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This study uses a quantile-on-quantile regression framework to establish a link between investor sentiment proxied by market turnover and stock returns in G7 countries. The QQ analysis results reveal that the impact of investor sentiment on future stock returns is asymmetric and varies across quantiles of stock returns and sentiment. Overall, a significantly negative relationship is observed for all G7 countries. Interestingly, when the market is very bullish, and investors are pessimistic, investor sentiment positively influences future returns, except for Japan. [ABSTRACT FROM AUTHOR]

African swine fever (ASF) first broke out in China in August 2018 and triggered a substantial shock to the Chinese hog industry. Based on daily data from August 3, 2018, to May 30, 2020, we construct ASF news textual sentiment as a measurement indicator for the ASF epidemic and use a quantile regression model to examine the impacts of ASF news textual sentiment on the stock returns of hog firms. To assess the sentiment effect across periods, we divide the whole sample into three periods according to the trend in hog prices. Our results indicate that ASF news textual sentiment has a significant positive effect on stock returns across the period, but the effect varies across the three periods. In the stationary period, the sentiment has a significant positive effect on stock returns; the effect is reversed in rising and fluctuating periods. In addition, the sentiment effect varies across quantiles. The sentiment has asymmetric effects on stock returns, with a greater impact on higher returns. Our results suggest that opportunities to expand in scale and upgrade biological prevention and control on Chinese hog firms have long-term positive impacts on the development of the hog industry by ASF. [ABSTRACT FROM AUTHOR]

For ESG-oriented investors, the inquiry into whether companies with high-ESG scores can achieve excess returns holds significant significance. Existing research has generated some controversy regarding the existence of an ESG premium. In this study, we attempt to reconcile conflicting empirical findings by introducing a dimension of investment time horizons. We examine the impact of ESG scores (representing long-term values) and $\Delta $ Δ ESG (short-term changes) on subsequent stock returns. Our results indicate that high-ESG stocks tend to achieve higher expected returns, while high $\Delta $ Δ ESG has the opposite effect. One plausible explanation is that high-ESG firms tend to exhibit superior governance practices, making them more likely to create long-term value, while efforts to improve ESG may increase short-term costs, impacting profitability and exerting a negative influence on stock prices temporarily. The results based on financial data also support this conjecture. [ABSTRACT FROM AUTHOR]

AbstractSuccessful businesses use a variety of tactics to accomplish their objectives, one of which is relationship management with investors and shareholders. Their best application in today’s business world is a long-term competitive advantage. One of the ways to create and retain this relationship is to use relationship marketing (RM). Various dimensions shape RM, which can be different in industries and markets. This paper aims to identify the effective RM dimensions in the capital market and examine the impact of these dimensions on the financial indicators of the capital market, which are important from both the perspectives of companies and investors, including stock liquidity, stock return, and capital cost. To identify the key dimensions, ranking based on their importance has been done using the analytic hierarchy process (AHP) method. A multivariable linear regression model has been employed to test the research hypotheses. Stock companies have been selected based on the screening method from the companies admitted to the Tehran Stock Exchange from 2019 to 2022. Based on the findings, it can be concluded that the coordinated management of various aspects of RM has the potential to enhance liquidity and stock returns while simultaneously reducing the cost of capital. Given the significance of these indicators, particularly in developing economies like the Iranian capital market, companies can leverage RM strategies in their interactions with shareholders to improve market conditions. [ABSTRACT FROM AUTHOR]

Using a database of more than 1.1 million comments from the largest Chinese stock discussion forum Eastmoney, we explore the value of “brand” in the Chinese stock market by empirically investigating the impact of brand attention on stock performance and the moderation role of investor sentiment, as well as the heterogeneity of these effects across companies with different brand values. It finds that brand attention has a positive impact on stock returns and stock trading volume. Investor sentiment has a positive impact on stock returns while having a negative impact on stock trading volume. Investor sentiment positively moderates the impact of brand attention on stock returns, but negatively moderates the impact of brand attention on stock trading volume. The impact of brand attention and investor sentiment on stock performance varies across companies with different brand values. It is more pronounced in companies with high brand value than in companies with a relatively low brand value, while the negative effect of investor sentiment on stock trading volume is lower in companies with high brand value, which highlights the importance of brand-building to improve stock performance. [ABSTRACT FROM AUTHOR]

