Search Results - subject_exact:"Capital market returns"

When oil moves the market : asymmetric tail effects of oil price shocks on stock returns in major oil-producing countries

Al-Jalahma, Abdulla; Al-Mohamad, Somar; Jreisat, Ammar … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015617386

ESG and its components : impact on stock returns across firm sizes in Europe and the United States

Escobar-Saldívar, Luis Jacob; Villarreal-Samaniego, Dacio - 2026

A longstanding debate in finance concerns the impact of social responsibility actions on firms' long-term profitability. This study provides a broad analysis on the relationship between ESG, its components, and stock returns. Using a dataset that spans from December 2014 to December 2023, this...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015611256

Carbon risk without a stable premium : nonlinear and state-dependent evidence from European ESG leaders

Salzmann, Eleonora - 2026

Despite the economic relevance of climate-transition risk, firm-level carbon exposure often fails to appear as a robustly priced factor when ESG measures and sustainability shocks are conflated. This study examines whether carbon exposure is conditionally priced in European equity returns using...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015615255

Riesgo de crédito gestionado por medio de un modelo de espacio-estado aplicado a un portafolio soberano

Tapia V., Pablo; Vargas P., Diego - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015591169

Hard to process : atypical firms and the cross-section of expected stock returns

Weibels, Sebastian - 2026 - Current version: January 2026

Theories of limited attention predict that investors rely on typical patterns to navigate high-dimensional firm characteristics, making atypical firms hard to process. To quantify this difficulty, we propose a data-driven measure of firm atypicality using an autoencoder (ATYP). The model learns...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015605627

Broken symmetry of stock returns : a modified Jones-Faddy skew t-distribution

Shao, Siqi; Ghasemi, Arshia; Farahani, Hamed; Serota, … - 2026

We argue that negative skew and positive mean of the distribution of stock returns are largely due to the broken symmetry of stochastic volatility governing gains and losses. Starting with stochastic differential equations for stock returns and for stochastic volatility, we argue that the...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015628697

Local information demand and the cross-section of stock returns

Chu, Gang; Goodell, John W.; Li, Xiao - 2026

Using internet search data, we examine how geographic proximity shapes individual investors' information acquisition behavior. Focusing on the Chinese stock market, we document a pronounced local bias in information demand: individual investors search more intensively for stocks of firms...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015637550

A comparative analysis of overnight vs. daytime static and momentum strategies across sector ETFs

Salotra, Gourav; Katikireddy, Tharunya; Anumolu, Yaswanth; … - 2026

This study examines overnight vs. daytime static and momentum strategies applied to ten sector Exchange-traded funds (ETFs) over a 27-year period from 1999 to 2025. Our findings reveal that several such strategies, particularly reversal strategies, consistently outperform static and buy-and-hold...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640217

Efficiency, concentration, and diversification : portfolio lessons from Indian technology equities

Malhotra, Davinder Kumar; Batra, Shaurya; Singh, Rahul - 2026

This study examines the extent to which Indian technology equities generate sufficient returns relative to their inherent volatility and assesses whether intra-sector diversification can improve outcomes in this dynamic, high-risk sector. Drawing on data from January 2020 to April 2025, ten...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643105

The impact of EPU on the relation between international oil price shocks and the Chinese stock market : industry and transnational perspectives

Huang, Xin; Gao, Yang - 2026

In this study, we employ the panel smooth transition (PSTR) model to establish a nonlinear framework for examining the relationship between international oil prices and stock returns in China. We specifically investigate how economic policy uncertainty (EPU) acts as a threshold-driven moderator...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643264

Looking for risk : volatility bounds in macro

Jung, Jiyong; Marin, Emile A. - 2026

We characterize the gap between the equity risk premium (ERP) and its SVIX-implied lower bound as an equilibrium object, increasing in the correlation of valuations and returns, their relative volatility, and risk aversion. Higher risk premia need not be reflected in options-implied volatility....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644373

The many facets of stock momentum : distinguishing factor and stock components

Gérard, Xavier; Jehl, Laura - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015647136

