Improving momentum returns using generalized linear models
International Review of Finance, Volume 25, Issue 2, June 2025.Abstract We estimate the enduring momentum probabilities of past winners and losers continuing as future winners and losers by incorporating a comprehensive set of firm characteristics. Our results reveal that combining the price momentum signals and enduring momentum probabilities generates returns double those of the traditional price momentum ...
Hui Zeng +3 more
wiley +1 more source
Explaining and Predicting Momentum Performance Shifts Across Time and Sectors
Journal of Forecasting, Volume 44, Issue 3, Page 960-977, April 2025.ABSTRACT In this paper, we analyze the momentum of the NASDAQ and its major sectoral components across an extended period of key economic events, which include recessions, expansions, wars, financial crises, and the Covid‐19 health crisis. We seek to explain how momentum works as an investment strategy during different economic conditions and whether ...
Konstantinos Mamais +2 more
wiley +1 more source
Journal of Applied Econometrics, Volume 40, Issue 3, Page 325-340, April/May 2025.ABSTRACT Quantile regression provides a powerful tool for investigating the effects of covariates on key quantiles of a conditional distribution. However, we often lack a general picture of how covariates affect the overall shape of the conditional distribution.
Qiang Chen, Zhijie Xiao
wiley +1 more source
The impact of Shariah compliance on firm's performance and risk
Review of Financial Economics, Volume 43, Issue 2, Page 231-257, April 2025.Abstract This study investigates the performance and risk of compliant stocks at the firm level, where compliance is determined by satisfying two screening stages outlined by Islamic law. Our empirical analysis employs quarterly cross‐sectional regressions, assessing how compliance influences both performance and risk using a combination of market ...
Amel Farhat, Amal Hili
wiley +1 more source
Are Prestigious Directors Mere Attractive Ornaments on the Corporate Christmas Tree?
British Journal of Management, Volume 36, Issue 2, Page 667-685, April 2025.Abstract Using the United Kingdom's unique institutional setting of Queen's [now King's] honours, we examine the influence of director prestige on both short‐term and long‐term firm performance. We find that the market reacts positively to the appointments of Prestigious Award‐Winning Directors (PAWDs).
Harsh Khedar +2 more
wiley +1 more source
EPS‐motivated share repurchases and wealth transfer
Journal of Business Finance &Accounting, Volume 52, Issue 2, Page 722-749, April 2025.Abstract We study the association between earnings‐per‐share (EPS)‐motivated share repurchases and wealth transfer between the repurchasing firm's ongoing shareholders and selling/transacting shareholders. Compared to other repurchases, EPS‐accretive repurchases are associated with greater wealth transfer from ongoing to selling shareholders, thereby ...
Christina Mashruwala, Shamin Mashruwala
wiley +1 more source
Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics
The Journal of Finance, Volume 80, Issue 2, Page 783-832, April 2025.ABSTRACT We empirically analyze firm‐level uncertainty generated from extreme weather events, guided by a theoretical framework. Stock options of firms with establishments in a hurricane's (forecast) landfall region exhibit large implied volatility increases, reflecting significant uncertainty (before) after impact.
MATHIAS S. KRUTTLI +2 more
wiley +1 more source
Post-COVID pulmonary fungal infections: An unanticipated predicament or a ticking time bomb? Clinico-microbiological profile of cases encountered during the second wave of COVID-19 pandemic at a teaching hospital in the Himalayas with a brief literature review. [PDF]
J Family Med Prim Care, 2023 Puri O +9 more
europepmc +1 more source
Prevalence, predictors, and outcome of pulmonary mucormycosis in COVID-19 associated rhino orbital mucormycosis in a tertiary care center in South India. [PDF]
Curr Med Mycol, 2023 Thanjavur Sethuraman K +3 more
europepmc +1 more source
Contextualist model evaluation: models in financial economics and index funds. [PDF]
Eur J Philos Sci, 2023 Vergara-Fernández M +2 more
europepmc +1 more source