Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Jun2022, Vol. 57 Issue 4, p1377-1408. 32p.

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...

Publication Type:Academic Journal

Source(s):Review of Financial Studies. May2022, Vol. 35 Issue 5, p2246-2307. 62p.

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...

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...

Publication Type:Academic Journal

Source(s):Journal of Financial & Quantitative Analysis. Mar2022, Vol. 57 Issue 2, p455-484. 30p.

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...

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1443-1479. 37p.

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...

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1480-1526. 47p.

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 ...

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Mar2022, Vol. 35 Issue 3, p1348-1393. 46p.

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...

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 ...

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.

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 ...

Publication Type:Academic Journal

Source(s):Ekonomik Yaklasim. 2022, Vol. 33 Issue 123, p147-171. 25p.

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...