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Is there Momentum in Factor Premia? Evidence from International Equity Markets

Zaremba, Adam - 2019

This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...

Persistent link: https://www.econbiz.de/10012893036

The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment

Papakyriakou, Panayiotis - 2019

We consider terrorism acts in G7 countries over the period 1998-2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we find that stock markets decline significantly on the event day and on the following trading day. We further...

Persistent link: https://www.econbiz.de/10012891288

Analyst Recommendations and International Stock Market Returns

Berkman, Henk - 2016

This paper shows that analyst recommendations aggregated at the country level predict international stock market returns. A trading strategy based on past country-level recommendations yields an abnormal return of around 0.9 percent per month. Aggregate analyst recommendations also predict...

Persistent link: https://www.econbiz.de/10012986529

Financial Firm Bankruptcies, International Stock Markets and Investor Sentiment

Papakyriakou, Panayiotis - 2020

We consider bankruptcy announcements of large financial institutions in the US and examine their impact on an international sample of 66 stock market indices. Employing an event-study methodology, we find that stock markets exhibit strong adverse reaction in the aftermath of such announcements....

Persistent link: https://www.econbiz.de/10012851388

ADR Valuation and Listing of Foreign Firms in U.S. Equity Markets

Li, Shi - 2019

We examine the decision to list in the U.S. markets by foreign firms through American Depository Receipts (ADRs). There is a high positive correlation between the valuation of existing ADRs and the number of new ADR listings next year. ADR listing is more likely when existing ADRs are valued...

Persistent link: https://www.econbiz.de/10012893652

Empirical Evidence of Co-Movements between China and Global Stock Markets

Chiang, Thomas Chinan - 2013

This paper investigates the dynamic correlations between Chinese stock return and global markets at both market and sectoral levels. Statistics suggest that stock-return correlations across markets are time-varying and display structural breaks. The evidence indicates that the stock returns of...

Persistent link: https://www.econbiz.de/10013077637

Contagious Margin Calls : How COVID-19 Threatened Global Stock Market Liquidity

Foley, Sean - 2020

The COVID-19 pandemic has caused some of the largest - and fastest - market dislocations in modern history. Contemporaneous with the significant fall in equity market values is the evaporation of market liquidity. We show that transactions costs increase sharply in a coordinated fashion across...

Persistent link: https://www.econbiz.de/10012828843

The short-term impact of COVID-19 on global stock market indices

Singh, Gurmeet; Shaik, Muneer - In: Contemporary economics 15 (2021) 1, pp. 1-18

The COVID-19 pandemic, declared on March 11, 2020 by the World Health Organisation (WHO), has had a severe economic and … financial impact on every economy around the world. This paper aims to analyze the short-term impact of COVID-19 on global … sectors (Pharma, Healthcare, Information Technology, Hotel & Airline) based on the indices of three different economies (World …

Persistent link: https://www.econbiz.de/10012485328

Asymmetric Response of International Stock Markets to Fed Policy

Wang, Dennis - 2014

This paper examines the asymmetric response of international stock markets to Federal Reserve policy. We find that a hypothetical unanticipated rise in the federal funds rate target has a negative effect on international stock returns in the bull market. This is consistent with the discount...

Persistent link: https://www.econbiz.de/10013053464

Does the U.S. extreme indicator matter in stock markets? : international evidence

Jing, Xiaozhen; Xu, Dezhong; Li, Bin; Singh, Tarlok - In: Financial innovation : FIN 10 (2024), pp. 1-27

We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...

Persistent link: https://www.econbiz.de/10015361591