Robust examination of political structural breaks and abnormal stock returns in Egypt

Chaotic Test and Non-Linearity of Abnormal Stock Returns: Selecting an Optimal Chaos Model in Explaining Abnormal Stock Returns around the Release Date of Annual Financial Statements

For many investors, it is important to predict the future trend of abnormal stock returns. Thus, in this research, the abnormal stock returns of the listed companies in Tehran Stock Exchange were tested since 2008- 2017 using three hypotheses. The first and second hypotheses examined the non-linearity and non-randomness of the abnormal stock returns ′ trend around the release date of annual fin...

Robust Resampling Methods and Stock Returns Predictability

Novel Stories About Forecasting International Stock Market Returns: Structural Breaks and Theory-Induced Restrictions

We take up the challenge of forecasting out-of-sample monthly returns on stock market indices. Recent contributions show that a wide range of popular predictors poorly forecast the US equity premium when the performance is compared to the average predictor. We revisit these findings focusing on three aspects. First, we report results for four major stock markets: US, UK, Germany and Japan. We f...

A careful re-examination of seasonality in international stock markets: Comment on sentiment and stock returns

In questioning Kamstra, Kramer, and Levi’s (2003) finding of an economically and statistically significant seasonal affective disorder (SAD) effect, Kelly and Meschke (2010) make errors of commission and omission. They misrepresent their empirical results, claiming that the SAD effect arises due to a ‘‘mechanically induced’’ effect that is non-existent, labeling the SAD effect a ‘‘turn-of-year’...

Investigating the effect of volume shock on abnormal stock returns of companies listed on the Tehran Stock Exchange

The aim of this study was to investigate the effect of volume shock on abnormal stock returns. In terms of research method, this research is in the category of descriptive-correlational research and in terms of research purpose, it is in the category of applied research. The statistical population in this study is all companies listed on the stock exchange that 120 companies were selected as a ...