The effect of COVID‑19 on stock market performance has important implications for both financial theory and practice. This paper examines the relationship between COVID‑19 and the instability of both stock return predictability and price volatility in the U.S over the period January 1st,...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...

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...