To ensure firm's survival through impermanent market turbulences, corporations need to secure investors' kindness and empathy to adjust their stock prices. Being environmentally responsible seems to be an appealing quality for that purpose. Our research aims to explore the association between firm greenhouse gas (GHG) emission and its downside tail risk, using panel data comprising the FTSE350 firms during the 2008-2018 period. We found that firms that emit more GHG are likely to be harshly penalized by the shareholders through the higher likelihood of extreme negative stock returns, i.e. tail risk. Intriguingly, the association tends to be evidenced after the Paris Agreement 2015 and for firms operating in industries with high emission intensity. The research provides implications for firms to focus on enhancing their environmental performances for higher market trust, rewards, and generosity, especially during their financial downturns or negative market events. [ABSTRACT FROM AUTHOR]

This study investigates the unsymmetrical effect from air quality (AQ) to stock return (SR) in China's different industries. Depending on quantile-on-quantile (QQ) test, it draws the important results in following aspects. For tourism, iron and steel, and automobile industries, their coefficient values between AQ and SR turn into negative from positive with deteriorating AQ. Conversely, the coefficients in the wind power, hydro power, thermal power, environmental protection, and medical equipment industries turn positive from negative. Some contributions are thus drawn when compared to existing literatures. Government industrial policy is regarded as an important supplement in explaining mechanism from AQ to SR, except investor sentiment. Industrial heterogeneity is seriously treated in this paper due to different industries have different responses to AQ. Besides, the QQ test is able to capture nexus between AQ and SR in specific quantiles through embedding non-parametric estimation into conventional quantile approach. Therefore, investors should avoid biased trading decisions under different air qualities. Meanwhile, government intervention is paid special attention when appearing serious air pollution. [ABSTRACT FROM AUTHOR]

The launch of China's STAR market (officially known as the Science and Technology Innovation Board of Shanghai Stock Exchange) caused a significant drop in stock prices in existing stock markets in the Shanghai and Shenzhen stock exchanges. This study examines whether innovative firms showed more resilience to the shock caused by the launch of the STAR market. Using a sample of Chinese A-share listed firms, we find that firms with higher innovation had significantly higher stock returns during the shock period. This suggests that the STAR market launch induced investors to pay more attention to firm innovation and prompted them to reward innovations to a greater extent. This finding remains intact after an array of robustness tests. Moreover, this effect was more pronounced in non-state-owned enterprises and firms with higher product market competition. Additional analyses suggest that investors prefer firms with higher quality of innovation. Overall, this study finds that innovation plays an important role in capital markets; that is, innovation helps firms resist shock from the issuance of new shares. [ABSTRACT FROM AUTHOR]

Marketing scholars commonly use Tobin's Q approximation as a metric of firm performance despite criticism that it might provide false positives for marketing-related research questions. Tobin's Q approximation relies on accounting-based information that commonly undervalues intangibles, thus overstating firms' performance in intangibles, such as marketing, human resources, and research and development. Our research empirically demonstrates and confirms the concerns surrounding Tobin's Q as a firm performance metric in the context of an emerging market. Our analysis of 196 publicly traded non-financial Pakistani firms operating in various sectors over a period of five years shows that marketing spending is positively associated with Tobin's Q. In contrast, results are not significant for the alternative market-based firm performance metric, stock return. Our findings cast further doubts on Tobin's Q's reliability as a firm performance metric in the marketing literature and simultaneously contribute to the ongoing discussion on the appropriate selection and use of metrics by marketing scholars. [ABSTRACT FROM AUTHOR]

The author examines whether the direct and indirect sentiment measures are distinct from each other. The author finds that the 2 types of sentiment measures have a relatively low correlation between them. The direct sentiment measures have significant explanatory power on contemporaneous stock returns, whereas the indirect sentiment measures have a lagging effect in such explanatory power. If both sentiment measures are used in a model, one can observe a strong synergistic effect in adjusted R2. One can find that the indirect measures' predictive power on future stock return is remarkably higher than that of the direct measures. Also, the indirect measures are mainly driven by short-term interest rate, whereas stock returns most drive the direct measures. [ABSTRACT FROM AUTHOR]

