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Stock Returns on US Capital Market During the First Half of February

Dumitriu, Ramona; Stefanescu, Razvan - 2023

This paper approaches the behavior of stock returns on US capital market during the first half of February. We use the closing values of four indexes from United States capital market for the period January 2011 - April 2023. We found, for all four indexes, abnormal high returns during the first...

Persistent link: https://www.econbiz.de/10014349713

The Extended January Effect on London Stock Exchange

Stefanescu, Razvan; Dumitriu, Ramona - 2023

Since their discovery, many calendar anomalies experienced different types of changes. This paper explores the possibility of enlargement of the time interval specific to the January Effect on London Stock Exchange. We investigate the abnormal returns presence on an extended time interval that...

Persistent link: https://www.econbiz.de/10014351025

New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets

Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

Persistent link: https://www.econbiz.de/10014254878

The Extended Holiday Effects on Bucharest Stock Exchange during Coronavirus Pandemic

Stefanescu, Razvan; Dumitriu, Ramona - 2021

In the recent times, the Coronavirus Pandemic substantially influenced the financial markets. Such influence includes the transformations experienced by some calendar anomalies. This paper investigates the Extended Holiday Effects presence on the returns of three indexes from the Bucharest Stock...

Persistent link: https://www.econbiz.de/10013228381

Economic Expectations and Stock Returns : Evidence from China Pakistan Economic Corridor

Oad Rajput, Suresh Kumar - 2020

The ongoing hype of China Pakistan Economic Corridor (CPEC) as a game-changer for the economy of Pakistan has induced a …

Persistent link: https://www.econbiz.de/10012843197

(Almost) 200 Years of News-Based Economic Sentiment

Binsbergen, Jules H. van; Bryzgalova, Svetlana; … - National Bureau of Economic Research - 2024

Using text from 200 million pages of 13,000 US local newspapers and machine learning methods, we construct a 170-year-long measure of economic sentiment at the country and state levels, that expands existing measures in both the time series (by more than a century) and the cross-section. Our...

Persistent link: https://www.econbiz.de/10014468226

Anomalies in the China A-share Market

Jansen, Maarten; Swinkels, Laurens; Zhou, Weili - 2021

This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A …-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period … 2000-2019. We find that value, risk, and trading anomalies carry over to China A-shares. Evidence for anomalies in the size …

Persistent link: https://www.econbiz.de/10013236384

The ‘Ex-Dividend Day’ Anomaly Under a Behavioral Dividend Clientele View : Evidence From China

Du, Huancheng - 2020

We propose a behavioral dividend clientele view to explain a unique “ex-dividend day” anomaly on the Chinese stock market. In particular, we find that on the ex-dividend day, the average CAPM-adjusted stock return is significantly below zero and the average trading volume significantly...

Persistent link: https://www.econbiz.de/10012829821

More Powerful Tests for Anomalies in the China A-Share Market

Jansen, Maarten; Swinkels, Laurens; Zhou, Weili - 2023

Research into asset pricing anomalies in the China A-share market is hampered given the short time series of available … covariance matrix. For the China A-share market, we find that the efficient sorting procedure doubles the t-statistics compared …

Persistent link: https://www.econbiz.de/10014254029

The stock market effects of Islamist versus non-Islamist terror

Jin, Gan; Karim, Md Rafiul; Schulze, Günther G. - 2024

We are the first to analyze the effect of terror on stock markets by terror ideology. Surprisingly, we find that Islamist terror attacks created significant negative abnormal returns in American and European markets, but the stock market effects of other terror attacks were almost nil. For our...

Persistent link: https://www.econbiz.de/10014478721