This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return...

This paper examines the impact of illiquidity on equity returns on the German stock market. Since illiquidity has many facets, we cover the whole spectrum of illiquidity measures: trading speed, trading costs, trading quantity, and price impact. Based on these illiquidity measures we construct...

Although most of the empirical and theoretical asset pricing literature predicts a positive or no signi ficant relationship between idiosyncratic volatility and returns, Ang et al. (2006, 2009) find that high idiosyncratic volatility stocks have low returns and vice versa. We deliver further...

The simple happenstance of the overall stock market being up or down for the day can explain a substantial portion of the abnormal return attached to corporate news announcements. In particular, we demonstrate that firm-specific news announcements that are typically met with a positive stock...

The sensitivity of stock valuations to expected earnings growth, termed as the growth premium, fluctuates substantially over time. This study empirically investigates whether these fluctuations can be explained by investor sentiment. The testable prediction is that investor sentiment affects the...

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock Exchange (TSE). ARMA- ARCH type models including two symmetric conditional hetroscedastic models; ARMA (1, 1) - ARCH (1) and ARMA (1, 1) - GARCH (1, 1) and two asymmetric...

Purpose – The purpose of this paper is to examine the direction of causality between foreign institutional investment (FII) trading volume and stock market returns in the Indian context. There is evidence of uni-directional causalities from stock returns to FII flows across various sample...

For most of the past decades, the Gulf Cooperation Council (GCC) region has experienced rapid expansion, driven largely by increasing energy revenues, and growth-focused government policies. As the region's population increases in size, and becomes wealthier and more urbanized, significant...

The Capital Asset Pricing Model (CAPM) argues that only systematic risk should be priced in the market; Specific or idiosyncratic risk does not deserve a risk premium. However, recent empirical studies have raised serious challenges to this belief It appears that “/3” as a measure of...