This paper studies whether investor sentiment can predict future Mexican stock market returns. Furthermore, we examine … the dynamic correlation between sentiment and returns. Lastly, we examine whether sentiment innovations influence … unexpected returns. We find that sentiment has significant predictive power up to 24 months ahead. Higher levels of sentiment …

Purpose – This study aims to use gray models to predict abnormal stock returns.Design/methodology/approach – Data are … Nash nonlinear gray Bernoulli model can predict abnormal stock returns that are defined by conditions other than gray …

crisis, or, if a different forecast horizon, or, intraday sampling frequency is employed, respectively. Finally, our evidence …

We empirically investigate the relation between anomaly portfolio returns and market return predictability in the … and economically significant return predictability using long- and short-leg anomaly portfolio returns. Moreover, high … Chinese stock market. Using 132 long-leg, short-leg, and long-short anomaly portfolio returns, we employ several shrinkage …

This paper investigates the predictability of stock market returns conditional on herd behaviour states (intense … behaviour negatively forecasts stock returns on average. From December 1992 to December 2020, the mean returns following an … results are robust to using risk-adjusted returns and a continuous herding variable. Intense herding emerges during periods of …