21,628 Results Found

This study examines the out-of-sample predictability of expected skewness of oil price returns, which serves as a metric for global future risks, as we show statistically through the association with crises of different nature, for stock returns of 1...

Recent event study literature has highlighted abnormal stock returns, particularly in short event windows. A common explanation is the cross-correlation of stock returns that are often enhanced during periods of sharp market movements. This suggests...

This study investigates the relationship between stock returns and income inequality in South Africa, a country marked by persistently high levels of income disparities and a sophisticated and structurally unique financial market. Despite the Johanne...

Underlying idiosyncratic and illiquidity risks are suppressed in infrequently reported indexes of house prices and rents. Idiosyncratic risks result from bid–ask spreads for prices and rents. Time series autocovariances generate a distribution of pri...

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess return...

In the traditional human capital framework, education is often considered as an investment, rather than consumption, while consumption is not necessarily precluded. Whether education is an investment is empirically unclear and relatively under-explor...

This study suggests a new measure for a firm’s operating cost flexibility. Flexible firms are less risky and, therefore, require lower stock returns. This analysis of 126,202 firm-year observations from the U.S. cross-section of stock returns f...

The paper investigates the impact of carbon emissions on stock price returns of European listed firms. This relationship is assessed across all three emissions scopes, as well as using expectations to detect if future emissions impact contemporary re...

Investor sentiment is an important aspect of behavioural finance, which provides explanation of anomalies to the asset’s intrinsic values. Sentiments can easily affect individual investors. Historically, Australia is regarded as rich in resourc...

Among the dark sides of contemporary multi-channel retailing are the vast amounts of product returns, especially in the online channel. High product returns not only put pressure on the retailers’ profitability, but also come at high societal a...

The paper focuses on the relationship between firms’ characteristics and cross-section returns. The author reviews and critically assesses the most recent contributions in the literature. After comparing the abnormal returns (Alpha) and t stati...

In this article, we conduct a statistical analysis of the autocorrelation functions (ACF) of multi-scale logarithmic returns computed over maximal monotonic uninterrupted trends (runs) in financial indices’ daily data. We analyze the Dow Jones...

The existing packed mail-based return mode in ecommerce has a considerable negative impact on the natural environment. In contrast, a package-free return mode accepts unpacked ecommerce returns using return points in-store and is a more eco-friendly...

This paper examines the relationship between the presence of blockholdings and stock returns and return volatility in the United Arab Emirates. Earlier studies report mixed results for the direction of the relationships across both developed and emer...

This paper provides a model to interpret the relative behavior of expected returns of high- and low-resilience assets from the time of the COVID-19 pandemic, including a novel definition of disaster based on COVID-19 intensity. The setup allows us to...

Using option prices, a new method for estimating the term structure of expected stock returns (equity curve) is proposed. We analyse how the equity curve relates to future stock returns and obtain three main results. First, a higher level of the equi...

By linking stock returns with weather conditions from 2007 to 2019 in China, we study how firm-level stock returns react to extreme temperatures. Based on a multivariate ordinary least squares regression model with fixed effects, empirical results sh...

This study examines the effect of the COVID-19 pandemic on the relationship between idiosyncratic volatility and expected stock returns. Using daily stock return data in the US market from the Center for Research in Security Prices (CRSP), we estimat...

Mutual information between a target variable and a feature subset is extensively used as a feature subset selection criterion. This work contributes to a more thorough understanding of the evolution of the mutual information as a function of the numb...

The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established stock-level anomalies, such as size, value, or mom...

This paper examines the relationship between commodity index returns and the Office of Financial Research Financial Stress Index (OFR FSI). Utilizing the S&P GSCI and its five sub-indices (agriculture, livestock, energy, industrial metals, and pr...

In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation ra...

The debate about the role of corporations with regard to water also involves the influence that paying returns to shareholders could have on the investment policy of utilities, influencing the development of new infrastructure or the renewal of exist...

This study investigates the measurement bias introduced by the widespread use of overlapping returns in time series momentum (TSM) research, which can materially overstate the strength of TSM signals. Using a univariate AR(1) framework, simulations,...

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 fi...

