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Day-of-the-week effect : petroleum and petroleum products

Meek, Andrew C.; Hoelscher, Seth A. - In: Cogent economics & finance 11 (2023) 1, pp. 1-19

, for investors engaged in trading these futures, our results may help time their trade decisions. …

Persistent link: https://www.econbiz.de/10014500847

Chibane, Messaoud - 2019

According to several extended behavioral theories, value profits should mirror momentum profits, and vary over time. We … negative market return, the average so-called value premium is about three time its unconditional counterpart, whereas it … (momentum crashes) are contemporaneous with extreme value profits (value bubbles). Our results are robust to various time …

Persistent link: https://www.econbiz.de/10012867491

Panic Selling When Disaster Strikes : Evidence in the Bond and Stock Markets

Huynh, Thanh; Xia, Ying - 2021

This study uses disaggregated establishment-level data to identify a firm’s exposure to physical climate risk and examines investors’ reaction to natural disasters in both the U.S. corporate bond and stock markets. We find that, when a firm is exposed to disasters, investors overreact by...

Persistent link: https://www.econbiz.de/10013238621

The role of reference-dependent preferences in the idiosyncratic volatility puzzle : evidence from Korea

Le Thi Minh Hang; Hoang Van Hai; Nguyen Truong Son - In: Cogent economics & finance 8 (2020) 1, pp. 1-15

In this paper, the role of the reference-dependent preference in the relationship between idiosyncratic volatility and future return was investigated in the Korean stock market from July 1990 to June 2018. The capital gains overhang was used as a reference point for a definition of the loss and...

Persistent link: https://www.econbiz.de/10013179662

The impact of portfolio aggregation on day-of-the-week effect: evidence from Finland

Högholm, Kenneth; Knif, Johan - In: Global finance journal 20 (2009) 1, pp. 67-79

Persistent link: https://www.econbiz.de/10003878346

Salient or Safe : Why Do Predicted Stock Issuers Earn Low Returns?

Lee, Charles M.C. - 2019

Predicted stock issuers (PSIs) are firms with expected “high-investment and low-profit” (HILP) profiles that earn unusually low returns. We carefully document important features of PSI firms to provide insights on the economic mechanism behind the HILP phenomenon. Top-PSI firms are...

Persistent link: https://www.econbiz.de/10012902654

Investor (Mis)Reaction, Biased Beliefs, and the Mispricing Cycle

Ben-Rephael, Azi; Hitzemann, Steffen; Xiao, Yuanyuan - 2021

We construct a new measure that captures the disparity between the market reaction to earnings information and the earnings surprise ("Return-Earnings Gap", "REG"). High REG scores positively predict analyst forecast errors and firm mispricing (overvaluation) scores, especially for build-up...

Persistent link: https://www.econbiz.de/10013313215

Greed and Individual Trading Behavior in Experimental Asset Markets

Hoyer, Karlijn; Zeisberger, Stefan; Breugelmans, Seger; … - 2021

Greed has been shown to be an important economic motive. Both the popular press as well as scientific papers have mentioned questionable practices by greedy bankers and investors as one of the root causes of the 2008 global financial crisis. In spite of these suggestions, there is as of yet no...

Persistent link: https://www.econbiz.de/10013242440

Game in Another Town : Geography of Stock Watchlists and Firm Valuation

Dong, Dayong; Jiang, Danling; Wu, Keke; Zhu, Hongquan - 2021

Investors have preferences for local companies, as well as companies in connected cities. We develop a novel approach to exploit the geographic connections of investor watched stocks to identify latent city-to-city connections that influence geographic investment preferences in China. We find...

Persistent link: https://www.econbiz.de/10013252155

The adaptive market hypothesis and the day-of-the-week effect in African stock markets : the Markov Switching Model

Obalade, Adefemi Alamu; Muzindutsi, Paul-Francois - In: Comparative economic research : Central and Eastern Europe 22 (2019) 3, pp. 145-162

In line with the Adaptive Market Hypothesis (AMH), the objective of this study is to investigate how the day-of-the-week (DOW) effect behaves under different bull and bear market conditions in African stock markets, and to examine the likelihood of being in a bull or bear regime for each market....

Persistent link: https://www.econbiz.de/10012120266