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The Effects of Oil Price Shocks on U.S. Stock Order Flow Imbalances and Stock Returns
Lambertides, Neophytos - 2017
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...
Persistent link: https://www.econbiz.de/10012959469
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Stock Returns on US Capital Market During the First Half of February
Dumitriu, Ramona; Stefanescu, Razvan - 2023
This paper approaches the behavior of stock returns on US capital market during the first half of February. We use the closing values of four indexes from United States capital market for the period January 2011 - April 2023. We found, for all four indexes, abnormal high returns during the first...
Persistent link: https://www.econbiz.de/10014349713
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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
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,...
Persistent link: https://www.econbiz.de/10014254878
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(Almost) 200 Years of News-Based Economic Sentiment
Binsbergen, Jules H. van; Bryzgalova, Svetlana; … - National Bureau of Economic Research - 2024
Using text from 200 million pages of 13,000 US local newspapers and machine learning methods, we construct a 170-year-long measure of economic sentiment at the country and state levels, that expands existing measures in both the time series (by more than a century) and the cross-section. Our...
Persistent link: https://www.econbiz.de/10014468226
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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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War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets
Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023
Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...
Persistent link: https://www.econbiz.de/10014287305
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An empirical analysis of the volatility spillover effect between world-leading and the Asian stock markets : implications for portfolio management
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 10/226, pp. 1-28
-AGARCH) model to examine both return and volatility spillovers from the USA (developed) and China (Emerging) towards eight emerging … the US and China to the Asian stock markets during the US financial crisis and the Chinese stock market crash, and the …. Additionally, volatility was transmitted from China to the majority of the Asian stock markets during the US financial crisis. The …
Persistent link: https://www.econbiz.de/10012388066
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Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications
Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19
(USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of …, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets … stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the …
Persistent link: https://www.econbiz.de/10012309325
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Revisiting the Duration Dependence in the US Stock Market Cycles
Zakamulin, Valeriy - 2020
There is a big controversy among both investment professionals and academics regarding the question of how the probability that a bull or bear market terminates depends on its age. Using more than two centuries of data on the broad US stock market index, in this paper we revisit the duration...
Persistent link: https://www.econbiz.de/10012833990
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Improving U.S. Stock Return Forecasts : A 'Fair-Value' Cape Approach
Davis, Joseph H. - 2017
The accuracy of U.S. stock return forecasts based on the cyclically-adjusted P/E (CAPE) ratio has deteriorated since 1985. The issue is not the CAPE ratio, but CAPE regressions that assume it reverts mechanically to its long-run average. Our approach conditions mean reversion in the CAPE ratio...
Persistent link: https://www.econbiz.de/10012954555