Similar Search Results

Return Autocorrelation Anomalies in Two European Stock Markets

García Blandón, Josep - 2008

The autocorrelation in stock returns is one of the most important anomalies in financial markets worldwide. In this … paper, we have investigated differences in return autocorrelation on a day-to-day basis in the Spanish and French stock … also overnight closings, to explain return autocorrelation anomalies. While close-to-close stock returns are highly …

Persistent link: https://www.econbiz.de/10014215538

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733

Is factor momentum greater than stock momentum?

Falck, Antoine; Rej, Adam; Thesmar, David - In: The journal of investment strategies 10 (2021) 4, pp. 43-68

Persistent link: https://www.econbiz.de/10014335802

Asymmetric wealth effect between US stock markets and US housing market and European stock markets : evidences from TAR and MTAR

Coelho, Pedro Pacheco; Gomes, Luís; Ramos, Patrícia - In: Risks : open access journal 11 (2023) 7, pp. 1-14

Evidence of the asymmetric wealth effect has important implications for investors and continues to merit research attention, not least because much of the evidence based on linear models has been refuted. Indeed, stock and house prices are influenced by economic activity and react non-linearly...

Persistent link: https://www.econbiz.de/10014340266

Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis

Yao, Jing; Yang, Yiwen - In: Economic modelling 129 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014472100

Predicting stock realized variance based on an asymmetric robust regression approach

Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047

Persistent link: https://www.econbiz.de/10014435626

The stable tail dependence and influence among the European stock markets : a score-driven dynamic copula approach

Barnett, William A.; Wang, Xue; Xu, Hai-Chuan; Zhou, … - In: The European journal of finance 29 (2023) 16, pp. 1933-1956

Persistent link: https://www.econbiz.de/10014388527

A regime-switching model of stock returns with momentum and mean reversion

Giner, Javier; Zakamulin, Valeriy - In: Economic modelling 122 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014388630

The dynamic relationship between investor attention and stock market volatility : international evidence

Ben El Hadj Said, Imene; Slim, Skander - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-25

This paper investigates the role of investor attention in forecasting realized volatility for fourteen international stock markets, by means of Google Trends data, over the sample period January 2004 through November 2021. We devise an augmented Empirical Similarity model that combines three...

Persistent link: https://www.econbiz.de/10012821063

Linkage of size effect and behavioral risk in Indian equity market

George, Saji; Suresh, P. Srinivasa - In: Romanian journal of economic forecasting 22 (2019) 3, pp. 96-116

Persistent link: https://www.econbiz.de/10012420519