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Multi-factor volatility and stock returns

He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Journal of banking & finance 61 (2015) 2, pp. 132-149

Persistent link: https://www.econbiz.de/10011585515

European business cycles and stock return predictability

Zhu, Yanjian; Zhu, Xiaoneng - In: Finance research letters 11 (2014) 4, pp. 446-453

Persistent link: https://www.econbiz.de/10011300431

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

A note on the predictability of excess bond returns and regime shifts

Zhu, Xiaoneng - In: Finance research letters 8 (2011) 2, pp. 101-109

Persistent link: https://www.econbiz.de/10009301292

Stock salience and the asymmetric market effect of consumer sentiment news

Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 36 (2012) 12, pp. 3289-3301

Persistent link: https://www.econbiz.de/10009660492

The power of bad : the negativity bias in Australian consumer sentiment announcements on stock returns

Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 35 (2011) 5, pp. 1239-1249

Persistent link: https://www.econbiz.de/10009245239

Predicting stock returns : a regime-switching combination approach and economic links

Zhu, Xiaoneng; Zhu, Jie - In: Journal of banking & finance 37 (2013) 11, pp. 4120-4133

Persistent link: https://www.econbiz.de/10010245613

Reprint of : stock salience and the asymmetric market effect of consumer sentiment news

Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 37 (2013) 11, pp. 4488-4500

Persistent link: https://www.econbiz.de/10010246979

Witching Days and Abnormal Profits in the US Stock Market

Caporale, Guglielmo Maria; Plastun, Alex - 2021

This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...

Persistent link: https://www.econbiz.de/10013323081

Disaster risk matters in the bond market

Su, Hao; Ying, Chengwei; Zhu, Xiaoneng - In: Finance research letters 47 (2022) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10013455238