Showing 1 - 10 of 146
Momentum and Reversion have always been seen as independent of each other and never as a composite. This study explains how the two behaviors are not only connected but also get transformed into each other. This dynamics drives not only stock market systems but all natural systems. One reason...
Persistent link: https://www.econbiz.de/10012971731
The equity premium puzzle, properly termed the American Equity Premium Puzzle, is one of the most significant empirical anomalies in finance, as it pertains to the observation that the expected return on equities has been consistently higher than that of bonds for many years, and that this...
Persistent link: https://www.econbiz.de/10014355830
This study investigates whether contagious infectious diseases affect stock market outcomes. As a natural experiment, we use panel data analysis to test the effect of the COVID-19 virus, which is a contagious infectious disease, on the Chinese stock market. The findings indicate that both the...
Persistent link: https://www.econbiz.de/10012836638
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
We extend prior research examining the relation between aggregate recommendation changes and future returns by documenting that this relation varies over time as a function of the predictability of future earnings growth. When industry-level earnings growth is more predictable, we find that...
Persistent link: https://www.econbiz.de/10012840191
The volatility of equity returns for two beverages traded on the Nigerian stock exchange is the subject of this study. The ARCH effect test demonstrated that the two beverages disprove the claim that there is no ARCH effect. According to the preliminary analysis, both beverages were volatile....
Persistent link: https://www.econbiz.de/10014262934
Present market instabilities have prompted great interest on the characteristics of specific portfolios such as minimum variance and equally- weighted risk contribution portfolios as these portfolios do not rely on the estimate of expected returns. Indeed, in turmoil periods traditional market...
Persistent link: https://www.econbiz.de/10013018612
The future of e-money is crypocurrencies, it is the decentralize digital and virtual currency that is secured by cryptography. It has become increasingly popular in recent years attracting the attention of the individual, investor, media, academia and governments worldwide. This study aims to...
Persistent link: https://www.econbiz.de/10014254916
This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. We establish a large deviation principle for the realized volatility when the number of high frequency observations in a fixed time interval increases to infinity. Our...
Persistent link: https://www.econbiz.de/10014182566