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Multifactor Asset Pricing Models
As discussed in Chapter 2 , early empirical evidence on the CAPM by Sharpe (Journal of Finance 19: 425–442,...
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Does Market Performance (Tobin’s Q) Have A Negative Effect On Credit Ratings? Evidence From South Korea
Tobin’s Q is an established measure of firm performance, based on investor confidence. However, the association between Tobin’s Q and credit ratings...
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The COVID-19 pandemic, short-sale ban, and market efficiency: empirical evidence from the European equity markets
This study looks at the inefficiency of stock indices of France, Italy, and Spain around their financial regulatory authorities’ short-sale ban...
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Mutual funds and stock fundamentals
This paper studies abnormal returns to mutual funds from using a firm fundamental trading strategy. We find that the abnormal returns and the Sharpe...
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Nonlinear Relationship Between Investor Sentiment and Conditional Volatility in Emerging Equity Markets
The present study aims to identify the non-linear relationship of bullish and bearish investor sentiment with conditional volatility. It is conducted...
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Option-Implied Skewness and the Value of Financial Intermediaries
In this paper, we analyze the relationship among skewness, value, and stock returns for US financial intermediaries. Further, we compare skewness...
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The value of expected return persistence
This work utilizes the fractional Black–Scholes model to estimate the option-implied Hurst exponents, interpreted as forward-looking expectations of...
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The Market Model
The famed capital asset pricing model (CAPM) of Treynor (1962), Sharpe (1964), Lintner (1965), and Mossin (1966) is surprisingly elegant in...
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Investment Styles in Digital Assets
In the early days of the asset pricing literature, researchers applied portfolio sorts to explore the cross-section of (equity) returns. In the...
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Portfolio Performance Measures
The true market portfolio of the CAPM on the efficient frontier (located at the tangent point of the line extending from the riskless rate) is not...
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Gambling with lottery stocks?
In this article, we assess whether German private investors gamble in the stock market. Other studies that have analyzed private investors’...
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Chasing noise in the stock market: an inquiry into the dynamics of investor sentiment and asset pricing
This study explores the inclusion of sentiment measures as a risk factor in asset pricing. Using UK market data for the period January 1993 to...
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Wealth effects of relative firm value in M&A deals: reallocation of physical versus intangible assets
This paper distinguishes between value creation through redistribution of physical assets and that from intangible assets. We decompose the...
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Multifactor Models
In 1990 William Sharpe was awarded the Nobel Prize in Economics for the CAPM along with Harry Markowitz for portfolio diversification and Merton...
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Open-market stock repurchases, insider trading, and price informativeness
This study examines insider buying before stock repurchase announcements as an undervaluation signal. We find that firms are more likely to announce...
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Conclusion
Profit shifting is defined as the strategic actions taken by MNEs to report lower profits in high-tax countries and more income in low- or no-tax...
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Shareholder Disputes and Commonality in Liquidity: Evidence from the Equity Markets in China
This paper examines liquidity commonality is caused by correlation in institutional herding and shareholder disputes due to irrational investors over...
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Measuring the relative return contribution of risk factors
This paper proposes a simple method to measure and compare the average relative return contribution of proposed risk factors. The method is applied...
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The tale of two tails and stock returns for two major emerging markets
In this study, we examine the relationship between tail measures and stock return for China and India using data from 2000 to 2021. For both the...