This paper examines the interaction between short-run return reversals, momentum and idiosyncratic volatility in the Australian market. We confirm that stocks with high idiosyncratic volatility earn low average returns over the next month. Unlike US studies which attribute this negative relation...

The present study examines the impact of cultural and religious festivals on the trading behavior of a sample of stocks listed on the five emerging Asian markets: Hong Kong, Indonesia, Malaysia, Singapore and Taiwan, over the years 1991-2011. I investigate the festivals' impact on stock returns...

Empirical analysis of financial data such as the daily, weekly or monthly prices of assets such as bonds, stocks, currencies and commodities have shown that asset prices approximately follow a martingale process, but the distribution of asset returns tend to be fat-tailed. This paper examines...

Recent theory relates expected returns and covariant risk to the investment decisions of a firm. The irreversible nature of physical assets-in-place results in them being riskier than growth options across certain stages of the business cycle. Using the Australian accounting environment, this...

This paper examines whether it is possible to forecast one-year-ahead returns of individual companies based on the observed ‘psychopathic' characteristics of their top management team. We find that language characteristic of psychopaths present in annual report narratives, questionable...

We investigate the impact of financial news on equity returns and introduce a non-parametric model to generate a sentiment signal, which is then used as a predictor for short-term, single-stock equity return forecasts.We build on Google's BERT model (for Bidirectional Encoder Representations for...

Contemporaneous evidence of corporate revenue and profit forecasting error is provided in a different institutional context, Australian sharemarket initial public offerings. This article extends the literature on company forecast risk by incorporating new proxies for forecasting error (float...