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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
reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …
Persistent link: https://www.econbiz.de/10012237439
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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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Reputation, return and risk : a new approach
Febra, Lígia; Costa, Magali; Pereira, Fábio - In: European research on management and business economics 29 (2023) 1, pp. 1-8
Corporate reputation has deserved attention in recent years from firms and researchers given its impact on creating a competitive advantage and on keeping a sustained superior performance. However, the impact of corporate reputation on risk, in addition to being less studied, still presents...
Persistent link: https://www.econbiz.de/10014295000
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An analysis of the relation between return and beta for portfolios of Turkish equities
Terregrossa, Salvatore J.; Eraslan, Veysel - In: Cogent economics & finance 4 (2016) 1, pp. 1-8
the capital asset pricing model (CAPM). Enhanced accuracy of expected asset-return, in turn, may lead to more accurate …
Persistent link: https://www.econbiz.de/10011450716
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Volatility asset pricing model as an alternative approach?
Kuklik, Robert G.; Vacek, Vladislav - In: European financial and accounting journal : EFAJ 8 (2013) 1, pp. 39-66
deductive theory based on simplified rationality of the physical world. The behaviour of the markets cannot be derived from … e.g. the CAPM. SIM and MIM frameworks. The multifractal view of e.g. Mandelbrot concerning the market behaviour. has …
Persistent link: https://www.econbiz.de/10011460249
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Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?
Maiti, Moinak - In: Future Business Journal 5 (2019) 5, pp. 1-12
The present study focused on one of the important South Asian nations-Sri Lanka-to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and...
Persistent link: https://www.econbiz.de/10012137461
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Rolling regression CAPM on Zagreb stock exchange : can investors profit from it?
Škrinjarić, Tihana - In: Economic review : journal of economics & business 16 (2018) 2, pp. 7-22
This paper explores possibilities of using rolling regression CAPM on the Zagreb Stock Exchange in portfolio and risk … and return. Furthermore, the rolling regression approach to CAPM estimation has not yet been observed on the Croatian and … rolling regression CAPM on the Croatian market. Results from the analysis are used in simulating portfolio strategies in order …
Persistent link: https://www.econbiz.de/10012012610
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Data envelopment analysis and multifactor asset pricing models
Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: International Journal of Financial Studies : open … 8 (2020) 2/24, pp. 1-18
Recent literature shows that market anomalies have significantly diminished, while research on market factors has largely improved the performance of asset pricing models. In this paper we study the extent to which data envelopment analysis (DEA) techniques can help improve the performance of...
Persistent link: https://www.econbiz.de/10012239304
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Liquidity and solvency of a company and the rate of return : an analysis of the Warsaw Stock Exchange
Zalewska, Justyna; Nehrebecka, Natalia - In: Central European economic journal 6 (2019) 53, pp. 199-220
of the capital asset pricing model (CAPM) model and analysed portfolios based on three liquidity ratios and four solvency … ratios, which were computed using the CAPM, Fama–French and Carhart models. The empirical study described in the article … significantly affect the sensitivity of the rate of return on shares to the risk factors expressed in the CAPM, Fama––French and …
Persistent link: https://www.econbiz.de/10012303197
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An analysis of conditional mean-variance portfolio performance using hierarchical clustering
Owen, Stephen R. - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13
This paper studies portfolio optimization through improvements of ex-ante conditional covariance estimates. We use the cross-section of stock returns over a 52-year sample to analyze trading performance by implementing the machine learning algorithm of hierarchical clustering. We find that...
Persistent link: https://www.econbiz.de/10014514019