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Analyst recommendations and volatility in a rising, falling, and crisis equity market

Corbet, Shaen; Dowling, Michael; Cummins, Mark - In: Finance research letters 15 (2015), pp. 187-194

Persistent link: https://www.econbiz.de/10011553187

The role of analysts: an examination of the idiosyncratic volatility anomaly in the Chinese stock market

Gu, Ming; Jiang, George J.; Xu, Bu - In: Journal of empirical finance 52 (2019), pp. 237-254

Persistent link: https://www.econbiz.de/10012171127

Using fundamental earnings factors to forecast equity market volatility

Mozes, Haim A.; Steffens, John Launny - In: The journal of trading 11 (2016) 2, pp. 5-10

Persistent link: https://www.econbiz.de/10011697443

BM(book-to-market ratio) factor : medium-term momentum and long-term reversal

Wei-qi, Liu; Jingxing, Zhang - In: Financial innovation : FIN 4 (2018) 1, pp. 1-29

To explain medium-term momentum and long-term reversal, we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio. According to the CAPM model’s zero explanatory ability with respect to stock market anomalies, we obtain an anomaly interpretative...

Persistent link: https://www.econbiz.de/10011825744