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Good News, Bad News, No News : The Media and the Cross Section of Stock Returns

Naumer, Hans-Jörg - 2020

We examine the relationship between the tonality of news flow and the cross section of expected stock returns. We use a comprehensive definition of media coverage that includes both financial newspapers and mass media, represented by TV broadcasts. Using the total news flow with positive and...

Persistent link: https://www.econbiz.de/10012841196

How Do Short Selling Costs and Restrictions Affect the Profitability of Stock Anomalies?

Bekjarovski, Filip - 2018

Short selling frictions cannot explain the persistence of seven prominent stock anomalies. Long-only investing is robust and profitable and can be further enhanced by using a synthetic short. Moreover, portfolios restricted to stocks that are easy to short sell continue to have large and...

Persistent link: https://www.econbiz.de/10012932197

Do Dividend Distributions Affect Stock Returns?

Kvamvold, Joakim - 2018

We examine price impacts from dividend flows. Event study estimates show that stocks experience abnormal returns on the dividend distribution day. Results also show a spillover effect to non-dividend-paying stocks that are likely to be part of the same benchmark portfolio as the dividend-paying...

Persistent link: https://www.econbiz.de/10012936508

Optimal Trade Sizing in a Game with Favourable Odds : The Stock Market

Haghani, Victor - 2016

In this short note, we show investors one way to calculate ideal investment sizing by using two rules of thumb based on a simple outline of individual risk aversion. We illustrate these two heuristics, which are not widely appreciated, with thought experiments involving coin flips and ketchup &...

Persistent link: https://www.econbiz.de/10012978604

Weather-Induced Mood, Institutional Investors, and Stock Returns

Goetzmann, William N. - 2014

This study shows that weather-based indicators of mood impact perceptions of mispricing and trading decisions of institutional investors. Using survey and disaggregated trade data, we show that relatively cloudier days increase perceived overpricing in individual stocks and the Dow Jones...

Persistent link: https://www.econbiz.de/10013062987

Macro-Active Bond Mutual Funds

Hong, Claire Yurong; Pan, Jun; Tian, Shiwen - 2022

for active funds with larger idiosyncratic volatility. Their macro activeness also led them into record loss on September …

Persistent link: https://www.econbiz.de/10014239622

Corporate Bond Mutual Funds and Asset Fire Sales

Choi, Jaewon - 2019

Corporate bond mutual funds engage in liquidity transformation, raising concerns among academics and policymakers that large redemptions will lead to asset fire sales. We find little evidence, however, that bond fund redemptions drive fire sale price pressure after controlling for time-varying...

Persistent link: https://www.econbiz.de/10012903609

Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies

Petukhina, Alla A.; Reule, Raphael C. G.; Härdle, … - 2019

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …

Persistent link: https://www.econbiz.de/10012433234

Asset Price Effects of Peer Benchmarking : Evidence from a Natural Experiment

Acharya, Sushant - 2015

component of demand that is caused by peer benchmarking. We find that these peer effects generate excess stock return volatility …

Persistent link: https://www.econbiz.de/10013023314

Can Stock Analysts Predict Volatility?

Medovikov, Ivan - 2018

/B/E/S consensus recommendations issued for U.S.-listed equities during January 2015 with realized volatility of daily security returns … to be associated with future changes in volatility, suggesting that analyst ratings can help manage portfolio risk. This … relationship appears to be asymmetric and is most pronounced among the best-rated securities which experience largest volatility …

Persistent link: https://www.econbiz.de/10012917695