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Does betting against beta strategy work in major Asian Markets?
Sehgal, Sanjay; Rakhyani, Sarika; Deisting, Florent - In: Pacific-Basin finance journal 75 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013552467
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Decomposing the idiosyncratic volatility anomaly among euro area stocks
Annaert, Jan; De Ceuster, Marc J.; Van Doninck, Freek - In: Finance research letters 47 (2022) 2, pp. 1-8
Persistent link: https://www.econbiz.de/10013553642
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Tracking Investor Gambling Intensity
Zhu, Hongbing; yang, lihua - 2023
We provide a simple method to track firm-specific investor gambling intensity based on the publicly available … transaction data. This identification approach effectively incorporates information on what and how much to buy in the trading … decision of an investor with gambling preference. We document that investor gambling intensity is strongly persistent and …
Persistent link: https://www.econbiz.de/10014255158
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Does expected idiosyncratic skewness of firms' profit predict the cross-section of stock returns? : evidence from China
Zhang, Qun; Zhang, Peihui; Liu, Hao - In: Research in international business and finance 64 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014266342
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The role of arbitrage risk in the MAX effect : evidence from the Korean stock market
Goh, Jihoon; Kim, Donghoon - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 159-180
itself has independent information apart from idiosyncratic volatility (IVOL), which assures that the high positive …
Persistent link: https://www.econbiz.de/10015055029
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What Can Betting Markets Tell Us About Investor Preferences and Beliefs? Implications for Low Risk Anomalies
Moskowitz, Tobias J.; Vasudevan, Kaushik - 2021
An empirical puzzle in financial markets, known as the low-risk anomaly, is that riskier assets earn lower risk-adjusted returns than less risky assets. Theories for this phenomenon focus either on market frictions, such as leverage costs, or non-traditional preferences for lottery-like payoffs....
Persistent link: https://www.econbiz.de/10013227659
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Are mutual fund managers good gamblers?
Stein, Roberto - In: Journal of financial markets 64 (2023), pp. 1-23
Persistent link: https://www.econbiz.de/10014466058
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Do gamblers invest in lottery stocks?
Kormanyos, Emily; Hanspal, Tobin; Hackethal, Andreas - 2022
Previous studies document a relationship between gambling activity at the aggregate level and investments in securities … with lottery-like features. We combine data on individual gambling consumption with portfolio holdings and trading records … to examine whether gambling and trading act as substitutes or complements. We find that gamblers are more likely than the …
Persistent link: https://www.econbiz.de/10014088375
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An information theoretic approach to ecological inference in presence of spatial dependence
Bernardini Papalia, Rosa - In: Defining the spatial scale in modern regional analysis …, (pp. 157-171). 2012
Persistent link: https://www.econbiz.de/10009712788