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The role of investor attention in idiosyncratic volatility puzzle and new results
We find that stocks with low investor attention show a more substantial return-idiosyncratic volatility puzzle than stocks with high investor...
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Business strategy, market power, and stock price crash risk: Evidence from China
Business strategies play a vital role in a firm’s success but, if not properly executed, can lead to financial irregularities and mispricing,...
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Research on Monetary Theory in Digital Finance
Monetary theory, as a core element of digital finance, provides us with a powerful framework to understand the role of money in the economic system...
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Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy
We employ a simple numerical scheme to compute optimal portfolios and utilities of informed and uninformed investors in a mispriced...
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The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality
This paper examines the trading and non-trading returns to diagnose the impact of market microstructure changes on market quality. The daily data of...
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A Presbyterian Scheme for Ministers
Discusses the 1744 Act of Parliament establishing the scheme and a high-level overview of the features, choices, and options in the scheme. Explains...
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Trading Strategies
This chapter discusses basics of develo** trading strategies. We start with a discussion of the efficient markets hypothesis, which grounds us in...
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Überblick über die Prospect-Theorie
Die ursprüngliche Prospect Theory wurde von Kahneman und Tversky (Econometrica 1979) entwickelt und war eine Sammlung von Erkenntnissen aus der...
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Other Investment Characteristics
The assumption that returns are normally distributed is very convenient, as only the first two moments of the distribution (i.e. the mean and the...
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Introduction
The chapter outlines some essential building blocks required to understand real estate investment decisions. It begins with the essential nature of...
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Attractiveness of Sustainable Business and Investments: An Ethical, Legal or a Financial Issue?
Sustainable growth is a priority goal for the European Union's internal and external policies, as well as of the United Nations 2030 Agenda and...
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An Experimental Analysis of Investor Sentiment
We use an experiment with a sample of professional investors to study the impact of text and emojis on investment proportion. We find that...
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Effects of COVID-19 on Investor Sentiment: Evidence from Commodity Futures Using Google Search Volume Index
This work investigates the nexus between Covid-19 induced investor sentiment and daily futures volatility for six commodities listed in New York...
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Multiples
The intrinsic value of an equity security is determined on the basis of a cash flow model using the growth rate of the cash flows and the expected...
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Capital Asset Pricing Model and Fama−French Model
Investors want to be compensated for taking higher risk by a higher expected return. This raises the question of the level of return compensation. In...
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The Global Supply Chain of Commodities
In this chapter, I present how the physical global supply chain is structured. The role of commodity traders in matching buyers and sellers from...
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Do lottery characteristics matter for analysts’ forecast behavior?
This study examines the effect of lottery characteristics on analysts’ earnings forecasts. We find that analysts are more optimistic for lottery...
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A bold move or biting off more than they can chew: examining the performance of small acquirers
Small acquirers enjoy announcement period returns that are significantly higher than announcement returns for larger acquirers, but small acquirers...
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Empirical Tests of the ZCAPM
This chapter presents evidence in support of the empirical ZCAPM. Based on U.S. common stock returns in the period January 1965 to December 2018,...