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Spillover effects of the US stock market and the predictability of returns : international evidence based on daily data

Wen, Yi-Chieh; Li, Bin; Chen, Xiaoyue; Singh, Tarlok - In: Applied economics 55 (2023) 45, pp. 5251-5266

Persistent link: https://www.econbiz.de/10014335067

Forecasting the impact of information security breaches on stock market returns and VaR backtest

Colivicchi, Ilaria; Vignaroli, Riccardo - In: Journal of mathematical finance 9 (2019) 3, pp. 402-454

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Style investing, comovement and return predictability

Wahal, Sunil; Yavuz, Deniz M. - In: Journal of financial economics 107 (2013) 1, pp. 126-154

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Variance risk : a bird's eye view

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Persistent link: https://www.econbiz.de/10012439498

Local demand shocks, excess comovement and return predictability

Broman, Markus S. - In: Journal of banking & finance 119 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521271

Industry variance risk premium, cross-industry correlation, and expected returns

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The impact of Twitter-based sentiment on US sectoral returns

Zeitun, Rami; Ur Rehman, Mobeen; Ahmad, Nasir; Xuan Vinh Vo - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014246833

Return predictability and valuation ratios : sector-level evidence on the Johannesburg Stock Exchange

Chipunza, Kudakwashe Joshua; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 8 (2020) 1, pp. 1-27

The efficient market hypothesis describes an efficient market as one in which investors cannot consistently predict stock returns because prices instantly reflect all the information flowing into the market. However, return predictability has been documented in many markets. This study tests the...

Persistent link: https://www.econbiz.de/10013179575

Predictive ability of three different estimates of "cay" to excess stock returns : a comparative study for South Africa and USA

Emara, Noha - In: European research studies : an international … 17 (2014) 1, pp. 3-17

Persistent link: https://www.econbiz.de/10011383243

Investor sentiment, extrapolation and asset pricing

Wu, Huihui; Yang, Chunpeng - In: Romanian journal of economic forecasting 25 (2022) 4, pp. 182-205

Persistent link: https://www.econbiz.de/10013532000

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