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Motivated by the demonstrated profitability of industry momentum strategies and the established explanatory power of higher moments for momentum returns at the firm level, we investigate the relation between higher moments and industry momentum returns. We use January 1970 to December 2021 data...
This study investigates the relationship between the stock ratings of professional analysts and company-level sentiment. I find that investor sentiment expressed in tweets and news articles displays a positive relationship with professional analysts’ stock ratings and that the sentiment conveyed...
The COVID-19 pandemic has led global investors to draw a parallel between pandemics and climate risk, focusing their attention on climate risk. We examine COVID-19’s effect on investors’ awareness of climate risk by analysing novel trading data for Korean-listed firms that include investor...
We examine the asymmetric effect of COVID-19 government interventions on global stock markets using a sample of 61 countries over the period of January 2020 to December 2021, applying Quantile ARDL (QARDL) and panel threshold regressions. The QARDL results show a heterogenous effect of...
This study examines differences in insider groups’ trading behaviours based on their characteristics. We use data on high-frequency insider trading and Korean bond rating change announcements. We find that insiders actively exploit their information advantage, and their transaction behaviour...
In this paper, we investigate the information sharing within an organisation and its consequences on mutual fund performance. Using a sample from the US open-end mutual fund industry, information sharing inside an organisation is quantified via the dependence of individual funds from the fund...
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