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Profitability, value, and stock returns in production‐based asset pricing without frictions
Balversli, Ronald J.; Huang, Dayong - In: Journal of money, credit and banking : JMCB 49 (2017) 7, pp. 1621-1651
Persistent link: https://www.econbiz.de/10011946663
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Empirical limitations on high-frequency trading profitability
Kearns, Michael; Kulesza, Alex; Nevmyvaka, Yuriy - In: The journal of trading 5 (2010) 4, pp. 50-62
Persistent link: https://www.econbiz.de/10008689018
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An empirical essay to explain the contrarian profits in the Tunisian stock market : behavioral approach vs. rational approach
Boussaidi, Ramzi - In: International journal of economics and finance 7 (2015) 12, pp. 11-28
Persistent link: https://www.econbiz.de/10011411578
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Aggregate profit instability and time variations in momentum returns : evidence from China
Yin, Libo; Wei, Ya - In: Pacific-Basin finance journal 60 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012232699
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Where have the profits gone? : market efficiency and the disappearing equity anomalies in country and industry returns
Zaremba, Adam; Umutlu, Mehmet; Maydybura, Alina - In: Journal of banking & finance 121 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012521610
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The distribution of investor beliefs, stock ownership and stock returns
Hardouvelis, Gikas A.; Karalas, Georgios; Vayanos, Dimitri - 2021
Persistent link: https://www.econbiz.de/10012499826
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The impact of sentiment and attention measures on stock market volatility
Audrino, Francesco; Sigrist, Fabio Roman Albert; … - In: International journal of forecasting 36 (2020) 2, pp. 334-357
Persistent link: https://www.econbiz.de/10012414802
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Bad news bears : effects of expected market volatility on daily tracking error of leveraged bull and bear ETFs
Holzhauer, Hunter Matthew; Lu, Xing; MacLeod, Robert W.; … - In: Managerial finance 39 (2013) 12, pp. 1169-1187
Persistent link: https://www.econbiz.de/10010197618
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Tail-heaviness, asymmetry, and profitability forecasting by quantile regression
Tian, Hui; Yim, Andrew; Newton, David P. - In: Management science : journal of the Institute for … 67 (2021) 8, pp. 5209-5233
Persistent link: https://www.econbiz.de/10012625104
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Dynamics of the Flow-Performance Relationship
Serafimov, Lyubomir - 2019
We employ a dataset of Europe-wide-sold and US-sold equity mutual funds to investigate how flows of assets relate to past performance in the past decade and a half. We show that the flow-performance relationship changes in time and differs in Europe and US. We find that the typical for the US,...
Persistent link: https://www.econbiz.de/10012897981