12
This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily carry trade returns tracked by the Deutsche...
Persistent link: https://ebtypo.dmz1.zbw/10012237397
Saved in:
Cover Image
Firm-level risk exposures and stock returns in the wake of COVID-19
Davis, Steven J.; Hansen, Stephen; Seminario-Amez, Cristhian - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012305598
Saved in:
Cover Image
Trade policy uncertainty and stock returns
Bianconi, Marcelo; Esposito, Federico; Sammon, Marco - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012243224
Saved in:
Cover Image
Dissecting currency momentum
Zhang, Shaojun - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012244553
Saved in:
Cover Image
Time-series efficient factors
Ehsani, Sina; Linnainmaa, Juhani - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012244867
Saved in:
Cover Image
Measuring systemic risk : a quantile factor analysis
Sagner, Andrés - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012249503
Saved in:
Cover Image
Volatility modelling for tourism sector stocks in Borsa Istanbul
Celik, Gulsah Gencer - In: International journal of economics and financial issues … 10 (2020) 3, pp. 158-165
Persistent link: https://ebtypo.dmz1.zbw/10012215271
Saved in:
Cover Image
Sentiment and uncertainty
Birru, Justin; Young, Trevor - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012216707
Saved in:
Cover Image
The Greenium matters : greenhouse gas emissions, environmental disclosures, and stock prices
Lucia, Alessi; Elisa, Ossola; Roberto, Panzica - Europäische Kommission / Gemeinsame Forschungsstelle - 2020
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10012219764
Saved in:
Cover Image
Do investors care about carbon risk?
Bolton, Patrick; Kacperczyk, Marcin - 2020
Persistent link: https://ebtypo.dmz1.zbw/10012221395
Saved in:
Cover Image
Stock-market behavior on ex-dates : new insights from German stocks with tax-free dividend
Kreidl, Felix - In: International Journal of Financial Studies : open … 8 (2020) 3/58, pp. 1-21
We examine stock prices and the number of stocks traded around ex-dividend dates of German stocks with tax-free dividend. Tax-free dividends are temporarily tax-exempt, as they reduce the initial purchasing price of a stock. With our analysis of this particular group of German stocks, we can...
Persistent link: https://ebtypo.dmz1.zbw/10012291925
Saved in:
Cover Image
Firm-level risk exposures and stock returns in the wake of COVID-19
Davis, Steven J.; Hansen, Stephen; Seminario-Amez, Cristhian - 2020
Firm-level stock returns differ enormously in reaction to COVID-19 news. We characterize these reactions using the Risk Factors discussions in pre-pandemic 10-K filings and two text-analytic approaches: expert-curated dictionaries and supervised machine learning (ML). Bad COVID-19 news lowers...
Persistent link: https://ebtypo.dmz1.zbw/10012294615
Saved in:
Cover Image
Stock market reactions to Brexit: Case of selected CEE and SEE stock markets
Škrinjarić, Tihana - In: International Journal of Financial Studies 7 (2019) 1, pp. 1-14
The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern...
Persistent link: https://ebtypo.dmz1.zbw/10011996156
Saved in:
Cover Image
Time-varying tail behavior for realized kernels
Opschoor, Anne; Lucas, André - 2019 - This version:July23,2019
We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol-of-Vol and the tail shape of the realized kernel...
Persistent link: https://ebtypo.dmz1.zbw/10012053572
Saved in:
Cover Image
Current topics in empirical asset pricing : Dissertation
Renz, Maximilian Lukas - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012061596
Saved in:
Cover Image
Asia-Pacific fixed income markets : evolving structure, participation and pricing
BOK-BIS Conference on "Asia-Pacific Fixed Income …; … - 2019
The Bank of Korea and the Bank for International Settlements (BIS) co-hosted a conference on "Asia-Pacific fixed income markets: evolving structure, participation and pricing" on 19-20 November 2018 in Seoul, Korea. The conference marked the completion of the BIS Asian Office's two-year research...
Preview
Preview
Persistent link: https://ebtypo.dmz1.zbw/10012012708
Saved in:
Cover Image
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://ebtypo.dmz1.zbw/10012023368
Saved in:
Cover Image
Risk and returns of different foreign ownership portfolios : evidence from Vietnam stock market
Anh Phong Nguyen; Hoang Anh Nguyen; Thi Hong Minh Ho; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12
This study aims at assessing the risk-return profile of stock portfolios by different levels of the foreign ownership ratio. The paper also evaluates the performance of portfolios by their size and the book-to-market ratio (BTM). In this study, we apply GMM approach with the data computed from...
Persistent link: https://ebtypo.dmz1.zbw/10012023370
Saved in:
Cover Image
Factor momentum and the momentum factor
Ehsani, Sina; Linnainmaa, Juhani - 2019
Persistent link: https://ebtypo.dmz1.zbw/10011988383
Saved in:
Cover Image
Do trade creditors possess private information? : stock returns evidence
Hirshleifer, David; Li, Yifan; Lourie, Ben; Ruchti, Thomas - 2019
Persistent link: https://ebtypo.dmz1.zbw/10011988414
Saved in:
Cover Image
Do survey expectations of stock returns reflect risk adjustments?
