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Year of publication
Subject
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Börsenkurs 41,673 Share price 41,667 Theorie 13,959 Theory 13,957 USA 13,221 United States 13,189 Aktienmarkt 10,296 Stock market 10,259 Capital income 10,055 Kapitaleinkommen 10,055 Volatilität 8,588 Volatility 8,581 Schätzung 6,901 Estimation 6,899 Ankündigungseffekt 4,250 Announcement effect 4,250 CAPM 3,469 Anlageverhalten 3,257 Behavioural finance 3,252 Welt 2,560 World 2,559 Prognoseverfahren 2,291 Forecasting model 2,289 Portfolio selection 2,265 Portfolio-Management 2,265 Financial crisis 2,233 Finanzkrise 2,221 Financial market 2,032 Finanzmarkt 2,029 ARCH model 1,731 ARCH-Modell 1,731 Deutschland 1,710 Germany 1,670 Efficient market hypothesis 1,631 Effizienzmarkthypothese 1,622 Aktienindex 1,621 Stock index 1,616 Wertpapierhandel 1,604 Securities trading 1,603 Finanzanalyse 1,539
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Online availability
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Free 14,101 Undetermined 7,822
Type of publication
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Article 22,653 Book / Working Paper 19,072 Journal 103
Type of publication (narrower categories)
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Article in journal 21,317 Aufsatz in Zeitschrift 21,317 Graue Literatur 6,152 Non-commercial literature 6,152 Arbeitspapier 5,589 Working Paper 5,589 Hochschulschrift 1,397 Aufsatz im Buch 1,274 Book section 1,274 Thesis 1,194 Collection of articles written by one author 290 Sammlung 290 Collection of articles of several authors 185 Sammelwerk 185 Bibliografie enthalten 163 Bibliography included 163 Conference paper 107 Konferenzbeitrag 107 Systematic review 61 Übersichtsarbeit 61 Amtsdruckschrift 59 Government document 59 Konferenzschrift 58 Statistik 58 Aufsatzsammlung 55 Commentary 55 Kommentar 55 Dissertation u.a. Prüfungsschriften 52 Statistics 45 Conference proceedings 44 Case study 38 Fallstudie 38 No longer published / No longer aquired 35 Reprint 23 Handbook 22 Handbuch 22 Mehrbändiges Werk 21 Multi-volume publication 21 Glossar enthalten 20 Glossary included 20
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Language
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English 39,853 German 1,362 French 266 Spanish 135 Italian 47 Undetermined 37 Dutch 28 Polish 24 Swedish 18 Portuguese 15 Danish 14 Norwegian 14 Russian 12 Hungarian 9 Czech 7 Croatian 5 Chinese 4 Finnish 3 Bulgarian 2 Turkish 2 Japanese 1 Korean 1 Lithuanian 1 Slovak 1 Ukrainian 1
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Author
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Caporale, Guglielmo Maria 191 Gupta, Rangan 114 Narayan, Paresh Kumar 85 Zaremba, Adam 77 McAleer, Michael 72 McMillan, David G. 72 Stulz, René M. 70 Campbell, John Y. 69 Gil-Alaña, Luis A. 66 Lux, Thomas 66 Plastun, Alex 61 Timmermann, Allan 61 Hautsch, Nikolaus 60 Allen, David E. 59 Bohl, Martin T. 59 Pierdzioch, Christian 56 Theissen, Erik 56 Wohar, Mark E. 56 Faff, Robert W. 54 Engle, Robert F. 52 Bali, Turan G. 51 Subrahmanyam, Avanidhar 51 Bekaert, Geert 50 Madura, Jeff 49 Shleifer, Andrei 49 Ryu, Doojin 48 Schiereck, Dirk 48 Bollerslev, Tim 46 Stambaugh, Robert F. 46 Foucault, Thierry 45 Spagnolo, Nicola 44 Shiller, Robert J. 42 Morck, Randall 41 Sum, Vichet 41 Cakici, Nusret 39 Jagannathan, Ravi 39 Härdle, Wolfgang 38 Martikainen, Teppo 37 Sornette, Didier 37 Veronesi, Pietro 37
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Institution
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National Bureau of Economic Research 638 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 18 Ekonomiska forskningsinstitutet <Stockholm> 16 Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio> 13 Chambre de commerce et d'industrie de Paris 11 School of Finance and Business Economics <Perth, Western Australia> 11 Federal Reserve System / Board of Governors 9 Rodney L. White Center for Financial Research 9 Birkbeck College / Department of Economics 8 Center for Economic Research <Tilburg> 8 Federal Reserve System / Division of Research and Statistics 8 Bank für Internationalen Zahlungsausgleich / Währungs- und Wirtschaftsabteilung 7 Internationaler Währungsfonds / Research Department 7 The Wharton Financial Institutions Center 7 University of Chicago / Center for Research in Security Prices 7 Centre for Economic Policy Research 6 Federal Reserve Bank of St. Louis 6 Institut für Weltwirtschaft 6 Institute of Finance and Accounting <London> 6 Universität Mannheim 6 Zentrum für Europäische Wirtschaftsforschung 6 Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre 5 Federal Reserve Bank of New York 5 Springer Fachmedien Wiesbaden 5 Stock Exchange <London> 5 Svenska Handelshögskolan <Helsinki> 5 Banca d'Italia 4 Bank Austria <Wien> 4 Deutschland <Bundesrepublik> / Statistisches Bundesamt 4 Erasmus Research Institute of Management 4 Federal Reserve Bank of San Francisco 4 Kansantaloustieteen Laitos <Tampere> 4 New York Stock Exchange 4 USA / Division of Market Regulation 4 University of Canterbury / Dept. of Economics and Finance 4 University of Exeter / Department of Economics 4 Weltbank / Policy Research Department / Finance and Private Sector Development Division 4 William Davidson Institute <Ann Arbor, Mich.> 4 American Finance Association 3 Bolsa de Comercio <Santiago de Chile> 3
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Published in...
