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Does Realized Skewness Predict the Cross-Section of Chinese Equity Returns?
Dai, Yiming; Jiang, Yuexiang; Long, Huaigang; wang, hui; … - 2023
We examine the effect of realized skewness on Chinese stock returns. We construct realized skewness by using intraday data at a monthly horizon. Our study finds a significant negative relation between realized skewness and future stock returns in both portfolio analyses and cross-sectional...
Persistent link: https://www.econbiz.de/10014353753
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Immunizing markets against the pandemic : COVID-19 vaccinations and stock volatility around the world
Rouatbi, Wael; Demir, Ender; Kizys, Renatas; Zaremba, Adam - In: International review of financial analysis 77 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012805881
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COVID-19 vaccinations and the volatility of energy companies in international markets
Demir, Ender; Kizys, Renatas; Rouatbi, Wael; Zaremba, Adam - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-21
The COVID-19 pandemic has elevated both the risk and volatility of energy companies. Can mass vaccinations restore … 2020 to April 2021. We document that vaccination programs assist in decreasing the volatility of energy stocks around the … world. The drop in volatility is statistically and economically significant and robust to many considerations. The observed …
Persistent link: https://www.econbiz.de/10012799942
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Oil shocks and equity markets : the case of GCC and BRICS economies
Umar, Zaghum; Trabelsi, Nader; Zaremba, Adam - In: Energy economics 96 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10012817858
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Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns
Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023
WWe estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....
Persistent link: https://www.econbiz.de/10014254828
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Infected markets : novel coronavirus, government interventions, and stock return volatility around the globe
Zaremba, Adam; Kizys, Renatas; Aharon, David Y.; Demir, … - In: Finance research letters 35 (2020), pp. 1-7
Persistent link: https://www.econbiz.de/10012439082
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Did David Win a Battle or the War Against Goliath? Dynamic Return and Volatility Connectedness between the GameStop Stock and the High Short Interest Indices
Aharon, David Y.; Kizys, Renatas; Umar, Zaghum; … - 2021
volatility connectedness among the GameStop stock, the U.S. stock market, and the novel market-wide and sectoral short … of return and volatility spillovers from other companies shorted in the market. This result agrees with a view that short …
Persistent link: https://www.econbiz.de/10013239066
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Relative Signal Jump Variance, Investor Attention, and the Cross-Section of Chinese Stock Returns
Dai, Yiming; Long, Huaigang; Zaremba, Adam; Zhu, Yanjian - 2023
We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....
Persistent link: https://www.econbiz.de/10014258401
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Did David win a battle or the war against Goliath? : dynamic return and volatility connectedness between the GameStop stock and the high short interest indices
Aharon, David Y.; Kizys, Renatas; Umar, Zaghum; … - In: Research in international business and finance 64 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014266177
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The profitability of following analyst recommendations on the Polish stock market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 22-31
The profitability of analysts' recommendations is documented in numerous studies from all over the world. However, the evidence from the Polish market is relatively modest. The primary aim of this study is to fill this gap. The paper contributes to the economic literature in four ways. First, it...
Persistent link: https://www.econbiz.de/10011393259