Demand disagreement

Heyerdahl-Larsen, Christian; Illeditsch, Philipp - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015573684

Disposed to be overconfident

Gödker, Katrin; Odean, Terrance; Smeets, Paul - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668656

Show 3 more versions 3

Disposed to be overconfident

Gödker, Katrin; Odean, Terrance; Smeets, Paul - 2023

Book / Working Paper

Disposed to Be Overconfident

Gödker, Katrin; Odean, Terrance; Smeets, Paul - 2023

Book / Working Paper

Disposed to Be Overconfident

Gödker, Katrin; Odean, Terrance; Smeets, Paul - 2023

Book / Working Paper

The impact of US trade and fiscal policy uncertainties on G20 equity returns : a market regime and quantile-based analysis

Münyas, Turgay; Yıldırım, Rüya Kaplan; Aydın, … - 2026

When market risks and uncertainties exist, investors' returns decline, and this situation diminishes investors' risk appetite in financial markets. This study examines how the United States (U.S.) trade policy uncertainty (TPU) and fiscal policy uncertainty (FPU) affect stock market performance...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668172

Enhancing equity return forecasting through oil price fluctuations : an analysis of economic constraints and predictive strategies

Liu, Qian; Guo, Qiyang; Umair, Muhammad - 2026

This study investigates the effectiveness of constraint-based forecasting methodologies in enhancing equity return prediction accuracy by using equity market information across multiple economic regimes. We develop a comprehensive framework comparing unconstrained forecasting with three...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672191

Risk-adjusted performance of ESG and non-ESG ETFs across market regimes

Villarreal-Samaniego, Dacio; Escobar-Saldívar, Luis Jacob - 2026

The rapid growth of environmental, social, and governance (ESG) investing has intensified the debate regarding whether ESG-oriented investment strategies exhibit performance patterns that differ from those of conventional investments, particularly during periods of market disruption. This study...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676688

Institutional investors' subjective risk premia : time variation and disagreement

Couts, Spencer J.; Gonçalves, Andrei S.; Liu, Yicheng; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070774

Realized, expected and unexpected returns in asset pricing tests

Stotz, Olaf - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070913

Equity risk factors for the long and short run : pricing and performance at different frequencies

Zwan, Terri van der; Hennink, Erik; Tuijp, Patrick - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016070935

Are oil price shocks priced in the cross-section of stock returns?

Iania, Leonardo; Nersisyan, Liana; Nguyen, P. Thao; … - 2026 - Preliminary version: 11/08/2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016072415

Are the stylized features of stock returns the same in market downturns and upturns?

Cheng, Bowen; Huang, Wanling; Ning, Cathy Q.; Xu, Dinghai - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016069958

Prior sentiment and returns around earnings announcements

Kazemi, H. Christopher; Makridis, Christos A. - 2026 - This draft: August 18, 2026

We develop a stylized model in which sentiment-driven demand creates a pre-announcement price wedge that is harder for arbitrageurs to offset when fundamental uncertainty is high. The model predicts that prior sentiment shifts expected post-announcement returns separately from the earnings...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083790

AI premium

Borri, Nicola; Liu, Yukun; Tsyvinski, Aleh - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015672846

Show one more version 1

AI Premium

Borri, Nicola; Liu, Yukun; Tsyvinski, Aleh - 2026

Book / Working Paper

Investment-based costs of equity

Liu, Yicheng; Xue, Chen; Zhang, Lu - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016071104

Show one more version 1

Investment-based Costs of Equity

Liu, Yicheng; Xue, Chen; Zhang, Lu - 2026

Book / Working Paper

Beyond junk : evaluating quality premium’s influence on stock prices and returns in India before and after COVID

George, Ann K.; Kayal, Parthajit - 2026

As a leading destination for investment among emerging markets, India's unique governance challenges and evolving securities regulations make researching the quality factor in Indian firms crucial for informed investment, predominantly during an unparalleled crisis such as the COVID-19 pandemic....

