This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...

Using a score provided by Thomson Reuters to measure the tone of news articles, I construct a weekly measure of qualitative information. The measure predicts future returns over the next 13 weeks and mitigates short-term reversal in the weekly momentum strategy. A portfolio that takes a long...

This study examines the cross-sectional impact of the 2008 short sale ban on the returns of U.S. financial stocks. Motivated by the large cross-sectional variation in the extent to which banned stocks suffer an illiquidity shock, we hypothesize that stocks with larger liquidity declines are...

Active managers have strong incentives to concurrently realize tax losses and window dress portfolios at the ends of calendar quarters. Consequently, stocks with capital losses experience downward price pressure, and a large share of returns to momentum strategies is earned at these times. This...

The relationship between leverage and returns on US bank stocks between 1973 and 2019 is slightly hump-shaped, almost flat. This observed relationship cannot be explained by standard risk factors such as correlation with the market return, book-to-market, size, momentum and term structure of...

This study is set up to investigate how returns on three groups (developed, emerging and frontier) of global stock markets respond to shock to investment opportunities in the United States using aggregate Tobin's q as a proxy. The Granger-causality is computed to determine the causal linkage...

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

We implement a novel approach to derive investor sentiment from messages posted on social media before we explore the relation between online investor sentiment and intraday stock returns. Using an extensive dataset of messages posted on the microblogging platform StockTwits, we construct a...