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Illiquidity, duration and momentum profits: evidence from the Korean stock market
Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 49-72
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …
Persistent link: https://www.econbiz.de/10012592791
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Average skewness matters!
Jondeau, Eric; Zhang, Qunzi - 2015
future market returns. This result still holds after controlling for the size or liquidity of the firms or for current …
Persistent link: https://www.econbiz.de/10011412455
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Cross-sectional and time-series tests of return predictability : what is the difference?
Goyal, Amit; Jegadeesh, Narasimhan - 2015
We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...
Persistent link: https://www.econbiz.de/10011296939
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Forecasting returns with fundamentals-removed investor sentiment
Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341
The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...
Persistent link: https://www.econbiz.de/10011312208
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Whose option ratios contain information about future stock prices?
Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies 32 (2024) 1, pp. 58-81
Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...
Persistent link: https://www.econbiz.de/10014497179
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Option volume and stock returns : evidence from single stock options on the Korea Exchange
Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies 29 (2021) 4, pp. 280-300
Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale. Many studies try to predict future returns of stocks using informed traders' behavior in the options market. In this study, we examine...
Persistent link: https://www.econbiz.de/10012658766
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Does foreign information predict the returns of multinational firms worldwide?
Finke, Christian; Weigert, Florian - 2015 - This version: September 2015
We investigate whether value-relevant foreign information only gradually dilutes into stock prices of multinational firms worldwide. Using an international sample of firms from 22 developed countries, we find that a portfolio strategy based on firms' foreign sales information yields future...
Persistent link: https://www.econbiz.de/10011344380
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The Information Content of Sudden Insider Silence
Hong, Claire Yurong - 2018
We present evidence of investors underreacting to the absence of events in financial markets. Routine-based insiders strategically choose to be silent when they possess private information not yet reflected in stock prices. Consistent with our hypothesis, insider silence following routine sell...
Persistent link: https://www.econbiz.de/10012936679
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Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange
Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27
The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...
Persistent link: https://www.econbiz.de/10013179575
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Modifications on book-valued ratios
Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37
Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...
Persistent link: https://www.econbiz.de/10014281276