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Do markets value manager-investor interaction quality? Evidence from IPO returns
This paper investigates the impact of manager-investor interaction quality on stock returns by utilizing an online IPO roadshow dataset and...
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Dynamic interactions of actual stock returns with forecasted stock returns and investors’ risk aversion: empirical evidence interplaying the impact of Covid-19 pandemic
In this paper, we examine the dynamic relationship between actual stock returns, forecasted returns and investor risk aversion, where variables are...
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Financial recommendations on Reddit, stock returns and cumulative prospect theory
This study investigates stock recommendations from the three largest finance subreddits on Reddit: wallstreetbets, investing and stocks. A simple...
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StockTwits classified sentiment and stock returns
We classify the sentiment of a large sample of StockTwits messages as bullish, bearish or neutral, and create a stock-aggregate daily sentiment...
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The accounting and trading information channels of excess control rights on IPO long-term return in China
This paper investigates how excess control rights of the ultimate owners in pyramids influence corporate value. Analyzing a hand-collected...
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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...
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Advertising, product market competition and stock returns
This paper studies the joint effect of advertising intensity and product market competition on stock returns. Using a sample of the US market over...
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Analyzing swings in Bitcoin returns: a comparative study of the LPPL and sentiment-informed random forest models
Forecasting Bitcoin’s returns continues to be a challenging endeavor for both scholars and practitioners. In this paper, we train a random forest...
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What drives cryptocurrency returns? A sparse statistical jump model approach
We apply the statistical sparse jump model, a recently developed, interpretable and robust regime-switching model, to infer key features that drive...
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Dynamic relationship between trading volume, returns and returns volatility: an empirical investigation on the main African’s stock markets
In this empirical investigation, we examine the relationship between trading volume, return and volatility for eleven African Stock Exchanges. This...
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The Size Effect in Malaysia’s Stock Returns
The size effect has been the most significant anomaly in stock price. Unlike developed stock markets, Malaysia’s market is smaller, less liquid, more...
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AN examination of linear factor models in U.K. stock returns in the presence of dynamic trading
This study uses the approach of Ferson and Siegel, Rev Financ Stud 22:2735–2758 (
2009 ), and Ferson, Siegel and Wang, J Financ Quant Anal,... -
Analyst target price and dividend forecasts and expected stock returns
This paper examines whether adding expected dividend yields implied by analyst dividend forecasts to expected capital gains implied by analyst target...
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Stock returns seasonality in emerging asian markets
This study examines the presence of the “month of the year effect” in the six emerging Asian stock markets (India, Indonesia, Japan, Malaysia,...
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Bondholders’ returns and stakeholders’ interests
This study examines the relationship between firms’ corporate social responsibility (CSR) or environmental, social and governance performance and...
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The Asymmetric Interaction Between Oil Price Change and Stock Returns of the Renewable Energy Companies in India: A Panel NARDL Approach
This study aims to investigate the oil price asymmetric effect on stock return of renewable energy companies. We apply panel Non-linear...
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Risk factors in stock returns of U.S. oil and gas companies: evidence from quantile regression analysis
The boom and bust in oil prices during the last two decades have attracted many investors to oil and gas companies in search of returns and risk...
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Persistence in daily returns of stocks with highest market capitalization in the Indian market
The study in this paper emphasizes the presence of long memory or persistence observed in the Indian stock market. The analysis is performed on the...
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Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?
In asset pricing, most studies focus on finding new factors, such as macroeconomic factors or firm characteristics, to explain risk premiums....
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Measuring Dependence in a Set of Asset Returns
An index measuring the degree of dependence in a set of asset returns is defined as the ratio of an equivalent number of independent assets to the...