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NBER working paper series 629 Working paper / National Bureau of Economic Research, Inc. 603 The journal of finance : the journal of the American Finance Association 500 Journal of banking & finance 465 Journal of financial economics 427 International review of financial analysis 351 Applied financial economics 322 The review of financial studies 318 Finance research letters 315 Applied economics letters 306 Pacific-Basin finance journal 296 International review of economics & finance : IREF 286 Journal of financial and quantitative analysis : JFQA 274 Applied economics 271 NBER Working Paper 249 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 234 Discussion paper / Centre for Economic Policy Research 233 Review of quantitative finance and accounting 221 Economic modelling 219 The North American journal of economics and finance : a journal of financial economics studies 217 Journal of empirical finance 204 Journal of international financial markets, institutions & money 199 Economics letters 188 The journal of futures markets 185 Research in international business and finance 179 The journal of corporate finance : contracting, governance and organization 176 International journal of economics and finance 173 International journal of economics and financial issues : IJEFI 164 The European journal of finance 161 Energy economics 160 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 150 Journal of risk and financial management : JRFM 136 Investment management and financial innovations 128 Journal of financial markets 128 Journal of economics and finance 126 Management science : journal of the Institute for Operations Research and the Management Sciences 126 The financial review : the official publication of the Eastern Finance Association 123 Finance India : the quarterly journal of Indian Institute of Finance 121 CESifo working papers 112 Journal of international money and finance 111
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Source
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ECONIS (ZBW) 41,716 USB Cologne (EcoSocSci) 112
Showing 1 - 50 of 41,828
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Boom-bust cycles and asset market participation waves : momentum, value, risk and herding
Dieci, Roberto; Schmitt, Noemi; Westerhoff, Frank H. - 2022
We develop an asset market participation model in which investors base their market entry decisions on the momentum, value and risk of the market. Despite our behavioral framework, the model’s fundamental steady state is characterized by standard present-value relations between expected future...
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Determinants of stock-based incentives : evidence from Korean firm-level data
Jung, Sun-Moon; Kim, Chae-yŏng - In: Seoul journal of economics : SJE 35 (2022) 1, pp. 59-87
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Long-term underperformance of public versus rights offering firms
Kim, Hyun Ju; Song, Kyojik "Roy" - In: Journal of derivatives and quantitative studies 30 (2022) 1, pp. 46-57
The authors compare the post-issue stock and operating performance of rights issue versus public offer firms using Korean data. The authors find that the stock returns of rights issue firms are less negative than those of public offering firms during the three years subsequent to the seasoned...
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Stock market development : a reflection of governance regulatory framework in Nigeria
Fagbemi, Fisayo; Adeosun, Opeoluwa Adeniyi; Bello, … - In: Journal of capital markets studies 6 (2022) 1, pp. 71-89
Purpose - The article examines the possible long-run and short-run impact of regulatory quality on stock market performance in Nigeria for 1996-2019 period. Design/methodology/approach - The study adopts autoregressive distributed lag (ARDL) bounds test and cointegrating regression techniques....
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A comparison of international market indices for measuring market efficiency based on price-volume relationship
Çıralı, Sunay - In: Journal of capital markets studies 6 (2022) 1, pp. 90-105
Purpose - The main purpose of the research is to determine if the relationship between trading volume and price changes is connected to market effectiveness and to use the volume-price relationship to compare the efficiency levels of foreign markets. The degree of the relationship is determined...
