I construct and study a comprehensive novel dataset on Chinese equity analysts. I find the analysts possess significant forecasting skill. First, I find that more favorable recommendations predict better stock performance for at least six months after the recommendation. Second, the value of...

We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not under-perform their value-oriented peer funds. To...

This study explores the impact of terrorist attacks on the European and US stocks markets after the upsurge of attacks that started in November 2015 in Paris. Applying the methodology developed in Eldor and Melnick (2004), we find that these terrorist attacks had a significant impact in the US...

Using data from ten developed and seven emerging countries, we analyse stock market's volatility and the macroeconomic factors that influence stock market's volatility from January 2001 till December 2012. We use standard historical volatility model followed by Jones et al. (1998) and Andersen...

Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...

Today, an investor has an array of investment choices including the opportunities to approach overseas market which were unavailable a few decades ago. In literature, the integration of stock markets has been widely discussed and analyzed. This paper examines the relationship between Indian...

The paper reports new evidence of herding in the Chinese A-type and B-Type markets by employing non-parametric kernel regression. We find statistically significant evidence of herding in A-type market under both extreme high and low market returns. Herding in B-type market, which predominantly...

This paper introduces the concept of divergence of sentiment to the behavioral finance literature. We measure the distance between people with positive and negative sentiment on a daily basis for 20 countries by using data from status updates on Facebook. The prediction is that a higher...

We investigate the daily short-selling by foreign investors and their impact on stock price, liquidity, and volatility in the Korean stock market. From January 1, 2006 to May 31, 2010, we find that the majority of short-selling is performed by foreign, rather than by domestic, investors and that...

This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number of trades as contemporaneous proxies for information arrival in 15 sector indices of the Saudi Stock Exchange (Tadawul) using the TGARCH model. Findings provide strong evidence...