Results 31 to 40 of about 6,611 (148)
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
The Value Premium and Time-Varying Unsystematic Risk [PDF]
Recent research has discussed the possible role of unsystematic risk in explaining equity returns. Simultaneously, but somehow independently, numerous other studies have documented the failure of the static and conditional capital asset pricing models to
Chris Brooks, Joelle Miffre, Xiafei Li
core
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
Business Strategy and the Environment, Volume 35, Issue 4, Page 5895-5925, May 2026.ABSTRACT This study examines the economic consequences of Digital Technologies Disclosure (DTD), focusing on its impact on the cost of capital. The increasing significance of digital transformation in shaping corporate strategies and market perceptions motivates the study.
Hussein Mohsen Saber Ahmed +2 more
wiley +1 more source
This paper explains the size and value anomalies' in stock returns using an economically motivated two-beta model. We break the CAPM beta of a stock with the market portfolio into two components, one reflecting news about the market's future cash flows ...
John Y. Campbell, Tuomo Vuolteenaho
core
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
The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets [PDF]
Recent empirical work indicates that, in a variety of financial markets, both conditional expectations and conditional variances of returns are time- varying. The purpose of this paper is to determine whether these joint fluctuations of conditional first
Alberto Giovannini, Philippe Jorion
core
CAPM and APT-like models with risk measures. [PDF]
The paper deals with optimal portfolio choice problems when risk levels are given by coherent risk mea sures, expectation bounded risk measures or general deviations. Both static and dynamic pricing models may be involved.
Balbás, Alejandro +2 more
core
Asymmetric correlations on the Croatian equity market [PDF]
This paper compares the equity market in Croatia in bad (bear or turbulent) and good (bull, calm) market conditions. The two market regimes are formally identified under the Markov Regime Switching (MRS) framework.
Davor Kunovac
core
Information sheet 25: Elodea nutallii, Nuttall's Pondweed [PDF]
, 2010 Information sheet on control of Elodea ...
Duenas, M.A., Newman, J.R.
core