This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is measured and used to forecast future stock returns. We find that two of...

Purpose – The purpose of this paper is to assess the performance of a contrarian investment strategy focusing on frequently traded large-cap U.S. stocks. We address previous criticisms that losers' gains are not due to overreaction but due to their tendency to be thinly traded and...

This paper proposes a two-state Markov-switching model for stock market returns in which the state-dependent expected returns, their variance and associated regime-switching dynamics are allowed to respond to market information. More specifically, we apply this model to examine the explanatory...

Marijuana has been a frequent essential of discussions by the investors around globe. The main reason for the rise in the popularity of the Marijuana is, (i) first, the legalization of Marijuana in two states of US (Colorado and Washington on January 1, 2014) and (ii) secondly, the extent to...

This paper investigates the presence of time-series and cross-sectional momentum profits and the relationship between these two types of profits in the Saudi Arabia stock market. Results confirm that time-series momentum and cross-sectional contrarian profits are present in this market. The...

This paper examines the momentum effect and its causes, the persistence in default risk change in particular, in both corporate bond and stock markets. Using a comprehensive bond dataset, we observe a significant momentum effect in corporate bond returns and bond credit spread changes. The...

This paper develops a behavioural asset pricing model in which traders are not fully rational as is commonly assumed in the literature. The model derived is underpinned by the notion that agents' preferences are affected by their degree of optimism or pessimism regarding future market states. It...

We investigate the impact of fraud risk - measured by the probability for earnings overstatements - on a firm's future stock market performance. Based on an out-of-sample estimation of individual firms' fraud risk, we find that stocks with higher fraud risk earn significantly lower stock market...

This paper aims to examine the contemporaneous relationship between trading volume and returns in the ETF market taking the stock market as a contrast. While past research using correlation analysis and OLS method to specify a linear regression model only catches the average relationship between...

Trend extrapolation in financial markets has been well documented, however it is contentious as to which trends will be extrapolated or mean reverted. We examine whether investors are more likely to extrapolate trends that they perceive to be salient by examining an investment strategy that...