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ESG Preference, Institutional Trading, and Stock Return Patterns.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Aug2023, Vol. 58 Issue 5, p1843-1877. 35p.
Abstract: Socially responsible (SR) institutions tend to focus more on the environmental, social, and governance (ESG) performance and less on quantitative signals of value. Consistent with this difference in focus, we find that SR institutions react less to qua...
A Study of Multifactor Quantitative Stock-Selection Strategies Incorporating Knockoff and Elastic Net-Logistic Regression.
Publication Type: Academic Journal
Source(s): Mathematics (2227-7390). 8/15/2023, Vol. 11 Issue 16, p3502. 20p.
Abstract: In the data-driven era, the mining of financial asset information and the selection of appropriate assets are crucial for stable returns and risk control. Multifactor quantitative models are a common method for stock selection in financial assets, so i...
Carbon Emissions and Stock Returns: The Case of Russia.
Publication Type: Academic Journal
Source(s): Journal of Risk & Financial Management. Aug2023, Vol. 16 Issue 8, p370. 14p.
Abstract: Russia is taking the first steps in the formation of an emissions trading system. In this article, we studied the impact of carbon risk on Russian stock returns. We link carbon risk to CO2 emissions and air protection costs. We suggest that carbon firm...
Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation.
Publication Type: Academic Journal
Source(s): Data (2306-5729). Aug2023, Vol. 8 Issue 8, p133. 22p.
Abstract: Value at risk is a statistic used to anticipate the largest possible losses over a specific time frame and within some level of confidence, usually 95% or 99%. For risk management and regulators, it offers a solution for trustworthy quantitative risk m...
Institutional Investors, Households, and the Time-Variation in Expected Stock Returns.
Publication Type: Academic Journal
Source(s): Journal of Financial & Quantitative Analysis. Feb2023, Vol. 58 Issue 1, p352-391. 40p.
Abstract: I document a new stylized fact: The higher the degree of institutional ownership (IO) in a portfolio, the more time-varying expected returns rather than changes in expected cash flows drive changes in its valuation. Empirical evidence suggests that ins...
IT DEPENDS ON WHEN YOU SEARCH.
Publication Type: Academic Journal
Source(s): MIS Quarterly. Mar2023, Vol. 47 Issue 1, p263-279. 17p. 1 Diagram, 13 Charts.
Abstract: Existing studies have found that online search is a revealed measure for investor attention and a useful predictor of stock returns. We study the heterogeneity in retail investor attention by comparing search conducted on weekdays vs. weekends and inve...
Overflow Effect of COVID-19 Pandemic on Stock Market Performance: A Study Based on Growing Economy.
Publication Type: Academic Journal
Source(s): Discrete Dynamics in Nature & Society. 7/21/2023, p1-12. 12p.
Abstract: Purpose. The purpose of this study is to evaluate the effect that COVID-19 has on the performance of the stock market in emerging economies. The findings as a whole demonstrate that the stock market does not react significantly. We believe that the out...
Profitability and Market on Stock Returns in Mining Companies on The Indonesia Sharia Stock Index for the 2016 - 2020 Periods.
Publication Type: Academic Journal
Source(s): Maliki Islamic Economics Journal (M-IEC Journal). Jun2023, Vol. 3 Issue 1, p32-45. 14p.
Abstract: The returns obtained from investment decisions made by businesses, individuals, and organizations. Utilizing panel data regression, the research collected data from the annual reports and financial statements of mining firms listed in the Indonesian sh...
Fear of COVID-19 Effect on Stock Markets: A Proposal for an Algorithmic Trading System Based on Fear.
Publication Type: Academic Journal
Source(s): Journal of Theoretical & Applied Electronic Commerce Research. Jun2023, Vol. 18 Issue 2, p1142-1156. 15p.
Abstract: This study analyzes the fear of COVID-19 effect on European stock market returns. For this purpose, the search volumes (SV) collected by Google Trends (GT) and Wikipedia were used as proxies of fear of COVID-19. In a sample from 13 European stock marke...
Firm Size as a Moderation Variable on The Effect of Inflation, Interest Rates, and Reputation of the Public Accounting Firm on Realized Stock Return.
Publication Type: Academic Journal
Source(s): Dinasti International Journal of Management Science (DIJMS). May2023, Vol. 4 Issue 5, p918-931. 14p.
Abstract: Return and risk are two things that cannot be separated. Market risk in the capital market arises due to the changing economic conditions of a country. This study aims to determine the effect of inflation, interest rates and the reputation of a public ...