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

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

Cai, Charlie X. - 2014

We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in anticipation of further mispricing caused by the deepening of noise traders' misperceptions. Such ‘noise momentum' is an important determinant of the overall arbitrage process. We design...

Persistent link: https://www.econbiz.de/10013051028

Active Paris-aligned equity investing

Schwaiger, Katharina; Snow, Jim; Wendt, Viktoria-Sophie; … - In: Climate investing : new strategies and implementation …, (pp. 123-140). 2022

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The relevance of investor risk classes in ranking fund performance : an application of the extended Mean-Gini CAPM

Benson, Karen; Pope, Peter J.; Faff, Robert W. - In: Journal of quantitative economics : official journal of … 1 (2003) 1, pp. 20-35

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Nonlinear limits to arbitrage

Chen, Jingzhi; Cai, Charlie X.; Faff, Robert W.; Shin, … - In: The journal of futures markets 42 (2022) 6, pp. 1084-1113

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Noise momentum around the world

Cai, Charlie X.; Faff, Robert W.; Shin, Yongcheol - In: Abacus : a journal of accounting, finance and business … 54 (2018) 1, pp. 79-104

Persistent link: https://www.econbiz.de/10011965533

Modelling Australian stock market volatility

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Short-run and long-run oil price sensitivity of equity returns : the South Asian markets

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Liquidity and stock returns in Japan : new evidence

Ying, Chang Yuk; Faff, Robert W.; Hwang, Chuan-yang - In: Pacific-Basin finance journal 18 (2010) 1, pp. 90-115

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Stock return predictability : is it there?

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