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Asset pricing implications of firms' government sales dependency

Parajuli, Bharat Raj - In: Review of asset pricing studies : RAPS 13 (2023) 1, pp. 146-180

Persistent link: https://www.econbiz.de/10014228773

Why do predicted stock issuers earn low returns?

Lee, Charles M. C.; Li, Ken - In: Review of asset pricing studies : RAPS 13 (2023) 1, pp. 181-221

Persistent link: https://www.econbiz.de/10014228775

Coskewness and Reversal of Momentum Returns : The US and International Evidence

Dong, Liang; Dai, Yiqing; Haque, Tariq H.; Kot, Hung Wan; … - 2022

The winner-minus-loser (WML) momentum strategy carries an inherent downside as its returns have negative coskewness. We propose a coskewness-volatility-managed momentum strategy that reduces the reversal risk of the baseline WML strategy by 61% and that of the volatility-managed momentum...

Persistent link: https://www.econbiz.de/10014244862

Do environmental, social and governance practices affect portfolio returns? : evidence from the US stock market from 2002 to 2020

Dreyer, Johannes Kabderian; Moreira, Mateus; Smith, … - In: Review of accounting & finance 22 (2023) 1, pp. 37-61

Persistent link: https://www.econbiz.de/10014245777

The impact of deviations from soybean product crushing estimates on return and risk

Abdoh, Hussein; Chitavi, Michael - In: Agricultural economics : the journal of the … 55 (2024) 2, pp. 181-199

Persistent link: https://www.econbiz.de/10014517518

Taking over the size effect : asset pricing implications of merger activity

Easterwood, Sara; Netter, Jeffry M.; Paye, Bradley; … - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 690-726

Persistent link: https://www.econbiz.de/10014520121

The information in industry-neutral self-financed trades

Barardehi, Yashar H.; Da, Zhi; Warachka, Mitch - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 796-829

Persistent link: https://www.econbiz.de/10014520124

Drifting away from market efficiency : the presence of the January effect in the U.S. stock market

Serbu, Alexandra Maria; Trifan, Theodor Gabriel - In: Theoretical and applied economics : GAER review 31 (2024) 1/638, pp. 95-104

Persistent link: https://www.econbiz.de/10014520730

Does the introduction of US spot Bitcoin ETFs affect spot returns and volatility of major cryptocurrencies?

Babalos, Vassilios; Bouri, Elie; Gupta, Rangan - 2024

Persistent link: https://www.econbiz.de/10014521259

Can municipal bonds hedge US state-level climate risks?

Polat, Onur; Gupta, Rangan; Cepni, Oguzhan; Ji, Qiang - 2024

Persistent link: https://www.econbiz.de/10014521269