Recent SEC guidelines enabled many Fortune 500 companies to actively adopt social media, such as Twitter, to disseminate information. In this paper, we analyze the relationship between tweets by corporations and stock returns. Our study used over 1.2 million corporate tweets made by thirty companies in the Dow Jones Industrial Average between April 2013 and July 2020. The shocks from the frequency of corporate tweets can positively impact stock returns and trading volume. We, therefore, examine causality and impulse response between frequency of corporate tweets, stock returns, and changes in trading volume using a vector autoregression model. Our findings indicate that 43 percent of stocks exhibit Granger causality between firm-initiated tweets and changes in trading volume. We find evidence consistent with the attention-induced price pressure hypothesis proposed by Barber and Odean. We observe that a shock in corporate tweeting behavior translates into a positive effect on changes in trading volume and returns in 73 percent and 60 percent of stocks, respectively. These results are significant for developing appropriate social media communication strategies. The findings are also valuable for investors and traders who can deploy forecasting models utilizing corporate tweets to earn superior returns. [ABSTRACT FROM AUTHOR]

The study uses wavelet power spectrum and wavelet coherence transformation methodologies to examine how geopolitical risk affected the returns on stocks, oil, and gold during the GFC, COVID-19, and Russia-Ukraine war-three disruptive events that affected the world's financial markets. For better diversification benefits during the turbulent times, we further investigate the degree of co-movement in frequency and time domains. We observe that GPR has high variations during Russia-Ukraine war period compared to COVID-19 period and is shown to have least variation during the GFC period. WTI crude oil and DJGI indexes are observed to have high variations during GFC, and COVID-19 periods followed by Russia-Ukraine war. We further observe that GOLD offers better diversification opportunity as well as leading movement against WTI and DJGI during disruptive events in financial markets. The results provide new understanding of how geopolitical risk affects financial assets for international investors, fund managers, and regulators, which would further aid to find risky and safer haven possibilities during the turmoil periods. [ABSTRACT FROM AUTHOR]

This study examines the stock markets' response to the maritime shipping industry during the COVID-19 pandemic. Using the daily data of the listed shipping companies in the New York Stock Exchange (NYSE), this study adopted the event study methodology to find the short-term effects of this outbreak. We classified the four initial COVID-19 outbreak news events as pessimistic and four subsequent events as optimistic. We find that the maritime stocks reacted negatively in responses to the critical COVID-19 declarations during cynical events. The investors' reactions reached the lowest minimum values (−20.73%) when the announcement of COVID-19 was a worldwide pandemic by the WHO and the travel ban by the US from 26 European countries. However, some initiatives such as extra-economic stimulus by the United States attained the highest positive reaction (12.45%). The event study's findings are also primarily corroborated by in-depth financial performance analysis of individual companies. In general, our findings suggest that stock markets react quickly to news about the COVID-19 pandemic, and this response varies with the level of outbreak and hope of recovery. [ABSTRACT FROM AUTHOR]

A green and sustainable business environment has gained the attention of recent researchers and policymakers due to environmental and social issues globally. Therefore, the present research investigates the impact of corporate social responsibilities (CSR), green investment, green credit, and assets return on the stock return of the Chinese export industry. This study has taken the ten top export companies from China using the database of the Shanghai stock exchange. This study collected data from financial statements and stock exchange databases from 2009 to 2020. This study has used panel data analysis techniques such as robust standard error and fixed effect model (FEM) to examine the relations among the variables. The results revealed that CSR, green investment, green credit, and return on assets have a significant and positive association with the stock return of selected industries. These results imply that CSR instigates higher financial performance in the export industry; thus, improving CSR and sustainable financing promote socio-economic and societal development. [ABSTRACT FROM AUTHOR]

Whether a stock market should matter or not when monetary policy is concerned seems to be a controversial issue. The purpose of this study is to indicate whether the central bank should use monetary policy to help the stock market or not. Based on macroeconomic data such as interest rate and the stock market, we adopt a novel Bayesian time-varying regression model and determine that the impact of interest rate changes on stock returns varies over time in China, after controlling various macroeconomic factors. Although on average interest rates negatively impact stock price returns, they tend to have an abnormal positive effect at market high points, following a time-varying dynamic pattern. Surprisingly, during periods of overheated economic development, an increase in interest rates cannot suppress the rise in stock prices. Therefore, policymakers need to pay attention when accelerating the marketisation of interest rates and initiating the preventive role of timely and strategic adjustment of interest rates. [ABSTRACT FROM AUTHOR]

The 2018 Brazilian presidential elections coupled unprecedented political instability with a close race between two candidates with antagonistic economic agendas. Using this unparalleled scenario, this paper analyzes the role of political events in shaping the returns on financial assets. The regressions using the Propensity Score Matching technique suggest that companies linked to the government had positive cumulative abnormal returns around relevant events compared with otherwise identical firms. These results reinforce the role of political risk on financial markets in emerging economies and allow economic agents to outline strategies to predict stock return behavior during periods of political turmoil. [ABSTRACT FROM AUTHOR]

