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Media coverage and price reactions to earnings news

Yu, Miao; Kyung, Hangsoo; Tsang, Albert - In: China journal of accounting research : CJAR 17 (2024) 3, pp. 1-24

In this study, we find that relative to firms with less media coverage, stock price sensitivity to positive (negative) earnings surprises in earnings announcements of firms with greater media coverage is stronger (weaker). This asymmetry in the effect of media coverage on stock price sensitivity...

Persistent link: https://www.econbiz.de/10015051119

The solar and lunar divide and the impact on Taiwan's stock returns

Yang, Der-Yuan; Lee, Chen Hsun - In: Cogent economics & finance 4 (2016) 1, pp. 1-8

Under the influence of the western world, the solar New Year celebration seems to have fascinated everyone in Taiwan with the lunar New Year festivity showing much less vigor. This paper examines the impact of the solar and lunar New Years on the stock market of Taiwan, showing that the lunar...

Persistent link: https://www.econbiz.de/10011487735

Who financed the expansion of the equity market? : shareholder clienteles in Victorian Britain

Acheson, Graeme G.; Campbell, Gareth; Turner, John D. - 2015

Who financed the great expansion of the Victorian equity market, and what attracted them to invest? Using data on 453 firm-years and over 172,000 shareholders, we find that the largest providers of capital were rentiers, men with no formal occupation who relied on investment income. We also see...

Persistent link: https://www.econbiz.de/10011350724

Half-life estimates of COVID19, investor sentiment, and the stock market

Xiao, Lin; Aumeboonsuke, Vesarach - In: Thailand and the world economy 41 (2023) 3, pp. 134-158

The half-life is used to estimate the adjustment speed of a variable to a new equilibrium point after being affected by the impulse response of a unit of shocks. The paper examines the adjustment speed of COVID19, investor sentiment, and the stock market through half-life estimates over the...

Persistent link: https://www.econbiz.de/10014439454

Size, value and liquidity : do they really matter on an emerging stock market?

Lischewski, Judith; Voronkova, Svitlana - 2010

Schwellenländern erklären. Sie fokussiert auf den polnischen Aktienmarkt, der bisher in diesem Forschungsbereich nicht berücksichtigt …, Unternehmensgröße und Buch-zu-Marktwert analysieren wir daher, inwiefern Liquidität bei der Preisbildung auf dem polnischen Aktienmarkt … Aktienmarkt relevant sind. Im Gegensatz zu den Erwartungen bezüglich des Einflusses des Liquiditätsfaktors finden wir keinen …

Persistent link: https://www.econbiz.de/10008660508

Dynamic interactions between foreign institutional investment flows and stock market returns : the case of India

Bulsara, Hemantkumar P.; Dhingra, Vaishali Samir; … - In: Contemporary economics 9 (2015) 3, pp. 271-298

There has been a marked increase in the magnitude of Foreign Institutional Investments (FIIs) into India since the 1990s, resulting in increased forex reserves and liquidity and a higher-valued Indian capital market. However, such investment is more volatile than other types of flows, causing...

Persistent link: https://www.econbiz.de/10011392151

Risk, uncertainty, and expected returns

Bali, Turan G.; Zhou, Hao - 2013 - First Draft: March 2011, This Version: January 2013

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks...

Persistent link: https://www.econbiz.de/10009710603

Cross-sectional analysis of stock returns in Athens Stock Exchange for the period 2004-2011

Svingou, Argiro - In: Spoudai : journal of economics and business 63 (2013) 1/2, pp. 100-120

This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into...

Persistent link: https://www.econbiz.de/10010255677

A neglected semi-stylized fact of daily stock returns

Davies, Patrick Laurie; Krämer, Walter - 2016

We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...

Persistent link: https://www.econbiz.de/10011444114

Betting against beta (and gamma) using government bonds

Durham, J. Benson - 2015

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...

Persistent link: https://www.econbiz.de/10010467093