The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

We constructed forecasts of earnings forecasts using data on 406 firms and forecasts made by 5419 individuals with on average 25 forecasts per individual. We verified previously found predictors, which are the average of the most recent available forecast for each forecaster and the difference...

Risk of financial failure is defined as the inability of a firm to pay its current liabilities. Financial failure may lead firms to bankrupt or go into liquidation. This paper aims to develop reliable model to identify the financial failure risk of the firms listed on Istanbul Stock Exchange...

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...

This study investigates whether Google Search Volume Indices (GSVIs) bring shifts in the expected return of prominent pricing factors in comparison to the Volatility Index (VIX). The results show that compared to VIX, GSVIs bring less significant changes in expected premium on Fama-French's...

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated...

The study reviews equity valuation, and proposes an alternative equity valuation model based on a random process modelling of earnings and equity growth. A Markov process is used to model earnings, standardized as earnings to book value, and book value based on rating category. This assumes a...

This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...

Textual analysis of news articles is increasingly important in predicting stock prices. Previous research has intensively utilized the textual analysis of news and other firm-related documents in volatility prediction models. It has been demonstrated that the news may be related to abnormal...

This study aims at comparing Google Search Volume Indices (GSVIs—including market crash and bear market) and VIX (Investor Fear Gauge Index) in terms of explaining the S&P 500 returns. The VIX is found a more robust predictor of stock market returns than Google indices, and it does granger...