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White Swan - the pandemic crisis, lockdown and unlock effect on the Indian stock market
Narinder Pal Singh; Goel, Himanshu - In: Global business & economics review 26 (2022) 2, pp. 152-162
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Covid-19 pandemic and performance of economic sectors in Vietnam
Uyen Pham; Vo Thi Le Uyen; Pham Van Chung; Cezera, Stéphane - 2022
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The effects of sovereign risk : a high frequency identification based on news ticker data
Staffa, Ruben - 2022
This paper uses novel news ticker data to evaluate the effect of sovereign risk on economic and financial outcomes. The use of intraday news enables me to derive policy events and respective timestamps that potentially alter investors’ beliefs about a sovereign’s willingness to service its...
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Is there any witching in the cryptocurrency market?
Plastun, Alex; Khomutenko, Ludmila; Bashlai, Serhii - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-14
This paper explores price effects caused by the expiration of derivatives in the cryptocurrency market. Applying different statistical tests (ANOVA, Mann-Whitney, and t-tests) and econometric methods (the modified cumulative abnormal return approach, regression analysis with dummy variables, and...
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On survivor stocks in the S&P 500 stock index
Grobys, Klaus - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-24
This paper investigates the performance and characteristics of survivor stocks in the S&P 500 index. Using both in-sample and out-of-sample comparisons, survivor stocks outperformed this market index by a considerable margin. Relative to other S&P 500 index companies, survivor stocks tend to be...
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Dollar beta and stock returns
Bruno, Valentina; Shim, Ilhyock; Shin, Hyun Song - 2022
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Global production linkages and stock market comovement
Auer, Raphael A.; Iwadate, Bruce Muneaki; Schrimpf, Andreas - 2022 - This version: February 14, 2022
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Stock market reactions during different phases of the COVID-19 pandemic : cases of Italy and Spain
Keliuotyte-Staniuleniene, Greta; Kviklis, Julius - In: Economies : open access journal 10 (2022) 1, pp. 1-32
The COVID-19 pandemic and pandemic-induced lockdowns and quarantine establishments have inevitably affected individuals, businesses, and governments. At the same time, the spread of the COVID-19 pandemic had a dramatic impact on financial markets all over the world and caused an increased level...
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Log periodic power analysis of critical crashes : evidence from the Portuguese stock market
Gonçalves, Tiago Cruz; Quiñones Borda, Jorge Victor; … - In: Economies : open access journal 10 (2022) 1, pp. 1-19
The study of critical phenomena that originated in the natural sciences has been extended to the financial economics' field, giving researchers new approaches to risk management, forecasting, the study of bubbles and crashes, and many kinds of problems involving complex systems with...
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Price index modeling and risk prediction of sharia stocks in Indonesia
Hersugondo; Ghozali, Imam; Handriani, Eka; Trimono, Trimono - In: Economies : open access journal 10 (2022) 1, pp. 1-13
This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August...
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Forecasting stock market volatility with regime-switching GARCH-MIDAS : the role of geopolitical risks
Segnon, Mawuli; Gupta, Rangan - 2022
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Monetary policy and asset price overshooting: a rationale for the Wall/Main Street disconnect
Caballero, Ricardo J.; Simsek, Alp - 2022
We analyze optimal monetary policy and its implications for asset prices, when aggregate demand has inertia and responds to asset prices with a lag. If there is a negative output gap, the central bank optimally overshoots aggregate asset prices (asset prices are initially pushed above their...
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Bank stock return reactions to the COVID-19 pandemic : the role of investor sentiment in MENA countries
Al-Baity, Mohamed; Mallek, Ray Saadaoui; Mustafa, Hasan - In: Risks : open access journal 10 (2022) 2, pp. 1-15
In this study, we investigated the impact of COVID-19 investor sentiment (CS), number of cases (CC), and deaths (CD) on bank stock returns in 16 MENA countries. In addition, we examined the interaction effects of CS with CC and CD on bank stock returns. Lastly, we looked at whether Islamic banks...
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Intraday patterns of liquidity on the Warsaw stock exchange before and after the outbreak of the COVID-19 pandemic
Kubiczek, Jakub; Tuszkiewicz, Marcin - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-16
A highly significant feature of the stock market is its efficiency, which is associated with information efficiency. However, the liquidity of stock on the market is its essential characteristic. The inflow of information in highly liquid markets allows for the maintenance of high information...
