Results 71 to 80 of about 13,953 (241)

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, Uchenna C. Onuoha, Poojan Patel   +2 more
wiley   +1 more source

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, Wagner Moura Lamounier, Aureliano Angel Bressan   +2 more
doaj   +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

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, Diego Víctor De Mingo‐López, Andrew Urquhart   +2 more
wiley   +1 more source

Does the Conditional CAPM Work? Evidence from the Istanbul Stock Exchange [PDF]

This paper tests whether the conditional CAPM accurately prices assets utilizing data from the Istanbul Stock Exchange (ISE) over the time period from February 1997 to April 2008. In our empirical analysis, we closely follow the methodology introduced in
Atakan Yalcýn, Nuri Ersahin
core  

Green Window Dressing

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, Dejan Glavas, G. Andrew Karolyi   +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, Puah, Chin-Hong, Yong, Ying-Kiu   +2 more
core   +1 more source

Stock Return Prediction Based on a Functional Capital Asset Pricing Model

Journal of Forecasting, Volume 44, Issue 6, Page 2017-2036, September 2025.
ABSTRACT The capital asset pricing model (CAPM) is readily used to capture a linear relationship between the daily returns of an asset and a market index. We extend this model to an intraday high‐frequency setting by proposing a functional CAPM estimation approach.
Ufuk Beyaztas, Kaiying Ji, Han Lin Shang, Eliza Wu   +3 more
wiley   +1 more source

Multifactor consumption based asset pricing model of the UK stock market: The US stock market as a wealth reference [PDF]

, 2011
Copyright @ 2011 University of BirminghamHere a multifactor model of UK stock returns is developed, replac- ingHere a multifactor model of UK stock returns is developed, replacing the conventional consumption habit reference by a relation that depends on
Hunter, J, Wu, F
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