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Cai, Charlie X. - 2014

We argue that arbitrageurs will strategically limit their initial investment in an arbitrage opportunity in …

Persistent link: https://www.econbiz.de/10013051028

Sentiment dynamics and volatility of international stock markets

Aydogan, Berna - In: Eurasian business review 7 (2017) 3, pp. 407-419

France and Germany, stock market volatility is sensitive to negative shock in investor sentiment, supporting the existence of …This study attempts to analyze the effects of investor sentiment on volatility of nine stock markets, and capture the … for France and Germany, but statistically significant and positive for Ireland alone. The results provide evidence that in …

Persistent link: https://www.econbiz.de/10011813522

Common risk factors in international stock markets

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - In: Financial markets and portfolio management 33 (2019) 3, pp. 213-241

Persistent link: https://www.econbiz.de/10012427778

International equities listed on the New York stock exchange : does type of issue or date of issue matter?

Schaub, Mark - In: Financial markets and portfolio management 26 (2012) 4, pp. 429-447

Persistent link: https://www.econbiz.de/10009667503

Book-to-Market Decomposition, Net Share Issuance, and the Cross Section of Global Stock Returns

Blackburn, Douglas W. - 2019

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market—changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012901804

Book-to-market decomposition, net share issuance, and the cross section of global stock returns

Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29

This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...

Persistent link: https://www.econbiz.de/10012022063