Stock markets worldwide have rewarded patient investors, hence the common advice to ‘buy and hold'. Yet even with a large body of research over a prolonged period, proving this concept remains an onerous exercise for academics. We use Tobin's Q and the dividend yield to build an equilibrium...

In worldwide financial markets, increased trading is a more common observable factor that not goes in favor of the standard of classical economic theory based on rational agents and efficient markets. Previous research suggests that market performance operate the level of overconfidence and...

This paper aims to examine the reactions among institutional and individual investors when facing those listed firms' public announcements, and the effects of their trading on stock returns on the Taiwan Stock Exchange (TSE). By employing a trivariate vector autoregressive (VAR) model, we find...

We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...

This study examines the effect of Herding in different states (low, high and extreme volatility) in Tehran Stock Exchange during the years 2009-2013 using Chang et al. (2000) and Balcilar et al. (2013) models. In this survey, herding is tested under 3 market regimes. The results don't show...

This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

We examine the long-term relationship between signals derived from nine years of unstructured social media microblog text data and financial market developments in five major economic regions. Employing statistical language modeling techniques we construct directional sentiment metrics and link...

We investigate the impact of extreme weather conditions on the stock market returns of the Hong Kong Stock Exchange and Shenzhen Exchange. For the weather conditions, we apply dummy variables generated by applying a moving average and moving standard deviation. Our study provides two interesting...

This study examines the impact of investor attention on portfolio volatility and sectoral risk spillovers in Borsa Istanbul. We use advanced econometric models, including E-GARCH-X, GJR-GARCH-X, and multivariate BEKK-GARCH-X, and analyze daily data from January 2004 to June 2024. We find that...

Despite a large and growing theoretical literature on flights to safety, there does not appear to exist an empirical characterization of flight-to-safety (FTS) episodes. Using only data on bond and stock returns, we identify and characterize flight to safety episodes for 23 countries. On...