This paper examines the presence of momentum (sell past losers and buy past winners)and proposes accountability, level of corruption, and governance effectiveness as a novel explanation for return continuation phenomena in an international setting. In essence, we test the possibility of beating...

We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains information about future economic activity as implied by the benchmark time separable power utility consumption based capital asset pricing...

This study examines the relative importance of liquidity risk for the time-series and cross-section of stock returns in the UK. We propose a simple way to capture the multidimensionality of illiquidity. Our analysis indicates that existing illiquidity measures have considerable asset specific...

This study examines if the prospectus disclosure of the motives for an initial public offering (IPO) explains the longrun performance of equity issuers. It uses hand-collected data for 245 IPOs from the Stock Exchange of Thailand (SET), and also the Market for Alternative Investments (MAI),...

This paper examines the relationship between investor sentiment and UK stock returns at economy and industry level. Using consumer and business confidence indicators provided by the European Commission, we provide novel evidence on whether sector-specific sentiment differs from the aggregate...

This paper examines the relationship between Twitter sentiment on the announcement of Chief Executive Officer (CEO) succession and stock returns over the period 2010-2015. The study comprises data from 100 listed companies from the UK and the USA. A code was written to collect data from Twitter...

Purpose: The purpose of this paper is to investigate the impact of the Indonesia Shariah-compliant Stock Index (ISSI) on the performance of included shares. In essence, the authors ask whether the establishment of the ISSI provides abnormal returns for the firms that are not included in the...

This paper examines the relationship between sentiment-apt investors and UK stock returns at industry level over the period January 1988 to December 2017. Using two new sentiment proxies (laggards to leaders and growth opportunity index) for ten discrete sector groupings, we provide novel...