This paper revisits some recently found evidence in the literature on the cross-section of stock returns for a carefully constructed dataset of euro area stocks. First, we confirm recent results for U.S. data and find evidence of a negative cross-sectional relation between extreme positive...

The author found that stocks with a positive change in company cash holdings have significantly higher risk-adjusted returns than stocks with a negative change in cash holdings (CCH). Moreover, the return predictive power of CCH is (1) distinct from the effect of cash holdings (CH), (2) absent...

This paper examines the information content of two different measures of aggregate equity-market order flow for future macro fundamentals and expected stock market returns. The first measure, the cross-sectional average of individual stock order flows, predicts future growth rates for industrial...

We test and offer support to Merton's (1987) theory that difference in a stock's investor recognition affects its cost of capital. In the U.S. market, using the breadth of ownership among retail investors as a proxy for investor recognition, we show that a long-short portfolio based on the...

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

We investigate a general multiple security equilibrium model in which firms adjust their capital stock in response to economic shocks. Asset values are determined by competitive risk-averse investors. When corporate capital increases in value, firms react by creating more of it. This leads to...

We provide one of the first comprehensive studies on out-of-sample stock returns predictability in Australia. While most of the empirically well-known predictive variables fail to generate out-of-sample predictability, we document a significant out-of-sample prediction in forecasting ahead...

While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...

The aim of this paper is to investigate the behaviour of water transportation company stock returns in the U.S. stock exchanges from 1985 to 1994 in order to determine whether the systematic risk of this industry is different from that of the 'average' company in the market, whether it has...

The objective of this paper is to analyze dependence structure between the returns of Croatian and five European stock markets (Austrian, French, German, Italian, and the U.K.'s). We propose a copula GARCH approach, where the return series are modeled as univariate GARCH processes and the...