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We find that firms in the growth and maturity stage generally have higher levels of institutional ownership, higher Tobin’s Q ratios, and are more likely to remain in their life cycle stage over the subsequent six-year period. Further analysis indicates a feedback effect between domestic and...
This study applies the sentiment endurance (SE) index developed by He (2012) to forecast excess returns of insurance stocks. With the exception of the 12-month rolling forecasts of the Fama-French three-factor model (FF), forecasts of the SE model persistently outperform that of the CAPM and FF...
Early forms of statistical arbitrage exploited the mean reversion of a model error extracted from pairs of instruments with a tendency to move together. Pairs trading was extended by Engle and Granger and by Johansen to include several co-integrated instruments. Partial co-integration was...
The historical skewness of stock return distributions could potentially affect future stock returns. Previous studies in developed markets have shown that investors prefer shares exhibiting positively skewed or ‘lottery-like’ payoff profiles. The higher demand for these shares results in a...
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