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Year of publication
Subject
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Capital market returns 2,709 Kapitalmarktrendite 2,709 USA 899 United States 897 Börsenkurs 879 Share price 876 Capital income 851 Kapitaleinkommen 851 Estimation 630 Schätzung 630 Theorie 586 Theory 586 Volatilität 559 Volatility 543 Aktienmarkt 431 Portfolio-Management 410 Portfolio selection 409 Stock market 397 Anlageverhalten 378 Behavioural finance 375 CAPM 370 Prognoseverfahren 345 Forecasting model 344 Welt 335 World 334 Risikoprämie 212 Risk premium 210 ARCH model 191 ARCH-Modell 191 Aktienrendite 182 Risiko 164 Risk 161 Ankündigungseffekt 145 Announcement effect 145 Investment Fund 111 Investmentfonds 111 Finanzanalyse 109 Deutschland 106 Financial analysis 102 Zeitreihenanalyse 100
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Online availability
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Undetermined 1,007 Free 1,006
Type of publication
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Book / Working Paper 1,475 Article 1,411 Journal 1
Type of publication (narrower categories)
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Article in journal 1,273 Aufsatz in Zeitschrift 1,273 Graue Literatur 702 Non-commercial literature 702 Working Paper 606 Arbeitspapier 605 Hochschulschrift 180 Aufsatz im Buch 139 Book section 139 Thesis 118 Collection of articles written by one author 53 Sammlung 53 Collection of articles of several authors 41 Sammelwerk 41 Dissertation u.a. Prüfungsschriften 40 Conference paper 15 Konferenzbeitrag 15 Aufsatzsammlung 11 Bibliografie enthalten 7 Bibliography included 7 Systematic review 4 Übersichtsarbeit 4 Amtsdruckschrift 3 Commentary 3 Glossar enthalten 3 Glossary included 3 Government document 3 Handbook 3 Handbuch 3 Kommentar 3 Lehrbuch 3 Ratgeber 3 Textbook 3 Case study 2 Fallstudie 2 Guidebook 2 Fallstudiensammlung 1 Festschrift 1 Forschungsbericht 1 Konferenzschrift 1
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Language
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English 2,721 German 150 Polish 7 Undetermined 7 Spanish 4 Portuguese 1
Author
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McAleer, Michael 60 Bali, Turan G. 25 Chang, Chia-Lin 25 Cakici, Nusret 20 Zaremba, Adam 20 Nagel, Stefan 16 Allen, David E. 14 Lettau, Martin 13 Zhou, Guofu 13 Asai, Manabu 12 Gupta, Rangan 12 Hirshleifer, David 11 Rodriguez, Gabriel 11 Stambaugh, Robert F. 11 Weber, Michael 11 Adam, Klaus 10 Kelly, Bryan T. 10 Bianchi, Francesco 9 Linnainmaa, Juhani 9 Maio, Paulo 9 Massa, Massimo 9 Matveev, Dmitry 9 Narayan, Paresh Kumar 9 Powell, Robert 9 Schrimpf, Andreas 9 Chordia, Tarun 8 Edmans, Alex 8 Fama, Eugene F. 8 Ghysels, Eric 8 Goyal, Amit 8 Kang, Wensheng 8 McMillan, David G. 8 Papanikolaou, Dimitris 8 Ratti, Ronald A. 8 Taylor, Lucian A. 8 Wagner, Alexander F. 8 Walkshäusl, Christian 8 Whitelaw, Robert F. 8 Daniel, Kent 7 Davis, Steven J. 7
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Institution
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National Bureau of Economic Research 29 Institut für Schweizerisches Bankwesen <Zürich> 7 Manchester Business School 5 Centre for Financial Research <Köln> 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 National Centre of Competence in Research - Financial Valuation and Risk Management 2 National Centre of Competence in Research North South <Bern> 2 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 2 Springer-Verlag GmbH 2 University <Keele> / Department of Economics and Management Science 2 University <Nottingham> / Department of Economics 2 Universität <Berlin, Humboldt-Universität> / Lehrstuhl für Bank- und Börsenwesen 2 Verlag Dr. Kovač 2 Arbeitskreis Quantitative Steuerlehre 1 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 Centre of Financial Research Cologne 1 Cologne Graduate School in Management, Economics and Social Sciences 1 Duff & Phelps Corp. 1 Exotix Capital <Firma> 1 Frankfurt School of Finance & Management 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 Polski Instytut Ekonomiczny 1 Schweiz / Staatssekretariat für Wirtschaft 1 Shaker Verlag 1 Springer Fachmedien Wiesbaden 1 Swiss National Centre of Competence in Research North South <Bern> 1 Technische Universität Dresden 1 Technische Universität Dresden / Fakultät Wirtschaftswissenschaften 1
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Published in...
