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...

Using 2010-2019 stock-level data in US, we examine whether and how retail investors trade on environmental, social, and government (ESG) information. Although retail investors trade more on ESG disclosed stocks than no-disclosed stocks, ESG disclosure information does not help retail investors...

We investigate the pricing of market volatility risk as a risk factor – the innovation risk and as a characteristic risk – the level risk. We find that the pricing of the country-level (local) market volatility risk factor is not robust across 21 developed markets and that the global market...

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Using a data set on climate risk constructed by Google BERT (AI) algorithm, fine-tuned by Kölbel et al. (2022), we demonstrate that physical climate risk is materialized in US stock markets. This premium is positive, both statistically and economically significant (1.5% to 2.7% annually),...

We examine the long-term relationship between signals derived from nine years of unstructured social media microblog text data and financial market developments in five major economic regions. Employing statistical language modeling techniques we construct directional sentiment metrics and link...

Despite assumptions of mean-variance efficiency that underlie most asset pricing models, investors have shown a penchant for positive skewness. This study documents that the ratio of call option volume relative to total option volume is greatest for stocks with return distributions that resemble...

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...

This paper investigates Barosso and Santa-Clara's (2015) risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx (2012). We moreover examine the impact of different variance forecast...