Results 261 to 270 of about 1,142,689 (305)
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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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Journal of Financial Economics, 2003
This paper studies whether incorporating business cycle predictors is beneficial to a real time optimizing investor who must allocate funds across 3123 NYSE-AMEX stocks and the risk-free asset over the 1972-2003 period. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and ...
D AVRAMOV, T CHORDIA
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This paper studies whether incorporating business cycle predictors is beneficial to a real time optimizing investor who must allocate funds across 3123 NYSE-AMEX stocks and the risk-free asset over the 1972-2003 period. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and ...
D AVRAMOV, T CHORDIA
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Stock returns and inflation in Pakistan [PDF]
Economic Modelling, 2015 Abstract The nexus between stock returns and inflation is assessed for Pakistan using the methodology of frequency based causality and continuous wavelet transform over a long sample period 1961:M07–2012:M02. The preliminary investigation using the frequency based causality suggests interdependence of stock return and inflation.
Tiwari, Aviral Kumar +4 more
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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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Models of Stock Returns--A Comparison
The Journal of Finance, 1984ABSTRACTIn this paper a discrete mixture of normal distributions is proposed to explain the observed significant kurtosis (fat tails) and significant positive skewness in the distribution of daily rates of returns for a sample of common stocks and indexes.
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