...Ho Hoang Gia Bao; Thi Hai Ly Tran; Thi Thu Hong Dinh Purpose This paper scrutinizes the relationship between idiosyncratic risks and stock returns at different quantiles, especially the extremely low and high ones, to explore the applicability of the Prospect Theory’s rationale in Vietnam’s stock...

... 09 01 2024 © Emerald Publishing Limited 2024 Emerald Publishing Limited Licensed re-use rights only Sell in May effect Halloween effect Market anomalies Seasonality Stock returns The possibility of exploiting potential market predictabilities continues to make financial...

...Qiang Bu; Jeffrey Forrest Purpose The authors compare sentiment level with sentiment shock from different angles to determine which measure better captures the relationship between sentiment and stock returns. Design/methodology/approach This paper examines the relationship between investor...

... trading volume ratio and provided the capital asset pricing model and Fama–French five-factor alphas. To determine whether MOS had predictive ability on future stock returns after controlling for company characteristic effects, the authors formed double-sorted portfolios and performed Fama–Macbeth...

... Limited 2022 Emerald Publishing Limited Licensed re-use rights only Stock returns Differential pricing of earnings components Cash flows Moderate total accruals Extreme total accruals Reported numbers can be considered informative if they assist investors in making more informed...

... during 2009–2019, the authors build a measure of investors’ overreaction, which is based on trading volume and the sign of stock returns. Consequently, to investigate whether momentum exits after controlling for overreaction, the authors carefully compare trading strategies based on overreaction...

...- and second-moment exchange rate exposure. Findings Using weekly data over the period August 10, 2005–January 1, 2020 on 40 Chinese sector stock returns, the authors find strong evidence of first-moment exchange rate exposure. In particular, 65% (26 out of 40) of sectors examined have significant first...

... costs. Dark pools Informed trading Liquidity Short selling Stock returns G10 G12 The term “dark pool” describes a venue for trading securities that lack transparency. Dark pools were introduced in the late-1980s to provide institutional investors with an outlet away from...

...), (0, +5), (+5, +10), (+10, +15), (+15, +20), (+20, +30) and (+30, +35), have been considered to apprehend the leakage effect. The market model is used to assess the expected returns. Regression of a stock’s returns against a market index is done to calculate the expected returns. S&P BSE 500...

... reached a peak with $6.8 billion in 2014 [9] . Corporate finance Growth Financial performance Stock returns Energy industry This research considers the performance of two organizational structures during a period where new technology transforms a slow growth industry into one with rapid...

... Publishing Limited Licensed re-use rights only Rashid Ameer can be contacted at: rameer@ipc.ac.nz New Zealand Corporate social responsibility Stock returns Portfolio management Communication strategy Various stakeholders react to a company’s corporate social responsibility (CSR...

... improves overall bank performance by decreasing litigation risk. © Emerald Publishing Limited 2017 Emerald Publishing Limited Licensed re-use rights only Corporate governance Financial performance Litigation Risk Stock returns Financial institutions Kuntara Pukthuanthong can...

... Group Publishing Limited Licensed re-use rights only Finance Econometrics Financial modelling Stock returns Tobin’s q is a device through which financial conditions are channeled to the real sector – especially real investment [1] (Tobin, 1969). It is also the keystone...

...Tony Chieh-Tse Hou; Phillip McKnight; Charlie Weir Purpose The purpose of this paper is to investigate the role of earnings forecast revisions by equity analysts in predicting Canadian stock returns Design/methodology/approach The sample covers 420 Canadian firms over the period 1998-2009...

... compute the cumulative average stock returns over months (T₁, T_{2) as: (Equation 1) where RRjt is the raw return on stock j in month t and N denotes the number of stocks in the sample. The median cumulative raw}...

... in the equations below. Asset allocation Diversification Stock returns Portfolio investment Investments Securities Over the last 15 years the financial markets have witnessed the dot.com boom and bust, low inflation, a real estate bubble bursting, the near collapse of the banking system, a bond...

... the relation between the dollar’s value and stock prices as it relates to monetary policy. Design/methodology/approach – The authors examine US stock returns over a 40-year period, which is classified according to monetary policy and dollar trend. To better understand the impact of foreign exchange...

...Andre Mollick; Khoa H Nguyen Purpose – The purpose of this is paper is to pay a closer look at the 2008-2009 financial crisis (and its aftermath) and analyzes stock returns of nine major US oil companies as well as the oil and gas sector under daily data from January 1992 to April 2012...

... in the small-cap space. Again, prior research has shown the VP to exist at its greatest strength, if not exclusively, in this strata of the market [7] . © Emerald Group Publishing Limited 2015 Investment funds Stock returns Portfolio investment If the value premium (VP) exists...

... varying impact on individual stock variance. Design/methodology/approach – GARCH-M models estimate individual stock returns belonging to the DJIA in 2011 on its lags and on the ARCH-M term in the mean equation linking stock returns to the variance equation. The longest time span has 5,738...