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Illiquidity, duration and momentum profits: evidence from the Korean stock market

Bae, Jaewan; Lee, Changjun - In: Journal of derivatives and quantitative studies : … 29 (2021) 1, pp. 49-72

This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …

Persistent link: https://www.econbiz.de/10012592791

Forecasting returns with fundamentals-removed investor sentiment

Stivers, Adam - In: International Journal of Financial Studies : open … 3 (2015) 3, pp. 319-341

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

Persistent link: https://www.econbiz.de/10011312208

Option volume and stock returns : evidence from single stock options on the Korea Exchange

Woo, Mincheol; Kim, Meong Ae - In: Journal of derivatives and quantitative studies : … 29 (2021) 4, pp. 280-300

Informed traders may prefer the options market to the stock market for reasons including the leverage effect, transaction costs, restrictions on short sale. Many studies try to predict future returns of stocks using informed traders' behavior in the options market. In this study, we examine...

Persistent link: https://www.econbiz.de/10012658766

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

Idiosyncratic risk puzzle and its pricing : do firm characteristics matter? Evidence of BRICS countries

Kausar, Saba; Rashid, Abdul; Shah, Zulfiqar Ali - In: Borsa Istanbul Review 23 (2023) 1, pp. 149-168

liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

Persistent link: https://www.econbiz.de/10014307488

Modifications on book-valued ratios

Georgiou, Catherine - In: International journal of business and economic sciences … 15 (2022) 3, pp. 24-37

Purpose: In this paper we try to explain US stock market variations and cash flow fundamentals by employing three different book-valued based ratios, First, we explore the explanatory capacity of the simple book-market ratio on time-varying expected returns, and procced on altering its...

Persistent link: https://www.econbiz.de/10014281276

Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange

Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...

Persistent link: https://www.econbiz.de/10013179575

How fears index and liquidity affect returns of ivol puzzle before and during the Covid-19 pandemic

Khoa Dang Duong; Man Minh Tran; Diep Van Nguyen; Hoa … - In: Cogent economics & finance 10 (2022) 1, pp. 1-17

This study examines the impacts of investor sentiment and liquidity on the idiosyncratic volatility (IVOL) anomaly … in Vietnam after controlling for FEARS sentiment index and liquidity proxies. Our findings document the persistence of … contribute new evidence of how the FEARS index and liquidity help explain the IVOL puzzle before and during the pandemic. Our …

Persistent link: https://www.econbiz.de/10013373164

Tick size, liquid stocks and market quality : evidence from a natural experiment in a unique setting

Gülay, Güzhan; Ersan, Yaşar - In: Borsa Istanbul Review 23 (2023) 5, pp. 1037-1057

We study the causal impacts of a tick size reduction policy in highly liquid stocks, exploiting a unique experiment in Borsa Istanbul leading to substantial exogenous variation in the tick size. Adapting a differences-in-differences strategy with a novel limit order and trade book data with...

Persistent link: https://www.econbiz.de/10014383529

Paper profits from value, size and momentum : Evidence from the Polish market

Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69

factor premiums are present after accounting for liquidity constraints. Fourth, we check whether the factor premiums are …, but they disappear after accounting for transaction costs and liquidity. …

Persistent link: https://www.econbiz.de/10011455379