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Investing in Growth Stocks : Bimodal Payoff Distribution and Expected Stock Returns
Zhang, Jasmine; Zhang, Xiao-Jun - 2022
(DRD) of future revenues, earnings, investment, as well as stock returns, follow a bimodal U-shaped distribution. By …
Persistent link: https://www.econbiz.de/10014238639
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Corporate financial performance and Tobin's q in dividend and growth investing
Mysaka, Hanna; Derun, Ivan - In: Contemporary economics 15 (2021) 3, pp. 277-288
the influence of public companies' financial performance on Tobin's q as a common measure of investment opportunity for … function should be different for different investment styles. For this reason, we composed two sets of financial ratios that … believe that investment decisions' successfulness depends on the reliability of the issuer's financial statements. In our …
Persistent link: https://www.econbiz.de/10012629563
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The Formation Process of Winners and Losers in Momentum Investing
Chen, Li-Wen - 2015
a joint effect on future expected returns. The empirical evidence shows that the zero-investment portfolio, including …
Persistent link: https://www.econbiz.de/10013022151
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The real side of the high-volume return premium
Israeli, Doron; Kaniel, Ron; Sridharan, Suhas A. - In: Management science : journal of the Institute for … 68 (2022) 2, pp. 1426-1449
Persistent link: https://www.econbiz.de/10012887605
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Do high-frequency data improve multivariate volatility forecasting for investors with different investment horizons?
Yu, Limin; Huang, Zhuo - 2022
Persistent link: https://www.econbiz.de/10015053841
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Skewness, Individual investor preference, and the Cross-Section of Stock Returns
Lin, Tse-Chun - 2017
We find a robust negative relation between skewness/lotter-like features, proxied by maximum return (MAX) over the last month, and future returns for stocks preferred by individual investors. This negative relation is nonexistent for the rest of stocks. We identify stocks preferred by individual...
Persistent link: https://www.econbiz.de/10012970804
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Mislearning and (Poor) Performance of Individual Investors
Fuentes, Olga - 2018
timing when their ability to trade is unknown. We characterize the optimal investment decision process and provide empirical … overestimating the performance of their investment decisions and engaging in further active behavior (i.e. pension fund changes) as a … of their investment decisions seems necessary …
Persistent link: https://www.econbiz.de/10012919201
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Sentiment, Electoral Uncertainty and Stock Returns
Carvalho, Carlos - 2017
We study the effect of a huge sports sentiment shock, unrelated to economic conditions or government actions, on stock market outcomes. After Brazil's 7-1 humiliating defeat to Germany in the 2014 World Cup, which is likely to be one of the largest sports sentiment shocks ever, the stock market...
Persistent link: https://www.econbiz.de/10012961363
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Momentum and Reversal Dynamics
Kolari, James W. - 2019
This paper studies the joint dynamics of momentum and reversal strategies in the U.S. stock market. Momentum investors face uncertainty about whether past patterns of price movements will continue (momentum) or reverse, thereby increasing volatilities of momentum returns and occasionally leading...
Persistent link: https://www.econbiz.de/10012896774
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Overreacting Algorithms in Financial Markets
Gerner-Beuerle, Carsten; Zierahn, Lukas - 2022
One rationale for the regulation of algorithmic and high-frequency trading is the perception that algorithms are prone to overreacting to market events, for example by producing unanticipated interaction effects that exacerbate volatility and disrupt efficient price formation. This articles...
Persistent link: https://www.econbiz.de/10013297213