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Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars

Citations

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Cited by:

  1. Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2020. "Toward a Macroprudential Regulatory Framework for Mutual Funds," GRU Working Paper Series GRU_2020_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
  2. Klaus Grobys & James W. Kolari & Jere Rutanen, 2022. "Factor momentum, option-implied volatility scaling, and investor sentiment," Journal of Asset Management, Palgrave Macmillan, vol. 23(2), pages 138-155, March.
  3. Jiaying Peng & Yuhang Zheng & Ke Mao, 2021. "Heterogeneous Impacts of Extreme Climate Risks on Global Energy Consumption Transition: An International Comparative Study," Energies, MDPI, vol. 14(14), pages 1-18, July.
  4. Nicholas Apergis & Alexandros Gabrielsen & Lee Smales, 2016. "(Unusual) weather and stock returns—I am not in the mood for mood: further evidence from international markets," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(1), pages 63-94, February.
  5. Kim, Jae H., 2017. "Stock returns and investors' mood: Good day sunshine or spurious correlation?," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 94-103.
  6. Chan, Kam Fong & Gray, Philip & Gray, Stephen & Zhong, Angel, 2020. "Political uncertainty, market anomalies and Presidential honeymoons," Journal of Banking & Finance, Elsevier, vol. 113(C).
  7. Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics Department Working Paper Series n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
  8. Peress, Joël & Dong, Xi & KANG, NAMHO, 2020. "Fast and Slow Arbitrage: Fund Flows and Mispricing in the Frequency Domain," CEPR Discussion Papers 15235, C.E.P.R. Discussion Papers.
  9. Andreas G. Koutoupis & Christos G. Kampouris & Athanasia V. Sakellaridou, 2022. "Can Financial Strength Indicators Form A Profitable Investment Strategy? The Case Of F-Score in Europe," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 21(3), pages 355-372, September.
  10. Rojo-Suárez, Javier & Alonso-Conde, Ana B., 2023. "Short-run and long-run effects of ESG policies on value creation and the cost of equity of firms," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 599-616.
  11. Stephen H. Penman & Francesco Reggiani & Scott A. Richardson & İrem Tuna, 2018. "A framework for identifying accounting characteristics for asset pricing models, with an evaluation of book‐to‐price," European Financial Management, European Financial Management Association, vol. 24(4), pages 488-520, September.
  12. Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2020. "The effects of investor emotions sentiments on crude oil returns: A time and frequency dynamics analysis," International Economics, Elsevier, vol. 162(C), pages 110-124.
  13. Henry He Huang & Joseph Kerstein & Chong Wang, 2018. "The impact of climate risk on firm performance and financing choices: An international comparison," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 49(5), pages 633-656, July.
  14. Eduard Krkoska & Klaus Reiner Schenk-Hoppé, 2019. "Herding in Smart-Beta Investment Products," JRFM, MDPI, vol. 12(1), pages 1-14, March.
  15. Odegaard, Bernt Arne, 2016. "Oslo Stock Exchange and the Weather," UiS Working Papers in Economics and Finance 2016/12, University of Stavanger.
  16. Michael Donadelli & Marcus Jüppner & Sergio Vergalli, 2022. "Temperature Variability and the Macroeconomy: A World Tour," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(1), pages 221-259, September.
  17. Malcolm Baker & Terence C. Burnham & Ryan Taliaferro, 2016. "Public Goods with Punishment & Payment for Relative Rank," Working Papers 16-33, Chapman University, Economic Science Institute.
  18. Joseph P. Byrne & Shuo Cao & Dimitris Korobilis, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets?," Working Papers 2015_12, Business School - Economics, University of Glasgow.
  19. Sibley, Steven E. & Wang, Yanchu & Xing, Yuhang & Zhang, Xiaoyan, 2016. "The information content of the sentiment index," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 164-179.
  20. Alla Petukhina & Simon Trimborn & Wolfgang Karl Härdle & Hermann Elendner, 2021. "Investing with cryptocurrencies – evaluating their potential for portfolio allocation strategies," Quantitative Finance, Taylor & Francis Journals, vol. 21(11), pages 1825-1853, November.
  21. Sascha Kolaric & Zvonimir Pusic & Dirk Schiereck, 2015. "Fußball und Anlegerverhalt en im internationalen Vergleich: Evidenz von 12 Kontinentalmeisterschaften," Schmalenbach Journal of Business Research, Springer, vol. 67(3), pages 297-328, September.
