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Growing Pains : International Instability and Equity Market Returns
Chen, Zhuo - 2016
We exploit a unique dataset of country-specific military expenditures and construct a proxy for international instability, measured as the growth of the global military expenditure to GDP ratio, to capture political tensions and international conflicts. Using the market indices of 44 countries,...
Persistent link: https://www.econbiz.de/10013008132
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Size, Value, and Momentum in Emerging Market Stock Returns : Integrated or Segmented Pricing?
Hanauer, Matthias X. - 2015
In this paper, we examine size, value, and momentum patterns in the stock returns of four emerging market regions - Latin America, EMEA, Asia, and BRIC. We document a strong and highly significant value effect, and a strong but less significant momentum effect. Substantial value and momentum...
Persistent link: https://www.econbiz.de/10013034756
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(Ab)Normal Returns in an Emerging Stock Market : International Investor Perspective
Roszkowska, Paulina - 2019
This paper studies the comparative attractiveness of public equity investments in the Polish (emerging) and in the U.S. (advanced) stock markets in the years 2000-2013. Through an original implementation strategy based on one- and multi-factor asset pricing models, we find that the potential for...
Persistent link: https://www.econbiz.de/10012903034
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When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...
Persistent link: https://www.econbiz.de/10014352071
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The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data
Schulmeister, Stephan - 2010
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...
Persistent link: https://www.econbiz.de/10013135708
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Volatility and Return (Empirical Evidence from Tehran and International Stock Exchanges)
Pakizeh, Kamran - 2012
In this article the relationship between market return and volatility is examined by applying out-of-sample methodology … unexpected volatility and monthly returns in most of international exchanges. I didn't also find any significant relationship … between forecasted volatility and monthly returns. The results contradict the asset pricing theories which explain a positive …
Persistent link: https://www.econbiz.de/10013097841
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Market Return Around the Clock : A Puzzle
Bondarenko, Oleg - 2020
We study how the excess market return depends on the time of the day using E-mini S&P 500 futures that are actively traded for almost 24 hours. Strikingly, four hours around European open account for the entire average market return. This period's returns are consistently positive in every year,...
Persistent link: https://www.econbiz.de/10012834630
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Crowded Trades, Short Covering, and Momentum Crashes
Yan, Philip - 2014
Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...
Persistent link: https://www.econbiz.de/10013057742
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The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data
Schulmeister, Stephan - 2021
This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....
Persistent link: https://www.econbiz.de/10013226778
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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