The active share of mutual funds drops significantly when investor sentiment is high, indicating that fund managers reduce their active stock selection and stay closer to their benchmarks during such periods. Our evidence is consistent with fund managers being sentiment-prone - challenging the conventional view that it is only the preponderance of retail investors during high sentiment periods that allows sentiment to influence asset prices. [ABSTRACT FROM AUTHOR]

This research investigates the short-term and long-term performance and volatility of publicly traded firms engaged in blockchain business. In particular, it examines how ownership structure impacts performance and volatility in such firms. We manually collected the data of Chinese A-listed companies participating in blockchain development during 2013–2018 as samples, and find that both short- and long-term performance and volatility significantly decrease among these firms after involvement in blockchain business. Ownership concentration has a positive correlation with stock returns, return on assets, and volatilities, whereas the state as a controlling shareholder strengthens these positive links. [ABSTRACT FROM AUTHOR]

We give the highest-priced stock an eye-catching heading, "Stock King," and refer to the event that a new stock becomes the stock with the highest share price as the Stock King change event. Using data from Taiwan Stock Exchange, we divide news media into local and global media and examine how these two media react to Stock King change events, thereby affecting the return of the whole financial market and the Stock King itself. The novel finding of our study is that local and global media have very different implications on the return of the market and the Stock King. Specifically, local media coverage is more effective in increasing the whole market return, while global media coverage has a significant effect on the Stock King's return. Finally, as for the relationship between these two media, when Stock King change events occur, our results show that local media reports have a spillover effect on global media coverage. [ABSTRACT FROM AUTHOR]

This paper examined the impacts of; investor sentiment, governance, and uncertainty on bank stock returns in the Middle East and North Africa (MENA) and Gulf Cooperation Council (GCC) region countries. The sample consisted of 173 conventional and Islamic banks based in the MENA region and 68 conventional and Islamic banks based in the GCC region from 2010–2020. Also, this study employed the Two-step system Generalized Method of Moments (GMM) estimator. The selection of this estimator prevented endogeneity issues related to the variables used in this study. This research found that individual sentiment and uncertainty negatively affected bank stock returns while governance positively influenced bank stock returns. The regression coefficients from the interaction of the governance indicators and conventional banks variable showed a positive and significant effect on bank stock returns in the MENA region, except for the interaction of the rule of law and voice and accountability in conventional banks, showing a negative effect. The GCC countries showed similar results. However, the outcomes were insignificant. Regarding the control variables, the loan ratio and inflation were negative, and bank size and the GDP showed positive and significant effects on bank stock returns throughout all models, excluding the loan ratio and bank size in the GCC region. Overall, the banking sectors of the MENA region countries were sensitive to; investor sentiment, uncertainty, and country-level governance indicators. [ABSTRACT FROM AUTHOR]

Banks play a very important role in financial markets due to their intermediary function. The availability of financing to businesses and individuals, the prevalence of branches throughout the country as well as the preference status at the collection point as a result of the habits of savings holders, have made deposit banks more active among other financial institutions. Since the banking system affects the whole economy, their performance and their performance evaluation become important. Performance measurement can be defined as one of the most important issues in the financial field. In this study, the relationship between stock return and financial performance of Turkish deposit banks was examined via CRITIC method, TOPSIS method and Spearman's rank correlation analysis for 2014–2018 periods. According to the results of the analysis, there is no statistically significant correlation between the stock return ranking and financial performance rankings of deposit banks in Turkey. [ABSTRACT FROM AUTHOR]

Limited attention is an inevitable outcome of voluminous information. Investors facing a large number of stocks can only focus on a few and endeavor to have access to in-depth knowledge. Since the retrieved knowledge would affect investors' decisions, investor attention becomes a factor in affecting stock returns and trading volumes. Through using 890,840 firm-week observations of Chinese listed firms between 2011 and 2018 as a sample, we document that investor attention, measured by abnormal Baidu search volume index (ASVI), is positively associated with contemporaneous stock returns but with a complete reversal in the subsequent period; and ASVI exhibits a positive link with trading volumes without a subsequent reversal, but its predictable ability becomes weaker in subsequent weeks. The effect of ASVI is pronounced for the ChiNext market and firms with higher level of financial transparency. We further find investor attention has been driven by five corporate events including earnings announcements, management forecasts, financial analysts following, mergers and acquisitions and dividend payout. This paper contributes to the theory of limited attention through using a direct measure of attention, providing evidence on its economic consequences in the Chinese stock market and exploring specific events that drive investor attention. [ABSTRACT FROM AUTHOR]