Adam, Klaus; Matveev, Dmitry; Nagel, Stefan - 2019
Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey...
Persistent link: https://ebtypo.dmz1.zbw/10011992454
Saved in:
Cover Image
Asset pricing vs asset expected returning in factor models
Favero, Carlo A.; Melone, Alessandro - 2019 - This version: July, 2019
Persistent link: https://ebtypo.dmz1.zbw/10012110349
Saved in:
Cover Image
Predicting returns with text data
Ke, Zheng Tracy; Kelly, Bryan T.; Xiu, Dacheng - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012110918
Saved in:
Cover Image
The effects of auditor switching towards abnormal return in manufacturing company
Nawangsari, Filmiar Yunida; Iswajuni, Iswajuni - In: Asian journal of accounting research 4 (2019) 1, pp. 157-168
Persistent link: https://ebtypo.dmz1.zbw/10012113435
Saved in:
Cover Image
Stock market reactions to Brexit : case of selected CEE and SEE stock markets
Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 1/7, pp. 1-14
The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern...
Persistent link: https://ebtypo.dmz1.zbw/10011964063
Saved in:
Cover Image
A simple return generating model in discrete time: implications for market efficiency testing
Milionis, Alexandros E. - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012026125
Saved in:
Cover Image
Premium for heightened uncertainty : solving the FOMC puzzle
Hu, Xing; Pan, Jun; Wang, Jiang; Zhu, Haoxiang - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012027285
Saved in:
Cover Image
Does Indonesia Sustainability Reporting Award (ISRA) cause abnormal return and stock trading volume : a comparative analysis
Basri, Hasan; Februari, Cindi Paramita; Majid, Muhammad … - In: Academic journal of economic studies 5 (2019) 1, pp. 74-79
Persistent link: https://ebtypo.dmz1.zbw/10012035775
Saved in:
Cover Image
Why does oil matter? : commuting aggregate fluctuations
Ready, Robert; Roussanov, Nikolai; Zurowska, Ewelina - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012170808
Saved in:
Cover Image
The effects of environmental regulation on the Singapore stock market
Huy Pham; Long Thang Van Nguyen; Vikash Ramiah; … - In: Journal of risk and financial management : JRFM 12 (2019) 4/175, pp. 1-19
This study examines the impact of environmental regulation on the Singapore stock market using the event study methodology. Several asset pricing models are used to estimate sectoral abnormal returns. Additionally, we estimate the change in systematic risk after the introduction of the carbon...
Persistent link: https://ebtypo.dmz1.zbw/10012171392
Saved in:
Cover Image
The cross section of country equity returns : a review of empirical literature
Zaremba, Adam - In: Journal of risk and financial management : JRFM 12 (2019) 4/165, pp. 1-26
The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique...
Persistent link: https://ebtypo.dmz1.zbw/10012171448
Saved in:
Cover Image
Measuring China's stock market sentiment
Li, Jia; Chen, Yun; Shen, Yan; Wang, Jingyi; Huang, Zhuo - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012125620
Saved in:
Cover Image
A perspective on promoter ownership and market reaction to corporate news : evidence from India
Bhattacharjee, Nayanjyoti; De, Anupam - In: Iranian economic review : journal of University of Tehran 23 (2019) 4, pp. 839-859
Persistent link: https://ebtypo.dmz1.zbw/10012153332
Saved in:
Cover Image
One Dollar CEOs
Loureiro, Gilberto; Makhija, Anil K.; Zhang, Dan - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012153647
Saved in:
Cover Image
ESG Rating Disagreement and Stock Returns
Gibson, Rajna; Krüger, Philipp; Riand, Nadine; … - 2019 - This version: December 2019
Persistent link: https://ebtypo.dmz1.zbw/10012177189
Saved in:
Cover Image
Dissecting the yield curve : the international evidence
Berardi, Andrea; Plazzi, Alberto - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012179422
Saved in:
Cover Image
Measuring predictability of oil and gas stock returns and performance of moving average trading rules
Sanusi, Muhammad Surajo; Ahmad, Farooq - In: Journal of Economics and Financial Analysis 3 (2019) 1, pp. 47-70
Persistent link: https://ebtypo.dmz1.zbw/10012009945
Saved in:
Cover Image
Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk
Ayala, Astrid; Blazsek, Szabolcs; Escribano, Álvaro - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012100535
Saved in:
Cover Image
Low risk anomalies?
Schneider, Paul; Wagner, Christian; Zechner, Josef - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012134221
Saved in:
Cover Image
Supply chain linkages and financial markets : evaluating the costs of the US-China trade war
Huang, Yi; Chen, Lin; Liu, Sibo; Tang, Heiwai - In: Trade war : the clash of economic systems endangering …, (pp. 65-72). 2019
Persistent link: https://ebtypo.dmz1.zbw/10012136811
Saved in:
Cover Image
Understanding alpha decay
Pénasse, Julien - 2019
Persistent link: https://ebtypo.dmz1.zbw/10012233226
Saved in:
  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • Next
A service of the
zbw
  • Sitemap
  • Contact us
  • Imprint
  • Privacy

Loading...