...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 Our review shows that although the Sell in May effect may be slightly weakening, the effect...

...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...

... to enhance the outcome of their informed investment and credit decisions. Wael Mostafa can be contacted at: waelsedik@hotmail.com 18 05 2022 29 10 2022 15 12 2022 © Emerald Publishing Limited 2022 Emerald Publishing Limited Licensed re-use rights only Stock returns...

... 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...

... 27 03 2020 29 04 2020 29 04 2020 © Emerald Publishing Limited 2020 Emerald Publishing Limited Licensed re-use rights only Dark pools Informed trading Liquidity Short selling Stock returns G10 G12 We calculate the predicted value of Lag(DTC) and its residual...

...). Abnormal long-run stock returns and operating performance are observed for spin-off firms only and mostly for internally grown business units and non-focusing subsidiaries. Our study has not categorised the spin-offs into focus increasing and non-focus increasing. As per our review of literature...

... 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 growth. Our study compares publicly traded partnerships...

... the publicly available sources such as the annual reports, the CSR reports and sustainability reports because a layman investor is more likely to rely on these sources in a small economy. New Zealand Corporate social responsibility Stock returns Portfolio management Communication strategy...

... improves overall bank performance by decreasing litigation risk. Corporate governance Financial performance Litigation Risk Stock returns Financial institutions Risk is chemistry, it’s not particle physics. You cannot separate the risks (Mikes, 2010). The financial crisis of 2007...

... 2016 © Emerald Group Publishing Limited 2016 Emerald 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...

...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...

... to fraud commission (Pre-FC Beta) is 1.16, with a median of 1.00. The median stock price is $13.85 at the fraud commission date [6] . We compute the cumulative average stock returns over months (T₁, T_{2) as: (Equation 1) where RRjt}...

... Publishing Limited 2016 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...

... 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...

... stocks (FF _{growth) of the same size but opposite BE/ME characteristic: © Emerald Group Publishing Limited 2015 Investment funds Stock returns Portfolio investment If the value premium (VP) exists as a function of risk, then market-based value investment}...

... 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...