This article examines whether differences in banking market structures across countries influence the local stock market resilience to the COVID-19 pandemic. Using a sample of 66 countries for the period January 2020 to July 2020, our findings demonstrate that countries with more concentrated banking systems, with a higher presence of foreign banks, and a higher share of Islamic banks are more resilient to the pandemic. Considering the banking regulatory differences between countries, we observe that equity markets of countries with stricter regulatory requirements on capital and liquidity are more resilient to the COVID-19. Finally, regarding banking sector performance indicators, our findings show that while stock reactions of countries with more stable banking systems are more resilient to the pandemic; countries with more credit to deposit ratio, overhead costs, high provisions and nonperforming loans are more vulnerable. Our findings provide important implications for policymakers, regulatory bodies and investors. [ABSTRACT FROM AUTHOR]

This study explores the impact of geopolitical events on the stock return behavior of inter-Korean economic cooperation-related firms depending on the North Korean regime. We document empirical evidence showing that cross-sectional stock return tends to react positively to positive geopolitical events under the current regime in North Korea (Kim Jong-un), whereas negative geopolitical events have limited impact. Conversely, we find that negative geopolitical events yielded more pronounced effects on the stock returns of related firms under the former regime (Kim Jong-il). In addition, this study investigates the role of geopolitical shock in the evolution of aggregate economic variables of South Korea using Caldara and Iacoviello's (2018) geopolitical risk index. Geopolitical shock is found to yield no statistically meaningful impact on stock price index, industrial output, employment, or gross trade volume. Furthermore, aggregate stock market variables are found to be immune to geopolitical shock in South Korea. These results indicate that market participants estimate the escalation of geopolitical risk into full-scale war as unlikely. [ABSTRACT FROM AUTHOR]

This article analyzes investor attention around merger announcements and its impact on price reactions and investor trading activity. The authors find that (1) investor attention to target firms increases significantly during the preannouncement period, especially when merger-related news are present; (2) investor attention to both acquirer and target firms increases on the announcement day but increases more for the target firms and large deals; and (3) stock return and abnormal trading volume responses related to announcement are more pronounced when investor attention is higher. Overall, the results suggest that investors anticipate merger announcements and that investor attention affects how investors incorporate information into asset prices. [ABSTRACT FROM AUTHOR]

Using a hand-collected database, we evaluate 328 illegal insider trading cases in the Chinese financial market from 2007 to 2018. Insiders, on average, make less profits than a single buy-and-hold strategy in the same period. This low performance is exacerbated when target firms are state-owned and with high institutional ownership. A firm's size, 6-month past returns, debt ratio, and firm age have marginal impacts on the illegal returns. Two potential mechanisms derived from the US market are tested but they show divergent roles in our model setting. This study calls for alternative mechanisms in understanding market efficiency in emerging markets. [ABSTRACT FROM AUTHOR]

The equity premium is a key indicator in capital investment decisions. However, few studies estimate the equity premium for the Chinese stock market. To shed more light on the subject, we use dividend and consumption growth models to estimate the expected equity premium in China from 2005 to 2017. Our evidence shows that the geometric mean of the expected yearly equity premium from the consumption growth model, 9.69 percent, is similar to that of the realized yearly equity premium from stock returns, 8.11 percent. The corresponding values are 0.74–0.68 percent for monthly data, and 2.49–2.28 percent for quarterly data. In contrast, the estimate of the expected equity premium from the dividend growth model is far higher than the realized equity premium. However, both the dividend and consumption growth models fail to explain the high fluctuations of the realized equity premium. [ABSTRACT FROM AUTHOR]

This study examines the role of product market competition in explaining the relationship between investor sentiment and stock returns. We also consider how financial crises, which are exogenous shocks to market participants, affect the associations and interactions among the market competition, investor sentiment, and stock market returns. Our empirical analyses indicate that the positive relationship between sentiment and returns found under high market competition disappears under low market competition. In the crisis period, however, we observe significant relationships between sentiment and returns irrespective of the degree of market competition. [ABSTRACT FROM AUTHOR]

