Results 121 to 130 of about 28,546 (167)
Double-Edged Sword of Global Financial Crisis and COVID-19 Pandemic on Crude Oil Stock Returns
, 2020 Adenomon MO, Emenogu NG.
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SSRN Electronic Journal, 2022
PurposeThe authors explore how the sentiment expressed by emojis in comments on stocks is associated with the stocks' subsequent returns.Design/methodology/approachBy applying our own analyzer, the authors find a sentiment effect of emojis on stocks returns separately to the plain text-expressed sentiment in Reddit posts about meme stocks such as ...
Felix Reschke, Jan-Oliver Strych
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PurposeThe authors explore how the sentiment expressed by emojis in comments on stocks is associated with the stocks' subsequent returns.Design/methodology/approachBy applying our own analyzer, the authors find a sentiment effect of emojis on stocks returns separately to the plain text-expressed sentiment in Reddit posts about meme stocks such as ...
Felix Reschke, Jan-Oliver Strych
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Nonstationarities in Stock Returns [PDF]
Review of Economics and Statistics, 2005 The paper outlines a methodology for analyzing daily stock returns that relinquishes the assumption of global stationarity. Giving up this common working hypothesis reflects our belief that fundamental features of the financial markets are continuously and significantly changing.
Cătălin Stărică +1 more
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SSRN Electronic Journal, 2003
Abstract This paper studies whether incorporating business cycle predictors benefits a real time optimizing investor who must allocate funds across 3,123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics.
D AVRAMOV, T CHORDIA
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Abstract This paper studies whether incorporating business cycle predictors benefits a real time optimizing investor who must allocate funds across 3,123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics.
D AVRAMOV, T CHORDIA
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Applied Financial Economics, 2009
In this article, we investigate the January effect on stocks traded at New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and National Association of Securities Dealers Automated Quotations (NASDAQ). Unlike other empirical works we suggest expanding the model to cover several main effects.
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In this article, we investigate the January effect on stocks traded at New York Stock Exchange (NYSE), American Stock Exchange (AMEX) and National Association of Securities Dealers Automated Quotations (NASDAQ). Unlike other empirical works we suggest expanding the model to cover several main effects.
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Are Indian stock returns predictable? [PDF]
Journal of Banking & Finance, 2015 In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable. While we discover that this predictability holds both in in-sample and out-of-sample tests, predictability is not homogenous.
Deepa, Paresh K Narayan
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The Distribution of Stock Returns
Journal of the American Statistical Association, 1972A detailed examination is made of the distribution of stock returns following reports that the distribution is best described by the symmetric stable class of distributions. The distributions are shown to be “fat-tailed” relative to the normal distribution but a number of properties inconsistent with the stable hypothesis are noted.
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Nonlinear Dynamics and Stock Returns
The Journal of Business, 1989Simple deterministic systems are capable of generating chaotic output that "mimics" the output of stochastic systems. For this reason, algorithms have been developed to distinguish between these two alternatives. These algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series.
Scheinkman, Jose A, LeBaron, Blake
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Disagreement, Underreaction, and Stock Returns
Management Science, 2017We explore analysts’ earnings forecast data to improve on one popular disagreement measure—the analyst forecast dispersion measure—proposed by Diether et al. [Diether KB, Malloy CJ, Scherbina A (2002) Differences of opinion and the cross section of stock returns. J. Finance 57:2113–2141].
Ling Cen, K. C. John Wei, Liyan Yang
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