  22. Stivers, Adam, 2018. "Equity premium predictions with many predictors: A risk-based explanation of the size and value factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 126-140.
  23. Byrne, Joseph P. & Cao, Shuo & Korobilis, Dimitris, 2015. "Co-Movement, Spillovers and Excess Returns in Global Bond Markets," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-75, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  24. Jauhar Abbas & Hammad Hassan Mirza & Haroon Hussain & Rana Yassir Hussain & Muhammad Saad & Masud Akhtar, 2021. "Stock Market Reaction towards Terrorism: An Evidence Based on Seasonal Variation in Pakistan," Journal of Economic Impact, Science Impact Publishers, vol. 3(3), pages 167-177.
  25. Khadija S. Almaghrabi, 2023. "Climate Change Exposure and Firm Performance: Does Managerial Ability Matter?," Sustainability, MDPI, vol. 15(17), pages 1-16, August.
  26. Ricardo T. Fernholz & Christoffer Koch, 2016. "The Rank Effect for Commodities," Papers 1607.07510, arXiv.org.
  27. Stambaugh, Robert F. & Yu, Jianfeng & Yuan, Yu, 2014. "The long of it: Odds that investor sentiment spuriously predicts anomaly returns," Journal of Financial Economics, Elsevier, vol. 114(3), pages 613-619.
  28. Wang, Hanjie & Feil, Jan-Henning & Yu, Xiaohua, 2021. "Disagreement on sunspots and soybeans futures price," Economic Modelling, Elsevier, vol. 95(C), pages 385-393.
  29. Liu, Huajin & Zhang, Wei & Zhang, Xiaotao & Liu, Jia, 2021. "Temperature and trading behaviours," International Review of Financial Analysis, Elsevier, vol. 78(C).
  30. Kaustia, Markku & Rantapuska, Elias, 2016. "Does mood affect trading behavior?," Journal of Financial Markets, Elsevier, vol. 29(C), pages 1-26.
  31. Shafiqur Rahman & Matthew J. Schneider, 2019. "Tests of Alternative Asset Pricing Models Using Individual Security Returns and a New Multivariate F-Test," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-34, March.
  32. Xianfeng Hao & Yudong Wang, 2023. "Cloud cover and expected oil returns," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-10, December.
  33. Verdickt, Gertjan, 2020. "Is fertility a leading indicator for stock returns?," Finance Research Letters, Elsevier, vol. 33(C).
  34. Lin, Qi & Lin, Xi, 2021. "Cash conversion cycle and aggregate stock returns," Journal of Financial Markets, Elsevier, vol. 52(C).
  35. Burakov, D., 2017. "Do Sunspots Matter for Cycles in Agricultural Lending: a VEC Approach to Russian Wheat Market," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 9(1), March.
  36. Ricardo T. Fernholz & Christoffer Koch, 2018. "The Rank Effect," Papers 1812.06000, arXiv.org.
  37. Gregory, Richard Paul, 2021. "What determines Manager and Investor Sentiment?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 30(C).
  38. Dimitri Kroujiline & Maxim Gusev & Dmitry Ushanov & Sergey V. Sharov & Boris Govorkov, 2016. "Forecasting stock market returns over multiple time horizons," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1695-1712, November.
  39. Travis L Johnson, 2019. "A Fresh Look at Return Predictability Using a More Efficient Estimator," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(1), pages 1-46.
  40. Sylvain Chassang, 2016. "Mostly Prior-Free Asset Allocation," Working Papers 077_2016, Princeton University, Department of Economics, Econometric Research Program..
  41. Kroujiline, Dimitri & Gusev, Maxim & Ushanov, Dmitry & Sharov, Sergey V. & Govorkov, Boris, 2015. "Forecasting stock market returns over multiple time horizons," MPRA Paper 66175, University Library of Munich, Germany.
  42. Barroso, Pedro & Boons, Martijn & Karehnke, Paul, 2021. "Time-varying state variable risk premia in the ICAPM," Journal of Financial Economics, Elsevier, vol. 139(2), pages 428-451.
  43. Ricardo T. Fernholz & Caleb Stroup, 2018. "Asset Price Distributions and Efficient Markets," Papers 1810.12840, arXiv.org.
  44. Panagiotis Tzouvanas & Renatas Kizys & Ioannis Chatziantoniou & Roza Sagitova, 2019. "Can Variations in Temperature Explain the Systemic Risk of European Firms?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1723-1759, December.
  45. Zhuhua Jiang & Sang Hoon Kang & Chongcheul Cheong & Seong-Min Yoon, 2019. "The Effects of Extreme Weather Conditions on Hong Kong and Shenzhen Stock Market Returns," IJFS, MDPI, vol. 7(4), pages 1-14, December.
  46. Paritosh Chandra Sinha, 2021. "Attention to the Election-Economics-Politics (EEP) Nexus in the Indian Stock Markets," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 13(1), pages 7-32, June.
  47. Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
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