The performance of the stock market is usually regarded as the barometer of economic growth and stock return and economic growth are, therefore, believed to co-move. However, the co-movement may exhibit different characteristics in various economic systems. This paper studies the co-movement of stock return and economic growth in two representative countries, the U.S. and China, with entirely different economic systems. The degree of co-movement is measured by the correlation of stock index return and G.D.P. growth rate and a time-varying copula model is applied to capture the dynamic characteristics of the co-movement. Empirical results show that the co-movement of stock return and economic growth is relatively strong but fluctuant in the U.S. and is relatively weak but stable in China. The differences in the co-movement can be interpreted by different economic growth modes in the U.S. and China. [ABSTRACT FROM AUTHOR]

This paper studies the effects of vertical merger and R&D collaboration activities on firms' innovation decisions and stock returns based on a continuous-time real option model under market and technological uncertainties. Our analysis confirms vertical merger's benefit in amplifying the potential gain from innovation through eliminating inefficiencies. We show that vertical merger boosts innovation incentives in two ways: it reduces the optimal innovation threshold when firms suspend the project and increases R&D investment when firms launch the project. If vertical merger is not possible, R&D collaboration can improve firms' innovation levels as an alternative decision, but inefficiencies still exist which implies less pronounced stimulation effects. Both vertical merger and R&D collaboration can reduce firms' risk when conducting innovation project and weaken the positive R&D-returns relation and financial constraints-returns relation, while these effects of vertical merger are stronger than those of R&D collaboration. [ABSTRACT FROM AUTHOR]

We investigate the effect of investor risk compensation (IRC) on stock market returns and the role of investor sentiment in influencing the link between IRC and stock returns. Results reveal that current IRC has a significant and positive effect on stock returns while past IRC has a negative effect. Meanwhile, the positive effect of current risk compensation on stock returns is sustainable with different current sentiment states, while this effect is not associated with the current magnitude of sentiment. Regarding past risk compensation, its negative impact on stock return also exists with different signs of past investor sentiment while this effect is not related to the value of past investor sentiment. We discuss the implications of the findings. [ABSTRACT FROM AUTHOR]

Economic policy uncertainty (EPU) has various implications for financial markets. This study examines the effects of EPU on stock prices of listed tourism companies in Turkey for the time period of 2002-2013. We show that EPU in Europe and Turkey has significant negative effects on tourism index returns. The finding reflects that stock returns of the Turkish tourism companies apparently depend on domestic and international economic uncertainty. Among the included macroeconomic variables, consumer confidence index is the only factor which has an impact on stock returns. [ABSTRACT FROM AUTHOR]

Motivated by the European debt crisis and the new European Union regulatory regime for the credit rating industry, we analyse differences of opinion in sovereign credit signals and their influence on European stock markets. Rating disagreements have a significant connection with subsequent negative credit actions by each agency. However, links among Moody’s/Fitch actions and their rating disagreements with other agencies have weakened in the post-regulation period. We also find that only S&P’s negative credit signals affect the own-country stock market and spill over to other European markets, but this is concentrated in the pre-regulation period. Stronger stock market reactions occur when S&P has already assigned a lower rating than Moody’s/Fitch prior to taking a further negative action. [ABSTRACT FROM AUTHOR]

It is the first research to investigate for nonlinear interdependence of these two markets in the PIGS (Portugal, Italy, Greece and Spain) countries based on the quantile causality test. The results reveal the existence of the nonlinear causality relationship between the stock returns and real-estate returns in the PIGS countries. The empirical results of the quantile causality test suggest a significant causal relationship between these two markets in the PIGS countries, especially in the tail quantile. The existence of a significant tail interdependence implies that investors are unable to hedge the risk across the real-estate and stock markets when they are extremely volatile. Therefore, when there exist extreme returns between the two markets in the PIGS countries, both continuous negative impacts imply that instability in the real-estate market drives instability in the stock market and vice versa. It could be one of the major reasons why it deepened the systemic risk of the European sovereign debt crisis. [ABSTRACT FROM PUBLISHER]

This study empirically estimates credit channel of the monetary policy and corporate stock return using daily stock return data including the sample with non-financial firms listed in Korea stock exchange (KOSPI). Empirical results support that changes in the basis rate turn out to increase equity returns in case of the firms with higher credit rating compared to the previous year. The estimation results confirm the conjecture that monetary policy has a significant impact on stock market through the channel of changes in credit rating. [ABSTRACT FROM AUTHOR]

