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Cross-section without factors : a string model for expected returns

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718

Persistent link: https://www.econbiz.de/10015050788

Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets

Lu, Yutong; Reinert, Gesine; Cucuringu, Mihai - In: Quantitative finance 24 (2024) 6, pp. 779-809

Persistent link: https://www.econbiz.de/10015050797

ESG risk exposure : a tale of two tails

Yang, Runfeng; Caporin, Massimiliano; Jiménez-Martin, … - In: Quantitative finance 24 (2024) 6, pp. 827-849

Persistent link: https://www.econbiz.de/10015050799

Cross-cryptocurrency return predictability

Guo, Li; Sang, Bo; Tu, Jun; Wang, Yu - In: Journal of economic dynamics & control 163 (2024), pp. 1-33

Persistent link: https://www.econbiz.de/10015050816

The prospect theory and the idiosyncratic risk-return linkage : a quantile regression approach for Vietnam's stock market

Ho Hoang Gia Bao; Tran Thi Hai Ly; Dinh Thi Thu Hong - In: Managerial finance 50 (2024) 8, pp. 1533-1553

Persistent link: https://www.econbiz.de/10015049442

Which value component has a larger effect on idiosyncratic volatility, assets in place or growth options?

Hu, Yu; Jiang, Xiaoquan - In: Applied economics 56 (2024) 46, pp. 5530-5554

Persistent link: https://www.econbiz.de/10015051109

Media coverage and price reactions to earnings news

Yu, Miao; Kyung, Hangsoo; Tsang, Albert - In: China journal of accounting research : CJAR 17 (2024) 3, pp. 1-24

In this study, we find that relative to firms with less media coverage, stock price sensitivity to positive (negative) earnings surprises in earnings announcements of firms with greater media coverage is stronger (weaker). This asymmetry in the effect of media coverage on stock price sensitivity...

Persistent link: https://www.econbiz.de/10015051119

More attention and better volatility forecast accuracy : how does war attention affect stock volatility predictability?

Liang, Chao; Wang, Lu; Duy Duong - In: Journal of economic behavior & organization 218 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014552793

Foreign investors, rebalancing trades, and increases in U.S.-Japan stock market correlations

Imai, Hiroyuki; Kim, Jong-Min - In: Applied economics 56 (2024) 47, pp. 5634-5649

Persistent link: https://www.econbiz.de/10015051126

Investment-consumption optimization with transaction cost and learning about return predictability

Wang, Ning; Siu, Tak Kuen - In: European journal of operational research : EJOR 318 (2024) 3, pp. 877-891

Persistent link: https://www.econbiz.de/10015048184