Investor clientele and intraday patterns in the cross section of stock returns
Sign Up to like & getrecommendations! Published in 2024 at "Review of Quantitative Finance and Accounting"
DOI: 10.1007/s11156-024-01319-8
Abstract: This paper examines the existence of a well documented (Heston et al. in J Finance 65:1369–1407) (hereafter HKS 2010) intraday momentum pattern in the cross section of stock returns for three previously un-examined markets outside… read more here.
Keywords: cross section; finance; section stock; intraday ... See more keywords
Residual momentum and the cross-section of stock returns: Chinese evidence
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DOI: 10.1016/j.frl.2018.07.009
Abstract: In this paper, I find that sorting stocks into portfolios based on their residual, as opposed to raw past returns, generates significant profits in the Chinese equity market and cannot be subsumed by the well-established… read more here.
Keywords: stock returns; residual momentum; momentum; section stock ... See more keywords
Idiosyncratic skewness and cross-section of stock returns: Evidence from Taiwan
Sign Up to like & getrecommendations! Published in 2021 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2021.101816
Abstract: Abstract In this study, we examine whether idiosyncratic skewness (IS) affects the returns of the Taiwan stock market. We find that speculative retail investors prefer positive skewness in stocks that leads them to overprice these… read more here.
Keywords: skewness; skewness cross; idiosyncratic skewness; section stock ... See more keywords