A firm’s stock return is affected not only by its own productivity growth rate, but also by other firms’ productivity growth rates. We show that this spillover effect is significant and time-varying, and underlies a fallacy of composition observed in late 20th century U.S. data: stock returns and productivity growth are correlated positively in firm-level data but negatively in aggregate data. This seeming fallacy of composition reflects Schumpeterian creative destruction: a few technology winners’ stocks rise with their rising productivity while many technology losers’ stocks fall with their declining productivity. Thus, most individual firms’ stock returns correlate negatively with aggregate productivity growth. This implies that technological innovation need not be a blessing for all firms and as a result, for investors holding the market. Our findings also provide a firm-level technology innovation-based explanation of prior findings that the market return correlates negatively with aggregate earnings. [ABSTRACT FROM AUTHOR]

This article attempts to assemble further empirical evidence on the relationship between the product and the financial market. Drawing back on work in industrial organization, we analyse the relationship between profitpersistenceand factor-adjusted stock returns looking at about 2000 listed US firms over the last 34 years. While the relationship between (current, lagged and unexpected) profits/earnings and returns has been extensively analysed before, to our knowledge this is the first study to look at the relationship between stock returns and profitpersistence. We interpret profit persistence as a result of market competition and innovation of the firm. It is shown that firm-specific long-run profitpersistenceafter correction for other additional economic fundamentals of the firm has a positive impact on four-factor adjusted returns and a negative impact on their volatility. [ABSTRACT FROM PUBLISHER]

We investigate the volume-return relationship using data from the Chinese stock market. Drawing on a recent theoretical model on the volume-return relationship, we test empirically whether investors in China are hedging oriented or motivated by speculation. A two-state Markov-switching model is used to augment the basic model. Allowing the underlying model to switch between two regimes reveals further information that investors’ motivation in the Chinese stock market is sensitive to the general market conditions. [ABSTRACT FROM AUTHOR]

Using a search frequency index from Baidu.com as a measure of investor attention, we find that investor attention has a significant and positive effect on the stock return within a week in China’s stock market. This effect is reversed from the second week on, but the transitory positive effect in the beginning cannot be completely offset by the reversal of stock returns within a year. It was further found in this study that a higher fraction of institutional ownership yields weaker transitory effects from investor attention on the stock return the next week and stronger return reversals after a month. [ABSTRACT FROM PUBLISHER]

This article provides empirical evidence of the relationship between currency depreciation and stock market return using Korean and Japanese nonfinancial firms' data. Although the recent FX market circumstances have changed compared to Choi et al. (2010), we can still confirm the beggar-thy-neighbour using the extended sample period. Beggar country may change depending on the sample period, but Eichengreen and Sachs (1985) hypothesis can hold across the different macroeconomic circumstances. Currency depreciation is positively related to stock market return controlling for the firm-specific variables. The result shows that Japanese exporting firms would be advantageous due to the Japanese Yen (JPY) depreciation, and this situation is expected to continue under the Abenomics policy regime. [ABSTRACT FROM AUTHOR]

This article presents a new class of realized stochastic volatility model based on realized volatilities and returns jointly. We generalize the traditionally used logarithm transformation of realized volatility to the Box–Cox transformation, a more flexible parametric family of transformations. A two-step maximum likelihood estimation procedure is introduced to estimate this model on the basis of Koopman and Scharth (2013). Simulation results show that the two-step estimator performs well, and the misspecified log transformation may lead to inaccurate parameter estimation and certain excessive skewness and kurtosis. Finally, an empirical investigation on realized volatility measures and daily returns is carried out for several stock indices. [ABSTRACT FROM PUBLISHER]

The objective of this study was to examine, using a vector autoregressive model, whether the difference in earnings growth rates caused different reaction speeds in stock prices. Monthly returns of stocks listed in the Taiwan stock market from May 2003 to April 2013 were used as empirical data in this study. The analytical results showed that the returns of portfolios with higher earnings growth rates significantly led those portfolios with lower earnings growth rates when size, trading volume, institutional ownership ratio, and revenue factors were controlled, respectively. This paper finds that the earnings growth rate is a significant determinant of the lead-lag patterns observed in monthly stock returns. [ABSTRACT FROM PUBLISHER]

Prior research has not provided conclusive evidence on the association between analysts’ forecast dispersion and subsequent stock returns. Since inferences from prior studies may be confounded by research design choices, we use the quantile regression (QR) approach and assess the hidden non-monotonic relations between dispersion and stock returns within a broader sample. The empirical results show that dispersion is negatively associated with subsequent stock returns when the latter is in lower quantiles. In contrast, when the stock returns are in high quantiles, dispersion is positively associated with subsequent stock returns. Moreover, the association between dispersion and stock returns is trivial when the mid-range return quantiles are concerned. These non-uniform connections between dispersion and stock returns reflect the different status of overpricing correction process. Our findings help to reconcile the mixed results reported by prior research concerning the relation between analysts’ forecast dispersion and subsequent stock returns. [ABSTRACT FROM AUTHOR]