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The review of financial studies 104 Working paper / National Bureau of Economic Research, Inc. 104 Journal of financial and quantitative analysis : JFQA 83 Discussion paper / Centre for Economic Policy Research 73 The journal of futures markets 51 The journal of finance : the journal of the American Finance Association 46 International review of finance 30 NBER working paper series 29 Discussion paper / Tinbergen Institute 24 Econometric Institute research papers 23 International review of financial analysis 23 Finance India : the quarterly journal of Indian Institute of Finance 22 Financial management 22 Applied economics 21 The journal of financial research 21 Journal of banking & finance 20 NBER Working Paper 20 Pacific-Basin finance journal 20 Journal of financial economics 18 Discussion papers / CEPR 17 Energy economics 17 International review of economics & finance : IREF 17 Journal of empirical finance 17 Portfolio construction, measurement, and efficiency : essays in honor of Jack Treynor 17 Review of asset pricing studies 17 Corporate finance : Finanzierung, Kapitalmarkt, Bewertung, Mergers & Acquisitions 16 Research paper series / Swiss Finance Institute 16 The North American journal of economics and finance : a journal of financial economics studies 16 CESifo working papers 15 Working paper 15 Finance research letters 14 International finance discussion papers 14 Review of finance : journal of the European Finance Association 14 Journal of risk and financial management : JRFM 11 Management science : journal of the Institute for Operations Research and the Management Sciences 11 CAMA working paper series 10 Economic modelling 10 Working papers / Rodney L. White Center for Financial Research 10 Australian journal of management 9 Documento de trabajo / Pontifícia Universidad Católica del Perú, Departamento de Economía 9
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Source
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ECONIS (ZBW) 2,786 USB Cologne (EcoSocSci) 65 USB Cologne (business full texts) 32 BASE 2 EconStor 1 RePEc 1
Showing 1 - 50 of 2,887
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Dynamics of subjective risk premia
Nagel, Stefan; Xu, Zhengyang - 2022
We examine subjective risk premia implied by return expectations of individual investors and professionals for aggregate portfolios of stocks, bonds, currencies, and commodity futures. While in-sample predictive regressions with realized excess returns suggest that objective risk premia vary...
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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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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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A study of the machine learning approach and the MGARCH-BEKK model in volatility transmission
Joshi, Prashant; Wang, Jinghua; Busler, Michael - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-9
This study analyzes the volatility spillover effects in the US stock market (S&P500) and cryptocurrency market (BGCI) using intraday data during the COVID-19 pandemic. As the potential drivers of portfolio diversification, we measure the asymmetric volatility transmission on both markets. We...
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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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Risk transmissions between sectoral Islamic and conventional stock markets during COVID-19 pandemic : what matters more between actual COVID-19 occurrence and speculative and senti...
Adekoya, Oluwasegun B.; Oliyide, Johnson A.; Tiwari, … - In: Borsa Istanbul Review 22 (2022) 2, pp. 363-376
Being the health pandemic with the highest impact on the global financial market, the recent COVID-19 pandemic has led to significant risk transmissions across stock markets. Although an increasing number of studies have examined the effects of the pandemic on financial markets, we provide novel...
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The puzzle of frequent and large issues of debt and equity
Huang, Rongbing; Ritter, Jay - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 170-206
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Local, regional, or global asset pricing?
Hollstein, Fabian - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 1, pp. 291-320
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Factor momentum, option-implied volatility scaling, and investor sentiment
Grobys, Klaus; Kolari, James W.; Rutanen, Jere - In: The journal of asset management : a major new, … 23 (2022) 2, pp. 138-155
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Stock return extrapolation, option prices, and variance risk premium
Atmaz, Adem - In: The review of financial studies 35 (2022) 3, pp. 1348-1393
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How investor attention affects stock returns? : some international evidence
Akarsu, Sergen; Süer, Ömür - In: Borsa Istanbul Review 22 (2022) 3, pp. 616-626
We examine the effects of limited investor attention on stock returns by using Google search volume index to measure investor attention. We also investigate whether national culture and market development have any role in this relationship. We find that the impact of investor attention on stock...
