This paper investigates the dynamics of hedge fund returns and their behavior of persistence in a unified framework through the Markov Switching ARFIMA model of Härdle and Tsay (2009). Major results based on the CSFB/Tremont hedge fund indexes monthly data during the period 1994-2011, highlight...

This study investigates the presence of calendar anomalies (January Effect; Day of the Week Effect; Turn of the Month Effect) on the daily returns at Istanbul Stock Exchange (ISE) real estate investment trusts (REIT) market. Although there have been numerous studies in the finance literature on...

The primary purpose of this research is to examine real estate investment trust (REIT) risk-adjusted return performance versus the average performance of common stocks as measured by the Istanbul Stock Exchange (ISE). The sample for this study is composed of 8 REITs whose stocks were traded on...

We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...

I estimate a theory-based behavioral momentum using analysts' predictable underreaction (APU) as a proxy for newswatchers underreaction. The results show that APU strongly predicts analysts' errors and, more importantly, stock returns. A long-short strategy based on APU generates a...

We examine the out-of-sample performance of 240 stock market anomalies enhanced by 49 machine learning algorithms and over 260 individually trained models across an international data sample of nearly 1.9 billion stock-month-anomaly observations from 1980 to 2019. We demonstrate significant...

The flow of investment capital into the commodity futures market dramatically increased around 2004, and this event is referred to as the financialization of commodity markets. We study how this phenomenon has affected average returns in this asset class by examining how returns to popular...

We evaluate the influence of measurement error in analysts' forecasts on the accuracy of implied cost of capital estimates from various implementations of the ‘implied cost of capital' approach, and develop corrections for the measurement error. We document predictable error in the implied...

We investigate, for China's investable companies, the relation between stock returns and firm characteristics, and the impacts on the relation of the 2001-2003 financial reforms to further liberalize stock markets. For the first time in the literature, we document coexistence of a positive size...

In this paper, we provide evidence that the time-series properties of stock returns includeboth structural change and time dependence in the conditional variance. The absence of astructural change component tends to overstate the persistence parameter in a time-dependentmodel specification. The...