We examine the influence of investor sentiment on the risk-reward relationship in the Taiwan stock market. Regression results show that the risk-reward relationship is weakly positive (significantly negative) under low (high) levels of investor sentiment. Granger causality tests indicate unidirectional, not bidirectional, causal relationships. Moreover, the negative return-variance relationship is more strongly characteristic of the over-the-counter index than of the Taiwan Stock Exchange weighted index, indicating that an unreasonable risk-reward trade-off may be more prevalent in emerging markets than in mature markets. Finally, the Wald test demonstrates that industry effects on the risk-reward relationship may be negligible. [ABSTRACT FROM AUTHOR]

This paper analyzes the effects of official rumor clarification on Chinese stock returns under different market conditions. The results show that the average cumulative abnormal return after the clarification event is significantly positive in a bull market, and significantly negative in a bear market. The results are robust across various types of rumors, including rumors of mergers and acquisitions, asset restructuring, and positive changes in a firm's operations. Moreover, in both bull and bear markets, investors are unable to distinguish between rumors that prove true and those that prove false, or between strong and weak rumor denial. Furthermore, investors are also unable to adjust their strategies accordingly. [ABSTRACT FROM AUTHOR]

Barberis, Shleifer, and Vishny [1998] and others have developed Bayesian models to explain investors’ behavioral biases by using conservative heuristics and representative heuristics in making decisions. To extend their work, Lam, Liu, and Wong [2010] have developed a model of weight assignments using a pseudo-Bayesian approach that reflects investors’ behavioral biases. In this parsimonious model of investor sentiment, weights induced by investors’ conservative and representative heuristics are assigned to observations of the earning shocks of stock prices. Such weight assignments enable us to provide a quantitative link between some market anomalies and investors’ behavioral biases. This paper extends their work further by developing a theory to explain some market anomalies, including short-term underreaction, long-term overreaction, and excess volatility. We also explain in detail the linkage between these market anomalies and investors’ behavioral biases. [ABSTRACT FROM PUBLISHER]

This paper investigates the stock price reactions of Turkish soccer clubs to game results, according to match venue and competition type. Betting odds are included to control expectations. The findings indicate that match results of the listed soccer clubs affect abnormal returns, and there is an asymmetric stock market reaction to both wins and losses. The results also indicate that a win in a European Cup does not affect clubs' stock returns. However, a domestic win effect is significantly higher than the effect of a European Cup win. The price reaction of stocks also depends on the type of corporation that the clubs establish when they go public. [ABSTRACT FROM AUTHOR]

The Internet has been extremely popular because of its many unique and powerful characteristics, such as ubiquity and global reach. Hence, it is interesting to study whether Internet companies can be sustained through a bubble and even after a bubble. This study therefore compares the Internet companies in the USA with other high-tech companies listed on the National Association of Securities Dealers Automated Quotations (NASDAQ) over a period covering the years from 1995 to 2006. First, we check whether there has been a bubble for these Internet companies, and we then try to compare the pre- and post-bubble periods to ascertain whether any of their stocks have been 'overvalued'. Conclusions are drawn regarding the respective futures of these Internet companies. [ABSTRACT FROM AUTHOR]

This article develops an exact small-sample, pointwise most powerful invariant test to determine whether stock prices contain a stationary and therefore predictable component. This test generates consistent evidence that stock prices contain a hump-shaped, slowly trend-reverting stationary component over all sample periods tested, including and excluding the high return variance years of the 1930s. The empirical evidence in this article addresses three prominent puzzles in this literature--the negative and positive autocorrelations found in stock returns, the role of the 1930s, and the very low reported power of previous statistical tests that find a stationary component. [ABSTRACT FROM AUTHOR]

This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive distributed lag (NARDL) model is used to capture the long-term and short-term non-linear connections between the investor sentiment and the stock market liquidity. Empirical findings suggested an asymmetric long-term market liquidity reaction to investor sentiment. In the short-term, the stock market liquidity react rapidly and asymmetrically to changes in overconfidence sentiment, while the optimism and pessimism sentiment has insignificant short-term impact on trading volume. [ABSTRACT FROM AUTHOR]