Showing 1 - 10 of 447
Despite their strong positive average returns across numerous asset classes, momentum strategies can experience infrequent and persistent strings of negative returns. These momentum crashes are partly forecastable. They occur in "panic" states - following market declines and when market...
Persistent link: https://www.econbiz.de/10012458228
We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach...
Persistent link: https://www.econbiz.de/10012469237
Large institutional investors own an increasing share of equity markets. We conjecture that a financial market in which large institutions dominate operates differently than a market populated by smaller independent investors. To support this view, we show that funds within the same family...
Persistent link: https://www.econbiz.de/10012456429
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012470517
') bias in the estimates and, after due account is taken of this bias, we find that differences due to estimation method are … measure how these estimates vary by country, over time, and by estimation method. We find evidence reporting (or file drawer …
Persistent link: https://www.econbiz.de/10012471319
that have sufficient information to correct for this bias. For the housing market studies, the estimated effect of …
Persistent link: https://www.econbiz.de/10012456397
Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...
Persistent link: https://www.econbiz.de/10012459566
This paper assesses the impact of media sentiment on international equity prices using a dataset of more than 4.5 million Reuters articles published across the globe between 1991 and 2015. Media sentiment robustly predicts daily returns in both advanced and emerging markets, even after...
Persistent link: https://www.econbiz.de/10012481003
We provide a model of closed-end fund pricing which includes investors who do not form expectations correctly and allows for salient country-specific news to affect this expectation formation process. We use panel data on prices and net asset values of closed- end country funds to examine...
Persistent link: https://www.econbiz.de/10012473260
This paper reviews the theoretical and empirical literature on the different channels through which blockholders (large shareholders) engage in corporate governance. In classical models, blockholders exert governance through direct intervention in a firm's operations, otherwise known as "voice."...
Persistent link: https://www.econbiz.de/10012459088