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Momentum investing : evidence from the US tourism and hospitality
Shaker Ahmed, Mohamed - In: European journal of management and business economics : … 31 (2022) 3, pp. 269-284
Purpose - The present research aims to examine a range of momentum trading strategies for the tourism and hospitality sector. Design/methodology/approach - The paper followed the methodology of Jegadeesh and Titman (1993) to construct the portfolios. In this methodology, all portfolios were...
Persistent link: https://www.econbiz.de/10013330980
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New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets
Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023
portfolios -shaped according to lagged jump returns- incurs 0.8% of risk-adjusted loss in 1-month investment horizon. Together …
Persistent link: https://www.econbiz.de/10014254878
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Reuters sentiment and stock returns
Uhl, Matthias W. - 2011
We examine the statistical power of fundamental and behavioural factors with regards to stock returns of the Dow Jones Industrials Index. With a novel sentiment dataset from over 3.6 million Reuters news articles, we find significant correlations between Reuters sentiment and stock returns. We...
Persistent link: https://www.econbiz.de/10009303761
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Are REITs real estate? : evidence from international sector level data
Hoesli, Martin; Oikarinen, Elias - 2012
and direct real estate should be relatively good substitutes in a long-horizon investment portfolio. The results are of …
Persistent link: https://www.econbiz.de/10009558452
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Style Analysis for Diversified U.S. Equity Funds
Mason, Andrew - 2012
In this study we consider two methods of returns based style analysis for classification of investment styles for a … investment practice …
Persistent link: https://www.econbiz.de/10013106110
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Combining Returns Based and Characteristics Based Style Analysis for US Diversified Equity Funds
Mason, Andrew - 2011
model. We use Best Fit Indices to establish the ‘investment domains' of our sample managers, along the lines of size and … style analysis model. The BFI-CBS methodology provides a means of classification of equity investment styles that has ….Furthermore, qualitative analysis of our results was consistent with investment practice and academic consideration of style and economic …
Persistent link: https://www.econbiz.de/10013132946
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U.S. stock market P/E ratios, structural breaks, and long-term stock returns
Baek, Chung; Lee, Ingyu - In: Journal of business economics and management 19 (2018) 1, pp. 110-123
Our study investigates structural changes in the market P/E ratio and shows how structural changes affect long-term stock market returns. Using the cumulative sum control chart and the Bai-Perron algorithm, we identify multiple structural breakpoints in the market P/E ratio and find that those...
Persistent link: https://www.econbiz.de/10012174724
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Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US
Bohl, Martin T.; Siklos, Pierre L. - 2001
A large part of the current debate on US stock price behavior concentrates on the question of whether stock prices are driven by fundamentals or by non-fundamental factors. In this paper we put forward the hypothesis that a present value model with time-varying expected returns provides an...
Persistent link: https://www.econbiz.de/10010503717
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Witching Days and Abnormal Profits in the US Stock Market
Caporale, Guglielmo Maria; Plastun, Alex - 2021
This paper examines price effects related to witching days in the US stock market using both weekly and daily data for three major indices, namely the Dow Jones, SP500 and Nasdaq, over the period 2000-2021. First it analyses whether or not anomalies in price behaviour arise from witching by...
Persistent link: https://www.econbiz.de/10013323081
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Hidden liquidity : determinants and impact
Cebiroglu, Gökhan; Horst, Ulrich - 2012
We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...
Persistent link: https://www.econbiz.de/10009506557