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Essays on asset pricing anomalies
Schrön, Sebastian - 2020
Persistent link: https://www.econbiz.de/10012660786
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Another look at sources of momentum profits
Chai, Daniel; Chiah, Mardy; Zhong, Angel; Li, Bob - In: International review of economics & finance : IREF 79 (2022), pp. 310-323
Persistent link: https://www.econbiz.de/10013343411
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Investor sentiment, momentum, and stock returns : an examination for direct and indirect effects
Rashid, Abdul; Fayyaz, Madiha; Karim, Maria - In: Economic research 32 (2019) 1,3, pp. 2638-2656
Persistent link: https://www.econbiz.de/10012585541
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Investor sentiment, portfolio returns, and macroeconomic variables
Banchit, Azilawati; Abidin, Sazali; Lim, Sophyafadeth; … - In: Journal of risk and financial management : JRFM 13 (2020) 11/259, pp. 1-14
Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset …
Persistent link: https://www.econbiz.de/10012389848
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Asset pricing with heterogeneous agents and non-normal return distributions
Beddock, Arthur - 2021
Persistent link: https://www.econbiz.de/10012617351
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Momentum: what do we know 30 years after Jegadeesh and Titman's seminal paper?
Wiest, Tobias - In: Financial markets and portfolio management 37 (2023) 1, pp. 95-114
Persistent link: https://www.econbiz.de/10014252609
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Re-examining differences between momentum and time series momentum among individual stocks
Mu, Yuandong; He, Chaohua - In: Applied economics letters 26 (2019) 18, pp. 1537-1543
Persistent link: https://www.econbiz.de/10012204837
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Temporary price trends in the stock market with rational agents
Ichkitidze, Yuri - In: The quarterly review of economics and finance : journal … 68 (2018), pp. 103-117
Persistent link: https://www.econbiz.de/10012034517
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against … evidence of anomalies, so that many theories have been developed to explain some anomalies. To address the issue, this paper … reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …
Persistent link: https://www.econbiz.de/10012237439
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Asset pricing of financial institutions : the cross-section of expected stock returns in the property/liability insurance industry
Ben Ammar, Semir; Eling, Martin; Milidonis, Andreas - 2015
We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...
Persistent link: https://www.econbiz.de/10011345060