The impacts of institutional ownership on stock returns
Sign Up to like & getrecommendations! Published in 2020 at "Empirical Economics"
DOI: 10.1007/s00181-018-1519-3
Abstract: The relation between institutional investors’ trading persistence and stock returns is still not clear. Despite the fact that previous studies have demonstrated the persistence of institutional trading can be short-term positively correlated with following stock… read more here.
Keywords: institutional ownership; term; stock returns; stock ... See more keywords
Does cross-shareholding lead to China's stock returns comovement? Evidence from a GMM-based spatial AR model
Sign Up to like & getrecommendations! Published in 2021 at "Empirical Economics"
DOI: 10.1007/s00181-020-02002-2
Abstract: This investigation investigates how the cross-shareholding network leads to stock returns’ comovement and makes an empirical test using a spatial autoregressive model with multiple weighted matrices. The cross-shareholding network leads to a significant and considerable… read more here.
Keywords: cross shareholding; stock returns; network; returns comovement ... See more keywords
Stock returns and inflation: a tale of two periods in India
Sign Up to like & getrecommendations! Published in 2018 at "Economic Change and Restructuring"
DOI: 10.1007/s10644-018-9231-z
Abstract: The relationship between stock returns and inflation has been tested in relation to hedge ability of stocks against inflation. The study covers a period of over five decades (1960–2014) and examines both pre- and post-structural… read more here.
Keywords: tale two; stock returns; returns inflation; inflation tale ... See more keywords
Market Conditions and Calendar Anomalies in Japanese Stock Returns
Sign Up to like & getrecommendations! Published in 2018 at "Asia-Pacific Financial Markets"
DOI: 10.1007/s10690-018-9263-4
Abstract: This study revisits calendar anomalies in Japanese stock returns to examine whether they can be explained by market conditions. Results of the OLS and GARCH (1,1) regression models show that most of the well-known calendar… read more here.
Keywords: calendar anomalies; stock returns; market; japanese stock ... See more keywords
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
The asymmetric effect of air quality on cross-industries’ stock returns: evidence from China
Sign Up to like & getrecommendations! Published in 2019 at "Environmental Science and Pollution Research"
DOI: 10.1007/s11356-019-06283-8
Abstract: This paper offers a perspective for the link between air quality and stock returns in China through quantile Granger causality test. Compared to previous studies, the study makes the following innovations. Given the Chinese government… read more here.
Keywords: quality; stock returns; air quality; cross industries ... See more keywords
Returns to scale, operating leverage, and expected stock returns
Sign Up to like & getrecommendations! Published in 2017 at "Eurasian Business Review"
DOI: 10.1007/s40821-016-0053-5
Abstract: The asset pricing literature demonstrates a positive association between operating leverage and expected stock returns. We uniquely examine the predictive power of operating leverage on expected stock returns, in light of the industry returns to… read more here.
Keywords: expected stock; returns scale; operating leverage; stock returns ... See more keywords
Asymmetric causality between oil price and stock returns:A sectoral analysis
Sign Up to like & getrecommendations! Published in 2019 at "Economic Analysis and Policy"
DOI: 10.1016/j.eap.2019.06.002
Abstract: Abstract The majority of past studies assessed the impact of oil price on stock returns using aggregate stock price index from different countries and assuming the effects to be symmetric. In this paper, we investigate… read more here.
Keywords: oil price; stock returns; price stock; price ... See more keywords
Music sentiment and stock returns
Sign Up to like & getrecommendations! Published in 2020 at "Economics Letters"
DOI: 10.1016/j.econlet.2020.109260
Abstract: We develop a novel measure of investor sentiment based on the valence of songs that individuals listen to. Our measure of music sentiment captures seasonal and weather-induced mood swings and is associated with a systematic… read more here.
Keywords: music sentiment; sentiment stock; stock returns; sentiment ... See more keywords
Cross-quantilogram-based correlation and dependence between renewable energy stock and other asset classes
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2019.02.014
Abstract: We study the cross-quantile dependence of renewable energy (RE) stock returns on aggregate stock returns, changes in oil and gold prices, and exchange rates. Applying a recently developed cross-quantilogram approach, we provide two novel findings.… read more here.
Keywords: renewable energy; stock returns; dependence renewable; stock ... See more keywords
Impact of proved reserves on stock returns of U.S. oil and gas corporations using firm-level data
Sign Up to like & getrecommendations! Published in 2020 at "Energy Economics"
DOI: 10.1016/j.eneco.2020.104951
Abstract: Abstract In this paper we investigate the impact of changes in proved reserves on U.S. stock returns using firm level data of the largest U.S. oil and gas companies. The selected sample covers the period… read more here.
Keywords: reserves stock; stock returns; oil gas; oil ... See more keywords