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Do ADR firms have different dividend policies than U.S. firms? : a comparative study
Tong, Shenghui; Murtagh, James; Proctor, Richard - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-10
This paper examines and compares the dividend policies of American depository receipt (ADR) firms and U.S. firms and identifies the factors that determine these policies for both types of companies. We find that ADR firms have higher dividend yields than U.S. firms, while U.S. firms have higher...
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The effect of COVID-19 on the relationship between idiosyncratic volatility and expected stock returns
Poudeh, Seyed Reza Tabatabaei; Choi, Sungchul; Fu, Chengbo - In: Risks : open access journal 10 (2022) 3, pp. 1-11
This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimate monthly idiosyncratic volatility and...
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Determining financial uncertainty through the dynamics of Sukuk bonds and prices in emerging market indices
Sial, Muhammad Safdar; Cherian, Jacob; Meero, … - In: Risks : open access journal 10 (2022) 3, pp. 1-13
The main focus of the study is to determine the financial uncertainty while examining the Sukuk bonds prices, Sukuk bond and global emerging market indices returns dynamics. The study, with a time period ranging from 2017 to 2020, applies the quantile regression technique. The study findings...
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Dynamic and static volatility interruptions : evidence from the Korean stock markets
Eom, Kyong Shik; Kwon, Kyungyoon; La, Sung Chae; Park, … - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-19
We conducted a comprehensive analysis on the sequential introductions of dynamic and static volatility interruptions (VIs) in the Korean stock markets. The Korea Exchange introduced VIs to improve price formation, and to limit risk to investors from brief periods of abnormal volatility for...
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The impact of financial transaction taxes on stock markets : short-run effects, long-run effects, and reallocation of trading activity
Eichfelder, Sebastian; Noack, Mona; Noth, Felix - 2022
We investigate the impact of the French 2012 financial transaction tax on trading activity, volatility, and price efficiency measured by first-order autocorrelation. We extend empirical research by analysing anticipation and reallocation effects. In addition, we consider measures for long-run...
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Further evidence on calendar anomalies
Hsu, Yuan-Teng; Koedijk, Kees; Liu, Hung-Chun; Wang, … - In: European financial management : the journal of the … 28 (2022) 2, pp. 545-566
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Return and volatility spillovers between Chinese and U.S. Clean Energy Related Stocks: evidence from VAR-MGARCH estimations
Janda, Karel; Krištoufek, Ladislav; Zhang, Binyi - 2022
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When blockchain creates shareholder value : empirical evidence from international firm announcements
Klöckner, Maximilian; Schmidt, Christoph Georg; … - In: Production and operations management : the flagship … 31 (2022) 1, pp. 46-64
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The impact of the U.S. macroeconomic variables on the CBOE VIX Index
Prasad, Akhilesh; Bakhshi, Priti; Seetharaman, Arumugam - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25
The purpose of this study is to find the influence of various macroeconomic factors on the volatility index, as macroeconomic factors affect stock market volatility, resulting in an impact on the VIX Index, representing the risk in the stock market. To estimate the significance and importance of...
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Stock price forecasting for Jordan insurance companies amid the COVID-19 pandemic utilizing off-the-shelf technical analysis methods
Altarawneh, Ghada A.; Hassanat, Ahmad B.; Tarawneh, Ahmad S. - In: Economies : open access journal 10 (2022) 2, pp. 1-18
One of the most difficult problems analysts and decision-makers may face is how to improve the forecasting and predicting of financial time series. However, several efforts were made to develop more accurate and reliable forecasting methods. The main purpose of this study is to use technical...
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The asymmetric impact of oil price shocks on sectoral returns in Pakistan : evidence from the non-linear ARDL approach
Ali, Basit; Khan, Dilawar; Shafiq, Muhammad; Magda, Róbert - In: Economies : open access journal 10 (2022) 2, pp. 1-15
This study explores the asymmetric impact of oil supply and demand shocks on the sectoral stock market returns of Pakistan. For this purpose, the study uses the non-linear autoregressive distributed lag (ARDL) approach based on monthly time series data for four sectors in the Pakistan Stock...
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Stakeholder engagement : investors' environmental risk aversion and corporate earnings
Kyaw, Khine; Olugbode, Mojisola; Petracci, Barbara - In: Business strategy and the environment 31 (2022) 3, pp. 1220-1231
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Market misreaction? : leverage and mergers and acquisitions
Krishnan, C. N. V.; Yakimenko, Vasiliy - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-21
Using a large database of U.S. mergers and acquisitions (M&As) announced from 2010 through 2017, we examine the effects of capital ratio (leverage) on the announcement period stock price reaction as well as on longer-term stock returns and performance, for banks, making comparisons with...