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Stroke of a Pen : Investment and Stock Returns under Energy Policy Uncertainty
Imbet, Juan Felipe - 2022
Energy policy uncertainty - as measured by uncertainty about a U.S. President signing an energy related executive order in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry a negative price of risk. I propose and test a...
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Instability of Factor Strength in Asset Returns
Massacci, Daniele - 2022
We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...
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Stock Returns Forecasting via Machine Learning with Average Windows Forecasts
Ho, Tsung-Wu; LIN, Ya-chi - 2022
Stock returns predictability has been a long-standing topic in the literature on financial economics. Developments in prediction technology have facilitated the wide use of machine learning techniques, which motivates our study of whether stock returns predictability can be improved using...
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News Sentiment and Equity Returns
Dangl, Thomas; Salbrechter, Stefan - 2022
We investigate the impact of financial news on equity returns and introduce a non-parametric model to generate a sentiment signal, which is then used as a predictor for short-term, single-stock equity return forecasts.We build on Google's BERT model (for Bidirectional Encoder Representations for...
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Emojis and Stock Returns
Strych, Jan-Oliver; Reschke, Felix - 2022
We analyze the sentiment of emojis separately to the plain text-expressed sentiment in Reddit posts about meme stocks such as Gamestop during the Covid-19 pandemic. We document that a one-standard deviation change in emoji sentiment magnitude measured as the quantity of positive emoji sentiment...
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Option Volume Imbalance as a Predictor for Equity Returns
Michael, Nikolas; Cucuringu, Mihai; Howison, Sam - 2022
We investigate the use of the normalized imbalance between option volumes corresponding to positive and negative market views, as a predictor for directional price movements in the spot market. Via a nonlinear analysis, and using a decomposition of aggregated volumes into five distinct market...
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Empirical Asset Pricing via Machine Learning : The Global Edition
Cakici, Nusret; Zaremba, Adam - 2022
We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...
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Corporate debt and stock returns : evidence from U.S. firms during the 2020 oil crash
Arezki, Rabah; Cho, Caleb; Nguyen, Ha; Nguyen, Kate; … - 2022
This paper explores the effect of oil price fluctuations on the stock returns of U.S. oil firms using a strategy of identification through heteroskedasticity exploiting the 2020 oil crash. Results are twofold. First, we find that a decline in oil prices statistically significantly reduces stock...
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Drawing up the bill : does sustainable investing affect stock returns around the world?
Alves, Rómulo; Krüger, Philipp; Dijk, Mathijs van - 2022
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Heterogeneous Investor Attention to Climate Risk : Evidence From Korea
Kim, Minki; Park, Hyejin - 2022
We investigate the effect of COVID-19 on the investors’ awareness about climate risk. The COVID-19 have led investors to draw a parallel between pandemic and climate risks, renewing investors’ attention to climate change. Using a novel dataset of trading by each investor types for Korean...
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Does Higher Investments Necessarily Reduce Stock Returns?
Li, Huixuan; Chen, Jing - 2022
Previous studies find corporate investments negatively predict firm performance and stock returns. Using data from the Chinese A-share stock market, we find firms that substantially increase their investments have higher, rather than lower, subsequent stock returns. This effect persists after...
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What is the Expected Return on Bitcoin? Extracting the Term Structure of Returns from Options Prices
Foley, Sean; Li, Simeng; Malloch, Hamish; Svec, Jiri - 2022
We infer the forward-looking Bitcoin risk premium from options contracts. Using data from 2018 to 2020, we show that the expected excess returns for Bitcoin are time-varying and significantly higher than in equities or gold, averaging almost 80% per annum. A temporal analysis of the term...
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Machine Forecast Disagreement and Equity Returns
Bali, Turan G.; Chang, Ran; Kelly, Bryan T. - 2022
We propose a belief-generating model from which we build a statistical measure of investor disagreement. We simulate differences in beliefs across investors by endowing them with different machine learning models for forecasting returns from the same set of inputs. We measure disagreement as the...