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081402

ESG rating disagreement and stock mispricing

Yu, Jiangzhi; Ma, Shenglin - 2026

Identifying the causes of stock mispricing is crucial for stabilizing capital markets. Utilizing panel data from Chinese A-share listed firms, this paper investigates the causal association between ESG rating disagreement and stock mispricing. We reveal that ESG rating disagreement significantly...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016088739

Carbon neutrality commitment announcements and subsequent stock returns

Vyletelka, Michal - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091796

Testing for common latent factors across two short panels

Fortin, Alain-Philippe - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016091953

Reference points driven investors' demand, disposition effect and momentum in stock returns

De Giorgi, Enrico; Kachel, Dominik; Leitner, Robert - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016082953

COVID-19, economic policy uncertainty and stock returns in selected European countries : a wavelet analysis

Kouassi, Eugène; Mbeng, Pamphile Mezui; Yobouet, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016083035

Is U.S. CEO equity and cash compensation aligned with agency theory to maximize shareholder returns?

Pandher, Gurupdesh S.; Koslowsky, David; Bonaparte, Yosef - 2025

Recent international studies on CEO pay in Europe, Japan, and South Korea reveal significant differences from the U.S. in the use and effectiveness of equity-based CEO compensation, raising questions about the ability of conventional contracts based on agency theory to align with actual CEO...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015584361

Carbon risk and equity prices

Enders, Arthur; Lontzek, Thomas; Schmedders, Karl; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015166629

Enhancing real estate investment trust return forecasts using machine learning

Leow, Kahshin; Lindenthal, Thies - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015205987

Idiosyncratic volatility and the cross-section of abnormal returns in Pakistan : evidence from a country with religious bans on lotteries and substantive institutional investor participation

Khurram, Muhammad Usman; Ali, Fahad; Ülkü, Numan - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015330660

U.S. Presidential news coverage : risk, uncertainty and stocks

Chan, Kam Fong; Smales, Lee A. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015331650

ESG and stock price volatility risk : evidence from Chinese a-share market

Xu, Zhixiang; Liu, Dehong; Li, Yushu; Guo, Fanyu - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338016

Overconfident investors, predictable returns, and optimal consumption-portfolio rules

Shuangling, Zhao; Yunmin, Wang; Guohua, Cao - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338092

An information-theoretic asset pricing model

Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015339156

Probabilities of transitions among endogenous regimes in asset returns and environmental, social and governance scores

Cerqueti, Roy; Da Fermo, Carmine; Nicolosi, Marco - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015357372

The cross-section of stock returns around the world in the early twentieth century

Braggion, Fabio; Driessen, Joost; Moore, Lyndon - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015357413

Blockbuster or bust? : silver screen effect and stock returns

Hong, Sanghyun; Wei, Xiaopeng - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015357661

Investor clientele and intraday patterns in the cross section of stock returns

Chen, Jian; Haboub, Ahmad; Khan, Ali; Mahmud, Syed - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015194606

Is monetary policy transmission green?

Benchora, Inessa; Leroy, Aurélien; Raffestin, Louis - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015195148

Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015639472

Show one more version 1

Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

Book / Working Paper

Stock return predictability and Taylor rules

Ince, Onur; Jiang, Lei; Molodtsova, Tanya - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358756

COVID-19 intensity, resilience, and expected returns

Daadmehr, Elham - 2025

This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to disentangle the probability of disaster and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358871

Commodity risk and forecastability of international stock returns : the role of oil returns skewness

Salisu, Afees A.; Gupta, Rangan - 2025

This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock returns of 10 (8 advanced plus two emerging) countries...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015358919

Are ESG ratings noisy for stock returns? : evidence from Thailand stock market

Sittisak Leelahanon; Siwasarit, Wasin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015325168

Inferring mutual fund intra-quarter trading an application to ESG window dressing

An, Li; Huang, Shiyang; Lou, Dong; Wen, Xudong; Xu, Mingxin - 2025 - This version: January 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015327489