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Does a search attention index explain portfolio returns in India?
Dharani, M.; Hassan, M. Kabir; Abedin, Mohammad Zoynul; … - In: Borsa Istanbul Review 22 (2022) 2, pp. 226-239
irrelevant for stocks with extremely high risk. This study finds that the SAI in India explains the variation in the excess …
Persistent link: https://www.econbiz.de/10013183936
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Correlated information consumption and comovement in the stock market
Tan, Selin Duz - In: Borsa Istanbul Review 22 (2022) 4, pp. 812-827
This study shows how correlated information consumption (CIC) of retail investors relates to comovement in stock market outcomes. We construct clusters of stocks with CIC by employing network analysis on Google co-search data. We predict significant comovement in returns and liquidity of stocks...
Persistent link: https://www.econbiz.de/10013334839
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Return and risk-return ratio based momentum strategies : a fresh perspective
Chia Rui Ming Daryl; Lim Kai Jie Shawn; Chan Ho Yan Sabrina - In: Journal of finance and investment analysis 2 (2013) 1, pp. 1-13
In this study, we contribute to existing literature on momentum strategies by assessing a modified version of risk … conventional risk-return ratios such as the Sharpe ratio, we also employ the use of risk-return ratio based ranking criterion first … however, we invert the ordinal ranking of negative risk-return ratios to be consistent with the interpretation of negative …
Persistent link: https://www.econbiz.de/10009746069
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Size, value, and momentum in Polish equity returns : local or international factors?
Zaremba, Adam; Konieczka, Przemysław - In: International journal of management and economics 53 (2017) 3, pp. 26-47
This paper tests the performance of the Capital Asset Pricing Model (CAPM) and the Fama-French three-factor and Carhart four-factor models on the Polish market. We use stock level data from April 2001 to January 2014 and find strong evidence for value and momentum effects, but only weak evidence...
Persistent link: https://www.econbiz.de/10012026674
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Review on efficiency and anomalies in stock markets
Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51
that suit their risk preferences and behavioral traits predicted from behavioral models. Finally, when EMH, anomalies and …
Persistent link: https://www.econbiz.de/10012237439
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Herding in smart-beta investment products
Krkoska, Eduard; Schenk-Hoppé, Klaus Reiner - In: Journal of risk and financial management : JRFM 12 (2019) 1/47, pp. 1-14
We highlight herding of investors as one major risk factor that is typically ignored in statistical approaches to … portfolio modelling and risk management. Our survey focuses on smart-beta investing where such methods and investor herding seem … modelling herding risk which merit empirical analysis. This financial economists' perspective supplements the vast statistical …
Persistent link: https://www.econbiz.de/10012022287
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The momentum effect exemplifies the influence of investors' irrational behaviour on prices of shares and stocks : an analysis of the momentum effect on the Warsaw Stock Exchange
Merło, Paweł; Konarzewski, Patryk - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 56-64
An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...
Persistent link: https://www.econbiz.de/10011393280
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Investors' behavior in alternative asset classes
Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55
attractive attracted under risk conditions. …
Persistent link: https://www.econbiz.de/10014246136
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Post-merger returns in frontier markets, or how we learned to stop worrying and love the acquirers
Zaremba, Adam; Szyszka, Adam; Płotnicki, Michał; … - In: Journal of business economics and management 19 (2018) 1, pp. 96-109
This study presents the results from a comprehensive out-of-sample test of long-run returns following mergers and acquisitions (M&As). Using a unique sample from 23 frontier markets of almost 800 transactions conducted during the years 1992 to 2016, we implement both cross-sectional tests and...
Persistent link: https://www.econbiz.de/10012174722
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Whose option ratios contain information about future stock prices?
Koo, Bonha; Kim, Ryumi - In: Journal of derivatives and quantitative studies 32 (2024) 1, pp. 58-81
Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...
Persistent link: https://www.econbiz.de/10014497179