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Do local or global risk factors explain the size, value and momentum trading pay-offs on the Warsaw Stock Exchange?
Waszczuk, Antonia - In: Applied financial economics 23 (2013) 19/21, pp. 1497-1508
Persistent link: https://www.econbiz.de/10010259376
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The weekday effect on the Shanghai stock exchange
Wong, Kie Ann; Chen, Renbao; Shang, Xiaojun - In: Applied financial economics 9 (1999) 6, pp. 551-565
Persistent link: https://www.econbiz.de/10001525267
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An empirical test of the risk-return relationship on the Taiwan stock exchange
Huang, Yen-sheng - In: Applied financial economics 7 (1997) 3, pp. 229-239
Persistent link: https://www.econbiz.de/10001227560
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Stock market returns in thin markets : evidence from the Vienna Stock Exchange
Huber, Peter - In: Applied financial economics 7 (1997) 5, pp. 493-498
Persistent link: https://www.econbiz.de/10001229838
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Ex-dividend day stock price falls on the Spanish stock market
Espitia-Escuer, Manuel Antonio - In: Applied financial economics 7 (1997) 5, pp. 481-492
Persistent link: https://www.econbiz.de/10001229840
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Security price anomalies in the London International Stock Exchange : a 60 year perspective
Arsad, Zainudin - In: Applied financial economics 7 (1997) 5, pp. 455-464
Persistent link: https://www.econbiz.de/10001229848
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Stochastic behaviour of the Athens Stock Exchange : a case of institutional nonsynchronous trading
Papachristou, George - In: Applied financial economics 9 (1999) 3, pp. 239-250
Persistent link: https://www.econbiz.de/10001454467
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Cross-sectional estimation of stock returns in small markets : the case of the Athens Stock Exchange
Leledakis, George; Davidson, Ian; Karathanassis, George A. - In: Applied financial economics 13 (2003) 6, pp. 413-426
Persistent link: https://www.econbiz.de/10001770756
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Inside the mind of a stock market crash
Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - 2020 - First draft: April 4th 2020, this draft: May 21, 2020
We analyze how investor expectations about economic growth and stock returns changed during the February-March 2020 stock market crash induced by the COVID-19 pandemic, as well as during the subsequent partial stock market recovery. We surveyed retail investors who are clients of Vanguard at...
Persistent link: https://www.econbiz.de/10012224226
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679