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Volatility spillover between stock returns and oil prices during the Covid-19 pandemic in ASEAN
Alexandri, Mohammad Benny; Supriyanto - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 1, pp. 126-133
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A stock return decomposition using observables
Knox, Benjamin; Vissing-Jørgensen, Annette - 2022 - This version: March 2, 2022
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Debt refinancing and equity returns
Friewald, Nils; Nagler, Florian; Wagner, Christian - In: The journal of finance : the journal of the American … 77 (2022) 4, pp. 2287-2329
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Modeling S&P500 returns with GARCH models
Alfaro, Rodrigo; Inzunza, Alejandra - 2022
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Conditional relationship between distress risk and stock returns
Kim, Jung Min - In: Global business and finance review 27 (2022) 1, pp. 16-27
Purpose: Previous research on the relationship between a firm’s distress risk and future stock returns produces inconsistent results. This study attempts to explain the conflicting results of earlier studies by showing that systematic distress risk leads to positive rewards, while unsystematic...
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Winners and Losers from Sovereign Debt Inflows
Broner, Fernando; Martin, Alberto; Pandolfi, Lorenzo; … - 2022
We study the transmission of sovereign debt inflow shocks on domestic firms. We exploit episodes of large sovereign debt inflows in six emerging countries that are due to the announcements of these countries' inclusion in two major local-currency sovereign debt indexes. We show that these...
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Expected Stock Returns When Interest Rates Are Low
Blitz, David - 2022
The equity risk premium is generally considered to be a reward that investors earn on top of the prevailing risk-free return, implying that, all else equal, total expected stock returns should increase with the level of the risk-free return. We examine whether this notion is true using long-term...
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Skewness Preference, Range-based Expectations, and Stock Market Momentum
Ghazi, Soroush; Schneider, Mark - 2022
Momentum is a pervasive characteristic of financial markets that lacks a broadly accepted explanation. In addition to its longstanding challenge to asset pricing theory, recent work finds that momentum poses a challenge for expected utility (EU) theory, opening an avenue for new decision...
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Physical proximity, corporate social responsibility, and the impact of negative investor sentiment on stock returns : evidence from COVID-19 in China
Zhai, Huayun; Chan, Kam C.; Liu, Qingzhuo - In: International review of finance : the official journal … 22 (2022) 2, pp. 308-314
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Mood Betas and Seasonalities in Stock Returns
Hirshleifer, David A.; Jiang, Danling; Meng, Yuting - 2021
Existing research has documented cross-sectional seasonality of stock returns—the periodic outperformance of certain stocks during the same calendar months or weekdays. A model in which assets differ in their sensitivities to investor mood explains these effects and implies other seasonal...
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Forecasting Stock Market Crashes via Machine Learning
Dichtl, Hubert; Drobetz, Wolfgang; Otto, Tizian - 2021
This paper uses a comprehensive set of variables from the five largest Eurozone countries to compare the performance of simple univariate and machine learning-based multivariate models in predicting stock market crashes. The statistical predictive performance of a support vector machine-based...
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Characteristic-based factors and market return
XIE, Jinming - 2021
We provide the first comprehensive study of examining the predictive power of characteristic-based factors on market excess return. We find that characteristic-based factors negatively predict market excess return regardless of whether they are originated from investment, mispricing or...
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Asymmetric Impact of Bitcoin Sentiments on Sectoral Stock Returns
Soomro, Ishfaque Ahmed; Oad Rajput, Suresh Kumar; … - 2021
This study cross-checks the symmetric and asymmetric effects of investor’s optimistic and pessimistic sentiments of Bitcoin on 23 sectoral stock return indices (10 Islamic stock sectoral indices and one composite Islamic market index by Dow Jones Islamic market and 12 industrial indices by...
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A Comparative Analysis of Oil as a Risk Factor in Australian Industry Stock Returns, 1980-2006
McSweeney, Evan J; Worthington, Andrew C. - 2021
This paper uses a multifactor model to examine the role of crude oil as a pricing factor in Australian excess industry returns over the period January 1980 to August 2006. A dynamic model is also specified to provide insights into the relationship between the stock market and past oil price...
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Firm Location and the Value-Growth Premium
Ambrose, Brent W.; Chen, Yifan; Simin, Timothy T. - 2021
We investigate the value-growth premium puzzle by merging insights from urban economics and finance that relate firm location to its stock performance. The value-growth premium in locations with high historical house price appreciation is 3.6% larger per year than the premium in areas that...
