Results 51 to 60 of about 284 (173)
Análise do "efeito tamanho" nos retornos das ações de empresas listadas na Bovespa
Revista Contabilidade & Finanças, 2006 Neste estudo, o desempenho das ações negociadas na Bovespa foi analisado entre 17 de março de 1998 e 3 de agosto de 2004. Primeiramente, foram feitos testes de estacionariedade para se verificar se as ações seguiram o modelo de passeio aleatório ...
Gustavo Amorim Antunes +2 more
doaj +1 more source
Assessing the relevance of sell‐side analyst recommendations
Review of Financial Economics, Volume 44, Issue 1, January 2026.Abstract This paper evaluates the informational value and alpha‐generating potential of sell‐side analyst recommendations. We explore this by employing a monthly portfolio‐sorted long‐short strategy based on consensus analyst recommendations. Our findings indicate that the long‐short equal‐weighted and value‐weighted portfolios yield significant excess
Ekene S. Aguegboh +2 more
wiley +1 more source
Partial Observability of Implied Volatility Matrices: Identification and Covolatilities Filtering
Mathematical Finance, Volume 36, Issue 1, Page 48-66, January 2026.ABSTRACT Whereas data on implied volatilities are available for a large number of assets, this is less frequently the case of implied covolatilities. We introduce a new approach based on static and dynamic Wishart models to solve this problem of missing data.
Christian Gouriéroux, Yang Lu
wiley +1 more source
Return and Volatility Spillover Under Bearish and Bullish Market Conditions: The Case of the Stock Market and Its Competing Markets in Iran [PDF]
فصلنامه پژوهشهای اقتصادی ایرانGiven the interconnected nature of financial markets, understanding the relationships among them is essential for investors and traders in selecting optimal portfolios, and for policymakers in adopting appropriate monetary and financial policies.
Majid Aghaei, Amin Razinataj
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A Conditional Higher-Moment CAPM
International Review of Financial Analysis, 2022 Vasco Vendrame +2 more
openaire +1 more source
Persistence and Market Timing Ability of Cryptocurrency Funds
Financial Management, Volume 54, Issue 4, Page 791-816, Winter 2025.ABSTRACT Growth in cryptocurrency funds has followed the wider expansion of the cryptocurrency sector. In this paper, we study the performance persistence and market timing ability of cryptocurrency fund managers. We show that cryptocurrency funds produce remarkable levels of abnormal returns.
Thomas Conlon +2 more
wiley +1 more source
The Journal of Finance, Volume 80, Issue 6, Page 3555-3588, December 2025.ABSTRACT This paper establishes that mutual funds strategically time their trades in environmental, social, and governance (ESG) stocks around disclosure dates to inflate their sustainability ratings. This claim is supported by three empirical findings.
GIANPAOLO PARISE, MIRCO RUBIN
wiley +1 more source
Do ESG factors influence firm valuations? Evidence from the field
Financial Review, Volume 60, Issue 4, Page 1191-1223, November 2025.Abstract We present results of a survey of more than 300 European financial professionals on best practices in integrating environmental, social, and governance (ESG) factors into corporate valuations. We find external stakeholders, such as investment advisors and financial consultants, are significantly more likely than corporate insiders, such as ...
Franck Bancel +2 more
wiley +1 more source
Investigating the sources of Black’s leverage effect in oil and gas stocks
Cogent Economics & Finance, 2017 The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility ...
Muhammad Surajo Sanusi
doaj +1 more source
Conditional Relationship Between Beta and Return in the US Stock Market
Expert Journal of Business and Management, 2016 According to the CAPM, risk is measured by the beta, and the relation between required expected return and beta is linear. This paper examines the conditional relationship between beta and return in the US stock market.
Bing XIAO
doaj