Search
Search Results
-
Sentiment Factors in Finance
This chapter provides an overview of an important factor in financial markets, sentiment. Market pricing is influenced by how traders react to...
-
Capital Asset Pricing Models
This chapter distinguishes between two main branches of asset pricing: (1) general equilibrium models and (2) multifactor models. We begin by...
-
Firm life cycle stages and earnings management
We provide evidence that the differences in economic growth and stability of firms during different stages of their life cycle encourage managers to...
-
Momentum and reversal in financial markets with persistent heterogeneity
This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in...
-
Event Studies
One of the most common applications of asset pricing models is event studies. Today, event studies not only provide evidence on the question of...
-
Building the Global Minimum Variance Portfolio G
As shown in Chapter 1, in the context of the infinite number of portfolios on the boundary of the mean-variance efficient frontier of Markowitz...
-
Noise-driven abnormal institutional investor attention
Market noises can lead to optimistic or pessimistic investor sentiments, which draw additional attention from irrational investors. Hence, when...
-
Stock market anomalies and machine learning across the globe
We identify the characteristics and specifications that drive the out-of-sample performance of machine-learning models across an international data...
-
-
Market and model risks: a feasible joint estimate methodology
The increasing complexity of stochastic models used to describe the behavior of asset returns along with the practical difficulty of defining...
-
The informational role of audit partner industry specialization
This paper examines the effect of auditor industry specialization on the association between information asymmetry and accounting information...
-
Are the Results Robust and Still Valid?
Between the original time of writing of this book and its publication, the results appeared to be a bit “out of date.” Therefore, I obtained another...
-
General Equilibrium Asset Pricing Models
Asset pricing models seek to value securities and other assets based on their risk. If the risk of an asset can be accurately measured, its rate of...
-
Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market
Statistical arbitrage is a trading strategy that employs time series methods to identify relative mispricing between securities based on the expected...
-
The Formation of Stock Prices
In this chapter, we explain the formation of stock prices. In real life the intrinsic value of a stock is unknown. Therefore, an investor must...
-
Another look at the dividend-price relationship in the accounting valuation framework
We examine the association between dividends and price through the lens of the Ohlson (Contemp Account Res 11:661–687, 1995, Contemp Account Res...
-
Net Long Portfolio Performance Analyses
It was long believed that well-known aggregate stock market indexes, such as the S&P 500 index and overall CRSP stock market index, were efficient...
-
Cash flow sensitivity of cash: when should we use it to measure financial constraints?
Since Almeida et al. (J Financ 59:1777–1804, 2004), there has been a long debate on whether the cash flow sensitivity of cash (CFSC) measures...
-
International Financial Markets in the Digital Era
Financial markets have changed their face substantially with the digital era. Floor trading has to a large extent been replaced by electronic trading...
-
Does model complexity improve pricing accuracy? The case of CoCos
In this study, we analyze whether model complexity improves accuracy of CoCo pricing models. We compare the out-of-sample pricing ability of four...
