Another Look at Large-Cap Stock Return Comovement: A Semi-Markov-Switching Approach
Sign Up to like & getrecommendations! Published in 2018 at "Computational Economics"
DOI: 10.1007/s10614-016-9596-x
Abstract: The paper revisits the question of how stock return comovement varies with volatility and market returns. I propose an eigenvalue-based measure of comovement implied by the state-dependent correlation matrix estimated using a novel multivariate semi-Markov-switching… read more here.
Keywords: markov switching; stock return; comovement;
Investment styles and the multiple testing of cross-sectional stock return predictability
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2020.100598
Abstract: Abstract The scheme of simultaneously testing many profitable strategies may conceal the hazard of data-snooping bias. However, certain portfolio returns are also more likely to exhibit codependency because of their same investment styles. Aiming at… read more here.
Keywords: investment styles; stock return; multiple testing;
Stock return predictability in the time of COVID-19
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DOI: 10.1016/j.frl.2020.101705
Abstract: We examine predictive ability of a relatively large number of variables from currency, bond and commodity markets for US stock returns during the COVID-19 crisis. As a novel contribution, we estimate robust Lasso predictive regressions… read more here.
Keywords: stock return; predictability time; finance; return predictability ... See more keywords
Economic constraints and stock return predictability: A new approach
Sign Up to like & getrecommendations! Published in 2019 at "International Review of Financial Analysis"
DOI: 10.1016/j.irfa.2019.02.007
Abstract: Abstract In this paper, we propose a new approach to impose economic constraints on the time-series forecasts of stock return. It is unlikely or risky for a rational investor to rely on forecast outliers to… read more here.
Keywords: economic constraints; new approach; approach; constraint ... See more keywords
Stock return ignorance
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DOI: 10.1016/j.jfineco.2021.06.016
Abstract: Abstract Optimal stock investment decisions rely on assessments of the distribution of expected returns. Using a representative sample, we find over half the US population cannot answer simple questions on expected stock returns. Respondents who… read more here.
Keywords: stock return; return ignorance; return; stock ... See more keywords
Credit derivatives and stock return synchronicity
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DOI: 10.1016/j.jfs.2016.12.006
Abstract: The role of credit default swaps (CDS) in the 2008 financial crisis has been widely debated among regulators, investors, and researchers. While CDS were blamed for destabilizing the financial system, they remain effective tools for… read more here.
Keywords: credit; synchronicity; stock return; firm specific ... See more keywords
Will firm quality determine the relationship between stock return and idiosyncratic volatility? A new investigation of idiosyncratic volatility
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Asset Management"
DOI: 10.1057/s41260-017-0044-9
Abstract: Idiosyncratic volatility generates a lot of interest in literature, as there are conflicting evidences regarding the relationship between stocks’ idiosyncratic volatility and future returns. In this paper, we re-investigate this relationship. We argue that the… read more here.
Keywords: quality; volatility; idiosyncratic volatility; stock return ... See more keywords
Lagged country returns and international stock return predictability during business cycle recession periods
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DOI: 10.1080/00036846.2020.1752899
Abstract: ABSTRACT This study examines stock return predictability in business cycle fluctuations across 17 developed countries and 26 developing countries over the period from January 1970 to December 2019. We uncover that lagged U.S. returns can… read more here.
Keywords: stock return; return predictability; predictability business; return ... See more keywords
The effects of corporate governance on the stock return volatility
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DOI: 10.1108/ijlma-01-2017-0010
Abstract: The purpose of this study is to investigate the relationship between the stock return volatility, the outside and the independent directors.,The volatility, as the dependent variable in the model, is measured by the standard deviation… read more here.
Keywords: return volatility; volatility; stock return; corporate governance ... See more keywords
Presidential elections and stock return volatility: evidence from selected sub-Saharan African stock markets
Sign Up to like & getrecommendations! Published in 2023 at "Journal of Financial Economic Policy"
DOI: 10.1108/jfep-02-2023-0033
Abstract: Purpose This paper aims to investigate the effect of presidential elections on stock return volatility in five leading stock markets in sub-Saharan Africa. Design/methodology/approach This paper uses various criteria to select an appropriate generalized autoregressive… read more here.
Keywords: presidential elections; stock return; elections stock; volatility ... See more keywords
The relationship between corporate forward-looking disclosure and stock return volatility
Sign Up to like & getrecommendations! Published in 2018 at "Problems and perspectives in management"
DOI: 10.21511/ppm.16(3).2018.11
Abstract: The study assesses corporate forward-looking disclosure by measuring four attributes, namely disclosure quantity, disclosure coverage, disclosure concentration and disclosure quality, through a sample of 34 listed firms in the Bahrain Bourse from 2014 to 2017.… read more here.
Keywords: return volatility; stock return; disclosure; forward looking ... See more keywords