Asymmetrical impacts from overnight returns on stock returns
Sign Up to like & getrecommendations! Published in 2020 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-020-00911-y
Abstract: This paper documents significant relationship between overnight returns and future stock returns in the long-term where high averages of overnight returns lead to low future stock returns, with formation periods ranging from 1 month to 1 year.… read more here.
Keywords: overnight returns; future stock; variations overnight; returns lead ... See more keywords
Does the volatility of volatility risk forecast future stock returns?
Sign Up to like & getrecommendations! Published in 2019 at "Journal of International Financial Markets, Institutions and Money"
DOI: 10.1016/j.intfin.2019.02.001
Abstract: This study investigates whether the forward-looking volatility of aggregate volatility (VOV) risk forecasts future stock returns in the US equity market. We find that stocks with higher sensitivities to changes in VOV constructed from VIX… read more here.
Keywords: stock returns; future stock; volatility; risk ... See more keywords
Abnormally long audit report lags and future stock price crash risk: evidence from China
Sign Up to like & getrecommendations! Published in 2019 at "International Journal of Managerial Finance"
DOI: 10.1108/ijmf-07-2018-0213
Abstract: PurposeAlthough a substantial body of literature investigates the determinants of audit report lag (ARL), scant empirical evidence exists on the consequences of ARL. The purpose of this paper is to examine the association between abnormally… read more here.
Keywords: stock price; future stock; abnormally long; price crash ... See more keywords