Stock mispricing, hard-to-value stocks and the influence of internet stock message boards
In recent years, the predictability of Internet Stock Message Board (ISMB) postings has been
intensively investigated. However, the underlying mechanisms driving the ISMB postings …
intensively investigated. However, the underlying mechanisms driving the ISMB postings …
Macroeconomics and FinTech: Uncovering latent macroeconomic effects on peer-to-peer lending
Peer-to-peer (P2P) lending is a fast growing financial technology (FinTech) trend that is
displacing traditional retail banking. Studies on P2P lending have focused on predicting …
displacing traditional retail banking. Studies on P2P lending have focused on predicting …
The effect of macroeconomic variables on the robustness of the traditional Fama–French model. A study for Mexico using different portfolios
E Saucedo, J Gonzalez - Journal of Economics, Finance and …, 2021 - emerald.com
Purpose Fama–French model (FFM) has been successful in helping to predict the financial
markets, but investors have been interested in creating more sophisticated models to better …
markets, but investors have been interested in creating more sophisticated models to better …
Dividend policy, firms' characteristics and the impact on the Southeast Asian firms' value
A Surwanti, WS Pamungkas - 4th International Conference on …, 2021 - atlantis-press.com
This research aims to analyze the factors determining the dividend policy of the Southeast
Asian non-financial corporate sectors. In this research, the dividend policy of firms in …
Asian non-financial corporate sectors. In this research, the dividend policy of firms in …
Pricing and mispricing of accounting fundamentals: Global evidence
S Köstlmeier - The Quarterly Review of Economics and Finance, 2024 - Elsevier
This paper extends the fundamentals-based valuation model in Nichols et al.(2017) to
global, developed equity markets. The model is able to explain, on average, 81% of the …
global, developed equity markets. The model is able to explain, on average, 81% of the …
Value premium and macroeconomic variables
E Beccalli, N Doninelli, C Orsini - European Financial …, 2023 - Wiley Online Library
This paper investigates the effect of macroeconomic expectations on the value premium. We
introduce a two‐pass estimation procedure to extrapolate the impact of investors' …
introduce a two‐pass estimation procedure to extrapolate the impact of investors' …
[HTML][HTML] Evaluation of the Resilience of Real Estate and Property Stocks to Inflation and Interest Rate Uncertainty: Implementation of Two Asset Pricing Models
Property stocks are an attractive alternative investment for investors who want passive
income. Investors' decisions focus not only on maximizing returns but also on reducing risk …
income. Investors' decisions focus not only on maximizing returns but also on reducing risk …
Stock returns and inflation shocks in weaker economic times
We show that the concurrent relation between quarterly stock returns and inflation shocks is
economically and robustly significant only over weaker economic (WE) times, strongly …
economically and robustly significant only over weaker economic (WE) times, strongly …
Risk price decomposition and the output gap
R Sakemoto - Financial Review, 2023 - Wiley Online Library
We employ a time‐varying price of risk model that allows us to track the change in prices of
risk. We find that the output gap generates the time‐varying prices of market and momentum …
risk. We find that the output gap generates the time‐varying prices of market and momentum …
Macroeconomic Expectations and State-Dependent Factor Returns
F Haase, M Neuenkirch - 2023 - papers.ssrn.com
We examine the asymmetric impact of shocks to macroeconomic expectations and their
underlying dispersion on equity risk premia across different market regimes. First, we rely on …
underlying dispersion on equity risk premia across different market regimes. First, we rely on …