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Improvements in forecasting of bank stock excess returns using the investor sentiment endurance index : a comparison with CAPM and Fama-French models
He, Ling T.; Casey, K. Michael - In: International journal of financial markets and derivatives 6 (2018) 3, pp. 210-224
Persistent link: https://www.econbiz.de/10011870310
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Mean reversion of volatility around extreme stock returns : evidence from US stock indexes
He, Ling T. - In: The international journal of business and finance … 7 (2013) 4, pp. 91-101
Persistent link: https://www.econbiz.de/10009741391
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Has the November effect replaced the January effect in stock markets?
He, Ling T.; He, Shao C. - In: Managerial and decision economics : MDE ; the … 32 (2011) 7, pp. 481-486
Persistent link: https://www.econbiz.de/10009357315
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Data errors in small data sets can determine empirical findings
He, Ling T.; McGarrity, Joseph P. - In: Atlantic economic journal : AEJ 32 (2004) 2, pp. 89-99
Persistent link: https://www.econbiz.de/10002128821
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Mean Reversion of Volatility Around Extreme Stock Returns : Evidence from US Stock Indexes
He, Ling T. - 2013
This paper examines mean reversion processes in volatility structure of stock markets after extremely high or low stock returns. The stock market volatility is reflected in three aspects, overall volatility, volatility momentum, and volatility concentration, and they are measured by three basic...
Persistent link: https://www.econbiz.de/10013084418