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Mutual Fund Loyalty and ESG Stock Resilience during the COVID-19 Stock Market Crash
Albuquerque, Rui A.; Koskinen, Yrjo; Santioni, Raffaele - 2021
This paper studies the trading behavior of U.S. actively managed equity mutual funds during the COVID-19 market crash. We show that Environmental, Social, and Governance (ESG) funds helped to stabilize the market by contributing to the resiliency of ESG stocks, but interestingly non-ESG funds...
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Dissecting Bond Volatility
Cao, Jie; Chordia, Tarun; Zhou, Linyu - 2021
This paper documents a positive cross-sectional relation between returns and lagged idiosyncratic volatility (IVOL) in the corporate bond market. The relation is stronger following periods of low funding liquidity due to a funding liquidity driven decrease in returns and its subsequent reversal....
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Extreme Daily Returns, Lottery Mindset, Idiosyncratic Volatility and the Cross-Section of Stock Returns in a Comparatively Small Emerging Market
Khurram, Muhammad Usman; Ali, Fahad; Jiang, Yuexiang - 2021
The existing literature on developed and advanced emerging markets documents that the expected stock returns exhibit a positive-, negative-, and no-relationship with both idiosyncratic volatility (IVOL) and extreme daily returns (MAX or MIN). Different from developed and advanced emerging...
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Cross-Sectional Uncertainty and Aggregate Stock Returns
Yu, Deshui; Huang, Difang - 2021
We study the predictability of cross-sectional uncertainty (CSU) proposed by Dew-Becker and Giglio (2021) for stock returns. We find that CSU exhibits significant power for predicting monthly stock returns with annual out-of-sample R^2 of 6.34%, greater than popular predictors. CSU generates...
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Climate Regulatory Exposure : Evidence from Stock Returns
Baz, Salim; Cathcart, Lara; Michaelides, Alexander; … - 2021
We propose a new measure of firm-level climate regulatory exposure based on 10-K filings. Using the 2016 Trump election as an exogenous shock to perceived climate regulatory risks, we identify a positive effect on stock returns for firms with higher climate regulatory exposures; they experience...
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Operating Leverage, Profitability, and Stock Returns under Different Aggregate Funding Conditions
García-Feijóo, Luis; Jensen, Tyler; Koch, Paul - 2021
Operating leverage (OL) and profitability are interrelated determinants of stock returns. We show that the outperformance of firms with high OL is driven by periods of unconstrained aggregate funding conditions. Firms with high OL are more risky in general, but when the Fed eases funding...
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Financial Intermediary Leverage, Volatility, and the Cross-Section of Asset Returns
Chan, Skyler - 2021
Society needs financial intermediaries to create orderly efficient markets, to have informative prices, and to best allocate resources. However, when trust is eroded with high volatility and unpredictable events, financial crises are amplified and prices are distorted as financial intermediaries...
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Dissecting Green Returns
Pastor, Lubos; Stambaugh, Robert F.; Taylor, Lucian A. - 2021
Green assets delivered high returns in recent years. This performance reflects unexpectedly strong increases in environmental concerns, not high expected returns. German green bonds outperformed their higher-yielding non-green twins as the ``greenium'' widened, and U.S. green stocks outperformed...
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Predicting VIX with Adaptive Machine Learning
Bai, Yunfei; Cai, Charlie X. - 2021
Using 278 economic and financial variables we study the power of machine learning (ML) in predicting the daily CBOE implied volatility index (VIX). Designing and applying an automated three-step ML framework with a large number of algorithms we identify Adaptive Boosting as the best...
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Impact of Environmental, Social and Governance (ESG) Factors on Stock Returns of Emerging Markets
Bag, Dinabandhu; Mohanty, Satyajit - 2021
Empirical evidence indicates that environmental social and governance (ESG) practices are associated with firm financial performance, but little is covered about investors’ attention towards stock performance. In this paper, we conduct a test of the relationship between ESG performance...
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Low volatility and ESG investing combined : Invesco’s holistic approach
von Ditfurth, Manuela; Paarmann, Thorsten; Radatz, Erhard - 2021
The low volatility factor in conjunction with the style factors Quality, Value and Momentum, has empirically proven to be able to moderate market risks and improve a portfolio’s overall risk-return profile. By integrating ESG into such a factor portfolio, future risks may be mitigated. We...
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