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Corporate R&D and Stock Returns: International Evidence.
Publication Type:Academic Journal
Source(s):Journal of Financial & Quantitative Analysis. Jun2022, Vol. 57 Issue 4, p1377-1408. 32p.
- Authors:
- Hou, Kewei
- Hsu, Po-Hsuan
- Wang, Shiheng
Abstract:Firms with higher R&D intensity subsequently experience higher stock returns in international stock markets, highlighting the role of intangible investments in international asset pricing. The R&D effect is stronger in countries where growth option ris...
Model of Two Days: Discrete News and Asset Prices.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. May2022, Vol. 35 Issue 5, p2246-2307. 62p.
- Authors:
- Wachter, Jessica A
- Zhu, Yicheng
Abstract:Empirical studies demonstrate striking patterns in stock returns related to scheduled macroeconomic announcements. A large proportion of the total equity premium is realized on days with macroeconomic announcements. The relation between market betas an...
Can Shorts Predict Returns? A Global Perspective.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. May2022, Vol. 35 Issue 5, p2428-2463. 36p.
Abstract:Using multiple short-sale measures, we examine the predictive power of short sales for future stock returns in 38 countries from July 2006 to December 2014. We find that the days-to-cover ratio and the utilization ratio measures have the most robust pr...
Investor Attention and Stock Returns.
Publication Type:Academic Journal
Source(s):Journal of Financial & Quantitative Analysis. Mar2022, Vol. 57 Issue 2, p455-484. 30p.
- Authors:
- Chen, Jian
- Tang, Guohao
- Yao, Jiaquan
Abstract:We propose an investor attention index based on proxies in the literature and find that it predicts the stock market risk premium significantly, both in sample and out of sample, whereas every proxy individually has little predictive power. The index i...
Disagreement in the Equity Options Market and Stock Returns.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1443-1479. 37p.
- Authors:
- Golez, Benjamin
- Goyenko, Ruslan
Abstract:We estimate investor disagreement from synthetic long and short stock trades in the equity options market. We show that high disagreement predicts low stock returns after positive earnings surprises and high stock returns after negative earnings surpri...
Short-term Momentum.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1480-1526. 47p.
- Authors:
- Medhat, Mamdouh
- Schmeling, Maik
Abstract:We document a striking pattern in U.S. and international stock returns: double sorting on the previous month's return and share turnover reveals significant short-term reversal among low-turnover stocks, whereas high-turnover stocks exhibit short-term ...
Stock Return Extrapolation, Option Prices, and Variance Risk Premium.
Publication Type:Academic Journal
Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1348-1393. 46p.
- Authors:
- Atmaz, Adem
Abstract:This paper presents a tractable dynamic equilibrium model of stock return extrapolation in the presence of stochastic volatility. In the model, consistent with survey evidence, investors expect future returns to be higher (lower) but also less (more) v...
Vulnerability of Sustainable Islamic Stock Returns to Implied Market Volatilities: An Asymmetric Approach.
Publication Type:Academic Journal
Source(s):Discrete Dynamics in Nature & Society. 7/19/2022, p1-22. 22p.
Abstract:There has been increasing interests in the sustainable way of investing as enjoined by several sustainability initiatives. However, investors require effective portfolio diversification at various market conditions (stress, benign, and boom) and would ...
A Better Way to Assess Managerial Performance.
Publication Type:Periodical
Source(s):Harvard Business Review. Mar/Apr2022, Vol. 100 Issue 2, p134-141. 8p. 2 Color Photographs, 1 Black and White Photograph, 1 Diagram, 1 Chart, 2 Graphs.
- Authors:
- Desai, Mihir
- Egan, Mark
- Mayfield, Scott
Abstract:Total shareholder return (TSR) has become the definitive metric for gauging performance. Unlike accounting measures such as revenue growth or earnings per share that reflect the past, TSR is based on share price and thus captures investor expectations ...
Machine-Coded News-Based Sentiment Index for Turkey and its Impact on Exchange Rates.
Publication Type:Academic Journal
Source(s):Ekonomik Yaklasim. 2022, Vol. 33 Issue 123, p147-171. 25p.
- Authors:
- GÜNEŞ, Gökhan Şahin
Abstract:Bu çalışma, öncelikle, gazete haberleri üzerinde içerik analizi yaparak yüksek frekanslı haber tabanlı bir algı indeksi oluşturan otomatikleştirilmiş bir sistem geliştirmektedir. Bu sistem haberleri kelime sıklığına bağlı olarak iyi, kötü veya nötr ola...