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Preference for dividends and stock returns around the world
Hameed, Allaudeen; Xie, Jing; Zhong, Yuxiang - 2022
We find strong international evidence favoring dividend payout as a salient stock characteristic affecting expected stock returns. We find that dividend-paying stocks outperform non-payers by 0.54% per month in 44 countries, adjusting for exposures to global and regional risk factors. The...
Persistent link: https://www.econbiz.de/10014236352
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Idiosyncratic Risk Innovations and the Idiosyncratic Risk-Return Relation
Rachwalski, Mark - 2020
Stocks with increases in idiosyncratic risk tend to earn low subsequent returns for a few months. However, high idiosyncratic risk stocks eventually earn persistently high returns. These results are consistent with positively priced idiosyncratic risk and temporary underreaction to idiosyncratic...
Persistent link: https://www.econbiz.de/10012857267
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Corporate Governance, ESG, and Stock Returns Around the World
Khan, Mozaffar - 2019
Non-financial performance measures, such as Environmental, Social, and Governance (“ESG”) measures, are potentially leading indicators of firms' financial performance. I draw on the prior academic literature and the concept of ESG materiality to develop new corporate governance and ESG...
Persistent link: https://www.econbiz.de/10012897542
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Risk or Mispricing? Cross-Country Evidence on the Cross-Section of Stock Returns
Dong, Mike - 2019
Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...
Persistent link: https://www.econbiz.de/10012860225
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Music Sentiment and Stock Returns Around the World
Edmans, Alex; Fernandez-Perez, Adrian; Garel, Alexandre; … - 2021
sentiment precedes a rise in stock market volatility. It is negatively associated with government bond returns, consistent with …
Persistent link: https://www.econbiz.de/10013241697
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Climate Sin Stocks : stock price reactions to global climate strikes
Stefano, Ramelli; Elisa, Ossola; Michela, Rancan - 2020
The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a...
Persistent link: https://www.econbiz.de/10012299288
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Oil price shocks against stock return of oil- and gas-related firms in the economic depression : a new evidence from a copula approach
Thu Thuy Nguyen; Nguyen Van Chien; Tran Trong Nguyen - In: Cogent economics & finance 8 (2020) 1, pp. 1-20
This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily...
Persistent link: https://www.econbiz.de/10013179488
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Gambling Preferences, Options Markets, and Volatility
Blau, Benjamin M. - 2016
preferences affect future spot price volatility. Consistent with our expectation, we find that preferences for lotteries by call … option traders directly affect future volatility in the underlying asset …
Persistent link: https://www.econbiz.de/10013007407
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Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals
Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020
exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …
Persistent link: https://www.econbiz.de/10012158166
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Covid-19 and Islamic stock index : evidence of market behavior and volatility persistence
Saleem, Adil; Bárczi, Judit; Sági, Judit - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-22
economic aspects of the world. This study investigated the Islamic stock market's reaction and changes in volatility before and … nine different markets around the globe. To examine changes in volatility and persistence of risk, the generalized … hand, the volatility of Islamic stock indices was substantially amplified after the global health crisis was declared by …
Persistent link: https://www.econbiz.de/10012627110