This paper contributes to the understanding of the non-linear causal linkage between investors' sentiment dynamics and stock returns for the US economy. Employing the sentiment index developed by Baker and Wurgler (J. Econ. Perspect. 16: 129-151, 2007) and within a non-linear causality...

It is worth mentioning that a great deal of financial liberalization, privatization and internationalization policies in emerging economies have significantly increased the corporate restructuring activities like mergers, acquisitions, share repurchases, and stock splits, among others. Indeed,...

Using badla financing as a measure of leverage we examine both temporal and contemporaneous links among badla financing, stock returns and market volatility. We find that the market volatility is significantly and positively related to the change in badla financing and to past market returns. We...

This paper examines the impact of illiquidity and liquidity risk on expected stock returns in the Turkish stock markets. Using daily data of the ISE-100 stock index from 2005 to 2012 and Amihud (2002) illiquidity measure, we test the liquidity-adjusted capital asset pricing model (L-CAPM) of...

Our paper presents a set of stylized empirical facts resulted from the statistical investigation of the daily and monthly price variations of European stock market indices during the period April 2007 - March 2012. We study 21 regional and global stock market indices calculated by MSCI Barra,...

In this paper, we revisit bear market predictability by employing a number of variables widely used in forecasting stock returns. In particular, we focus on variables related to the presence of imperfect credit markets. We evaluate prediction performance using in-sample and out-of-sample tests....

Recently, Donaldson and Kamstra (1997) proposed a class of NN-GARCH models which are extended to a class of NN-GARCH family by Bildirici and Ersin (2009). The study aims to analyze the nonlinear behavior and leptokurtic distribution in petrol prices by utilizing a newly developed family of...

Mansur Masih3 Abstract This research studies the benefit of the practice of Restricted Short Selling (RSS) on the Islamic stocks. Benefit is defined as the influence of the application of RSS on the stock returns and ultimately, on the market. Malaysia is used as a case study. Using dynamic...

Almost all studies on research and development (R&D) activity are based on US and British companies, and most of them show that this activity positively influences both stock returns and corporate value. This empirical study evaluates the effects of R&D on stock returns for a sample of listed...

Oil price shocks and economic policy uncertainty are interrelated and influence stock market return. For the U.S. an unanticipated increase in policy uncertainty has a significant negative effect on real stock returns. A positive oil-market specific demand shock (indicating greater concern about...