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Investor clientele and intraday patterns in the cross section of stock returns

Chen, Jian; Haboub, Ahmad; Khan, Ali; Mahmud, Syed - In: Review of quantitative finance and accounting 64 (2025) 2, pp. 757-797

Persistent link: https://www.econbiz.de/10015194606

Avoiding idiosyncratic volatility : flow sensitivity to individual stock returns

Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - 2023

Persistent link: https://www.econbiz.de/10014483227

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

Persistent link: https://www.econbiz.de/10011293745

Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...

Persistent link: https://www.econbiz.de/10011506352

Asset pricing with regime-dependent preferences and learning

Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013

of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …

Persistent link: https://www.econbiz.de/10010256362

The tale of two tails and stock returns for two major emerging markets

Sehgal, Sanjay; Agrawal, Tarunika Jain; Deisting, Florent - In: Review of quantitative finance and accounting 64 (2025) 1, pp. 163-189

Persistent link: https://www.econbiz.de/10015194583

New evidence on the effect of belief heterogeneity on stock returns

Hobbs, Jeffrey; Lee, Hei Wei; Vivek Singh - In: Review of quantitative finance and accounting 48 (2017) 2, pp. 289-309

Persistent link: https://www.econbiz.de/10011796623

ESG Rating Disagreement and Stock Returns

Gibson, Rajna; Krüger, Philipp; Riand, Nadine; … - 2019 - This version: December 2019

Using a sample of S&P 500 firms between 2013 and 2017, we study the impact of ESG rating disagreement on stock returns. We conjecture that for disagreement about environmental ratings, a risk-based explanation induces a positive relationship between rating disagreement and stock returns. In...

Persistent link: https://www.econbiz.de/10012177189

Investor sentiment and the cross-section of stock returns : new theory and evidence

Ding, Wenjie; Mazouz, Khelifa; Wang, Qingwei - In: Review of quantitative finance and accounting 53 (2019) 2, pp. 493-525

Persistent link: https://www.econbiz.de/10012225936

StockTwits classified sentiment and stock returns

Divernois, Marc-Aurèle; Filipović, Damir - 2021

We classify the sentiment of a large sample of StockTwits messages as bullish,bearish or neutral, and create a stock-aggregate daily sentiment polarity measure.Polarity is positively associated with contemporaneous stock returns. On average,polarity is not able to predict next-day stock returns....

Persistent link: https://www.econbiz.de/10012502172