With the continuous questioning of the efficient market hypothesis and the booming development of behavioral finance theory, the basic framework of financial economics becomes increasingly blurred. Meanwhile, the adaptive market hypothesis proposed by Lo (2004), underscoring time-varying market...

Investors step into the stock market with the objective of earning smart returns on their investments. The stock market can help in realising these goals of the investors, however, all investments are subject to risks. The origin of the risk is the uncertainty of realising the desired returns on...

The weekday effect anomaly is considered as a market pricing anomaly which refers to some regularities in the rates of return during the week and thus, is a category of calendar anomalies. This article is focused on the Chinese stock market and its main objective is to assess the presence of the...

Our study tries to explore whether the financial strength proxied by F-score can predict the returns in Chinese stock market and its economic explanations. Results show that the financially stronger firms can generate higher expected raw returns and abnormal returns in Fama-French five-factor...

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed.This paper investigates the time-series behavior of...

This paper sheds new light on the mutual relationship between investor sentiment and excess returns corresponding to the bubble component of stock prices. We propose to use the wavelet concept of the phase angle to determine the lead-lag relation between these variables. The wavelet phase angle...

According to the prospect theory financial investors tend to sell winners too early and ride losers too long. Therefore, demand for financial advise should be high in a bull market and low in a bear market. Thus, we test the hypothesis whether the demand for business magazines is somehow related...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...