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Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012611108

On survivor stocks in the S&P 500 stock index

Grobys, Klaus - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-24

conservatively. Surprisingly, survivor stocks tend to be loser stocks with negative exposure to the momentum factor. Further analyses …

Persistent link: https://www.econbiz.de/10013201398

Better not forget: On the memory of S&P 500 survivor stock companies

Grobys, Klaus; Han, Yao; Kolari, James W. - In: Journal of Risk and Financial Management 16 (2023) 2, pp. 1-16

This study explores the dependency structure of S&P 500 survivor stocks. Using a hand-collected sample of stocks that survived in the S&P 500 since March 1957, we employ rescaled/range analysis to investigate survivors. First, we find nonlinearities in the return processes of survivor stocks due...

Persistent link: https://www.econbiz.de/10014332873

Call me when you grow up: Firms' age, size, and IPO performance across sectors

Siev, Smadar; Qadan, Mahmoud - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-22

assess the role of their size, age and sector in affecting future performance. We utilize data about 1611 IPOs spanning 11 … economic sectors using the event study method. We provide evidence that a firm's size and age do act as predictors for its …

Persistent link: https://www.econbiz.de/10014332742

International diversification versus domestic diversification: Mean-variance portfolio optimization and stochastic dominance approaches

Abid, Fathi; Leung, Pui Lam; Mroua, Mourad; Wong, Wing Keung - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 45-66

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors' viewpoints. Our PO results imply that the domestic diversification...

Persistent link: https://www.econbiz.de/10011843243

The effects of the COVID-19 crisis on risk factors and option-implied expected market risk premia: An international perspective

Nieto Domenech, Belen; Rubio, Gonzalo - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-29

COVID-19 pandemic and the Great Recession. Although, the overall results show that the momentum and quality factors are the … countries. The size, value, and defensive factors tend to perform worse during the health crisis relative to the Great Recession …, while the momentum factor shows a poor performance during the financial crisis, but a positive one during the outbreak of …

Persistent link: https://www.econbiz.de/10013201317

Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country's EPU. Evidence...

Persistent link: https://www.econbiz.de/10013201332

A comparative analysis of the nature of stock return volatility in BRICS and G7 markets

Muguto, Lorraine; Muzindutsi, Paul-Francois - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-27

Through globalization and financial market liberalization, the opening up of markets has increased cross-border investments as investors search for higher risk-adjusted returns. This ability to invest internationally has raised the attention given to emerging markets that offer higher...

Persistent link: https://www.econbiz.de/10013201388

A survey on efficiency and profitable trading opportunities in cryptocurrency markets

Kyriazis, Nikolaos A. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-17

This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading. We center interest on the Rescaled Range (R/S) and Detrended Fluctuation Analysis (DFA) as well...

Persistent link: https://www.econbiz.de/10012611131

Return and volatility transmission between world-leading and Latin American stock markets: Portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...

Persistent link: https://www.econbiz.de/10012611377

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