This paper explores the relationship between media coverage and stock returns using monthly data of news reports from major Chinese newspapers. We find that firms with higher media coverage in the current month have higher sustainable stock returns i...

With the rise in online purchases, returns polices have become more lenient to maximise sales, leading to increased product returns. This results in considerable costs to businesses due to complex returns systems, and environmental costs due to unnec...

We studied decades-long (1980 to 2024) historic distributions of accumulated S&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets—Black Monday, Tech Bubble,...

The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (s...

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and w...

Long-term return expectations or predictions play an important role in planning purposes and guidance of long-term investors. Five-year stock returns are less volatile around their geometric mean than returns of higher frequency, such as one-year ret...

An increasing percentage of products in multichannel retail are being returned, yet many retailers and manufacturers are not aware of the importance and scale of this issue. Similarly, the literature on online returns is limited. Returns processes ca...

This study investigates the contemporaneous associations between investor sentiment, market microstructure, and daily sectoral returns on Boursa Kuwait. The analysis utilizes daily data spanning from January 2021 to May 2025, integrating sectoral ret...

The nature of the relation between stock returns and the three monetary variables of interest rates (bond yields), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation changes ove...

Using an aggregate credit spread index, we find that it has substantial predictive power for corporate bond returns over short and long horizons. The return predictability is economically and statistically significant and robust to various controls....

We explore the role of carbon convenience yields in forecasting the probability density of carbon returns. While theory suggests that convenience yields contain forward-looking information, their predictive content for carbon returns—especially...

In this research paper, the impact of macroeconomic uncertainty on stock returns in the United States of America is examined. To measure this macroeconomic uncertainty, a survey of Consensus Economics with data ranging from 1989 until 2019 was employ...

The purpose of this paper is to provide the first empirical research analysing the effects of the COVID-19 pandemic on the Bulgarian stock market before its onset and in the four pandemic waves. For this purpose, we used a fixed effect panel data reg...

This paper re-examines the instrumental variable (IV) approach to estimating returns to education by use of compulsory school law (CSL) in the US. We show that the IV-approach amounts to a change in model specification by changing the causal status o...

This study assessed the accounting-based variables and value-based management (VBM) variables that jointly affect firm value and performance. The study applied the causality test and variance decomposition to determine the variability of the variable...

We study a direct, firm-level measure of investor sentiment derived from social media (BTSS sentiment). While related to firm fundamentals, BTSS sentiment contains a substantial non-fundamental component. We decompose sentiment into fundamental and p...

Many manufacturers and retailers have already opened online stores to sell their products. Thus, manufacturers are competing as sellers, and retailers are transforming into dual-channel retailers (DCRs). Such an expansion in business scope and the wi...

Due to the non-normality of stock returns, nonparametric rank tests are gaining accceptance relative to parametric tests in financial economics event studies. In rank tests, financial assets’ multiple day cumulative abnormal returns (CARs) are...

Portfolios incorporating environmental, social, and governance (ESG) criteria present distinct, unobserved risks, the empirical quantification of which has proven challenging. This difficulty stems from sustainable investment strategies being guided...

This paper extends the conditional autoregressive range (CARR) model to the multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets. The...

Forecasting stock market returns has great significance to asset allocation, risk management, and asset pricing, but stock return prediction is notoriously difficult. In this paper, we combine the sum-of-the-parts (SOP) method and three kinds of econ...

This study proposes a wavelet procedure for estimating partial correlation coefficients between stock market returns over different time scales. The estimated partial correlations are subsequently used in a cluster analysis to identify, for each time...

The impact of Environmental, Social, and Governance (ESG) scores on financial performance remains a subject of debate, as the literature reports mixed evidence regarding their effect on stock returns. This research aims to examine the relationship be...

We propose a two-stage statistical learning framework to investigate how financial news headlines posted over weekends affect stock returns. In the first stage, Natural Language Processing (NLP) techniques are used to extract sentiment features from...

Economic policy uncertainty has been identified as a new macroeconomic risk factor that harms the stock market’s profitability. This paper examines the impact of the Chinese EPU levels on one of the most famous financial anomalies—momentu...