Results 21 to 30 of about 13,843 (175)
Multiple Chains Markov Switching Vector Autoregression
Journal of Time Series Analysis, EarlyView.ABSTRACT Both the U.S. stock and bond returns exhibit distinct Markovian regimes. However, because these regimes display limited coherence, conventional models typically require highly parameterized systems to adequately capture their joint distribution.
Leopoldo Catania
wiley +1 more source
The Echo Effect of Momentum and Investor Trading Behavior
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT This study examines the momentum echo effect using cross‐sectional momentum (CMOM) and idiosyncratic momentum (IMOM) in the Korean stock market. The results document robust evidence for CMOM‐based portfolios, while IMOM‐based portfolios exhibit contrasting evidence.
Cheoljun Eom, Jong Won Park
wiley +1 more source
Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments [PDF]
, 2007 Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong.
Bossaerts, Peter +2 more
core +2 more sources
Wage Differentials, Firm Investment, and Stock Returns
International Review of Finance, Volume 26, Issue 2, June 2026.ABSTRACT This study investigates the effects of labor costs on firms' capital investments and stock returns. I estimate wage premia across US industries and show that the negative investment‐return relation implied by q$$ q $$‐theory is steeper for firms paying high wage premia than for firms paying low wage premia.
Yongjun Kim
wiley +1 more source
Strategic (Inconsistent) Disclosures and Sophisticated Investors: Evidence from Hedge Funds
Journal of Accounting Research, Volume 64, Issue 2, Page 923-978, May 2026.ABSTRACT Recent SEC regulations require that qualified hedge fund advisers provide their investors with narrative disclosures of their business and operations. We find that 40% of these disclosures omit or de‐emphasize information regarding advisers' operational and investment risks when compared to other sources of public information. Funds with such “
YICHANG LIU +2 more
wiley +1 more source
Skew Premiums Around Earnings Announcements
Financial Review, Volume 61, Issue 2, Page 533-554, May 2026.ABSTRACT We examine skew premiums in equity options around earnings announcements. We use the realized returns to delta‐neutral risk reversal option spreads as a proxy for the skew premiums. We find skew premiums are economically significant around earnings announcements and are not explained by changes in variance risk premiums.
Thaddeus Neururer, George Papadakis
wiley +1 more source
International Journal of Finance &Economics, Volume 31, Issue 2, Page 1780-1804, April 2026.ABSTRACT This paper studies herding and anti‐herding behaviour in three European stock markets before and during the Covid‐19 pandemic by employing both static and dynamic analysis. We examine four different questions related to herding behaviour: (i) Did herding behaviour increase during the pandemic? (ii) Does herding behaviour respond differently in
Dimitrios Asteriou +3 more
wiley +1 more source
International Journal of Finance &Economics, Volume 31, Issue 2, Page 2208-2228, April 2026.ABSTRACT This study investigates how ESG rating divergences and climate transition risks jointly influence portfolio performance. Using a newly constructed composite Environmental (E) score derived from principal component analysis (PCA) across three leading ESG providers (Eikon, RobecoSAM, Sustainalytics), we build industry‐adjusted portfolios for 389
Ahmed Bouteska +2 more
wiley +1 more source
Risk and return nexus in Malaysian stock market: Empirical evidence from CAPM [PDF]
This paper examines the applicability of CAPM in explaining the risk-return relation in the Malaysian stock market for the period of January 1995 to December 2006.
Md Isa, Abu Hassan +2 more
core +1 more source
A Conditional Higher-Moment CAPM
International Review of Financial Analysis, 2022 Vasco Vendrame +2 more
openaire +1 more source