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The Momentum Gap and Return Predictability
Huang, Simon - 2019
The formation period return difference between past winners and losers, which I call the momentum gap, negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one standard deviation increase in the...
Persistent link: https://www.econbiz.de/10012905222
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Oil Price Exposure, Earnings Announcements, and Stock Return Predictability
Moore, Jordan - 2020
We provide evidence that equity investors with limited attention are slow to incorporate how current oil price changes affect future earnings announcements. A cross-sectional equity trading strategy that exploits this inefficiency yields an annualized Sharpe Ratio of 0.57. Stock prices respond...
Persistent link: https://www.econbiz.de/10012852476
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A Prospect Theory Model for Predicting Cryptocurrency Returns
Thoma, Alexander - 2021
This paper investigates the risk and return properties of a trading strategy for the cryptocurrency market. The main predictive power for portfolio formation comes from a simple prospect theory model that only uses price information readily available. The dataset consists of a large body of...
Persistent link: https://www.econbiz.de/10013242264
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Cross-cryptocurrency Return Predictability
Guo, Li; Kang, Donghun; Sang, Bo; Wang, Yu - 2021
Using the minute-frequency data of the top 30 coins listed on Binance, which represent 86% of the total dollar trading volume of the cryptocurrency market, we document strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant...
Persistent link: https://www.econbiz.de/10013212875
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Cross-Cryptocurrency Return Predictability
Guo, Li; Sang, Bo; Tu, Jun; Wang, Yu - 2022
Using the minute-frequency data on Binance, we find strong evidence of cross-cryptocurrency return predictability. The lagged returns of other cryptocurrencies serve as significant predictors of focal cryptocurrencies up to ten minutes, in line with slow information diffusion. The results are...
Persistent link: https://www.econbiz.de/10013312724
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News sentiment and stock return : evidence from managers' news coverages
Xu, Yongan; Liang, Chao; Li, Yan; Toan Luu Duc Huynh - In: Finance research letters 48 (2022), pp. 1-9
Persistent link: https://www.econbiz.de/10013463167
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China Markets and Global Stock Return Predictability
Sun, Yulong - 2020
We have seen China's growing role in the past decades, and the world economy has become more exposed to the influence … of China. This paper explores emerging China's impact on the global equity market through the lens of asset pricing. We … study the predictive properties of the lagged China returns for global stock returns and find that the lagged China returns …
Persistent link: https://www.econbiz.de/10012824300
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Cross-Sectional Stock Return Predictability in China
Cakici, Nusret - 2017
China form January 1994 to March 2011 by employing both portfolio method and cross-sectional regressions. We find strong … as idiosyncratic volatility are also consistent stock return predictors in China. The results exist for stocks listed in …
Persistent link: https://www.econbiz.de/10012975297
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10010496122
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Return Predictability of Turkish Stocks : An Empirical Investigation
Cakici, Nusret - 2012
This paper provides a comprehensive analysis on the stock return predictability in Turkey, January 1997 to July 2011, by employing both portfolio method and cross-sectional regressions. In the risk-related predictors, we found predictive power of beta, total volatility, and idiosyncratic...
Persistent link: https://www.econbiz.de/10013107852