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Oil-price uncertainty and international stock returns : dissecting quantile-based predictability and spillover effects using more than a century of data
Balcilar, Mehmet; Gupta, Rangan; Pierdzioch, Christian - 2022
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Ownership concentration, ownership identity and seasoned equity offerings probabilities : evidence from Germany
Rojahn, Joachim; Zechser, Florian - In: Journal of business finance & accounting : JBFA 49 (2022) 1/2, pp. 274-296
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Contagion across financial markets during COVID-19 : a look at volatility spillovers between the stock and foreign exchange markets in South Africa
Van Der Westhuizen, Chevaughn; Van Eyden, Reneé; Aye, … - 2022
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Stock return predictability before the First World War
Stuart, Rebecca - 2022
This paper studies the predictability of stock returns using monthly data on eight markets over the period 1876-1913. In contrast to much of the existing literature I find broad predictability across stock markets. Market interest rates and seasonal dummies generally have predictive power, and...
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Do financial market experts know their theory? : new evidence from survey data
Brückbauer, Frank - 2022 - This draft: April 2022
Using a unique survey dataset, I study how financial market experts form their stock market expectations. I document a strong disagreement among experts about how important macroeconomic and financial variables are related to stock returns. The results of an analysis of the relationships between...
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Value-at-risk in the presence of asset price bubbles
Kwong, Raymond; Wong, Helen - In: Journal of applied economics 25 (2022) 1, pp. 361-384
In this study, we respond to the criticism that the value-at-risk (VaR) measure fails during financial crises and is only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of Phillips (2015) to date-stamp the origination and...
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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...
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Does stock market listing boost or impede corporate investment?
Yarba, Ibrahim; Yassa, Ahmet Duhan - In: Borsa Istanbul Review 22 (2022) 2, pp. 285-294
This paper investigates investment behavior across public and privately held firms using a novel firm-level dataset. We use coarsened exact matching to construct a control group of firms with which we compare listed firms before and after listing in a difference-in-differences framework. The...
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Investor sentiment, volatility and cross-market illiquidity dynamics : a threshold vector autoregression approach
Qi, Lin - 2022
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Turkish IPOs in a changing regulatory and economic environment
Tanyeri, Başak; Öztürkkal, Belma; Tırtıroğlu, Doğan - In: Borsa Istanbul Review 22 (2022) 2, pp. 332-340
The larger underpricing (15 percent) in the early years following the inauguration of Borsa Istanbul indicates the importance of investors, intermediaries, and firm insiders learning about the trading and pricing of firms in organized stock markets. The underpricing in recent years (from 2010 to...
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Asymmetric volatility transmission across Northeast Asian stock markets
Lee, Woo Suk; Lee, Hahn-shik - In: Borsa Istanbul Review 22 (2022) 2, pp. 341-351
This paper investigates various aspects of asymmetric connectedness among the stock markets in China, Japan, and Korea. Based on the realized semi-volatility indices, we find that the impact of bad volatility strictly dominates good volatility in generating transmission across the Northeast...
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The non-linear trade-off between return and risk and its determinants
Cotter, John; Salvador, Enrique - 2022
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Bank board changes in size and composition : do they matter for investors?
Vallelado González, Eleuterio; García Olalla, Myriam - In: Corporate governance : an international review 30 (2022) 2, pp. 161-188
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Losses never sleep : the effect of tax loss offset on stock market returns during economic crises
Koch, Reinald; Holtmann, Svea; Giese, Henning - 2022
We analyze to what extent more generous tax loss offset regulations are associated with a weaker decline and stronger recovery of firm stock prices during economic crises. We argue that an unrestricted loss carryforward and, particularly, an unrestricted loss carryback provides firms with...
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Do ethical companies have high stock prices or high returns?
Yu, Bing; Wu, Shengxiong; Lenard, Mary Jane - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-15
In this paper, we examine the performance of an impact investing strategy using the most ethical companies to build an impact investing portfolio. We test the time-series and cross-sectional returns of the impact portfolio, explore the financial analyst coverage of the most ethical firms, and...
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A comparative analysis of the nature of stock return volatility in BRICS and G7 markets
Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-27
Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...
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Did COVID-19 increase equity market risk exposure? : evidence from China, the UK, and the US
Li, Matthew C.; Lai, Catherine C.; Xiao, Ling - In: Applied economics letters 29 (2022) 6, pp. 567-571
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How does the stock market value female directors? : international evidence
Loy, Thomas; Rupertus, Hendrik - In: Business & society 61 (2022) 1, pp. 117-154
Persistent link: https://ebtypo.dmz1.zbw/10012795009
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