This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

Kamstra et al. (2003, 2009, 2012) offer a seasonal affective disorder hypothesis to explain variations in the daily returns of stock indices. We examine Kamstra et al. (2012) new variable called SAD onset/recovery. The analysis reveals concerns for the validity of the SAD hypothesis.

Testing for normality is of paramount importance in many areas of science since the Gaussian distribution is a key hypothesis in many models. As the use of semi–moments is increasing in physics, economics or finance, often to judge the distributional properties of a given sample, we propose a...

This article exploits a new spillover directional measure proposed by Diebold and Yilmaz (2009, 2012) to investigate the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during the period 2004 to 2012. Our results indicate that return...

This study constructs a variety of GARCH models with the consideration of the generalized error distribution to analyze the relationship between the cloud cover and stock returns in Taiwan in the whole sample period (1986 to 2007) and in the two sub-sample periods (1986 to 1996 and 1997 to...

This review of the SAD hypothesis of Kamstra et al. (2003), hereafter KKL (2003), isolates four new problems. First, the KKL (2003) statistical model does not test the KKL (2003) SAD hypothesis. Second, KKL (2003) do not properly interpret their results. Third, KKL (2003) incorrectly specify the...

Quarterly earnings conference calls are becoming a more pervasive tool for corporate disclosure. However, the extent to which the market embeds information contained in the tone (i.e. sentiment) of conference call wording is unknown. Using computer aided content analysis, we examine the...

We first provide a cleaner and comprehensive out-of-sample test of three competing asset-pricing models. Our results suggest that the value and momentum factors have pervasive pricing power. Motivated by Garlappi and Yan (2011), we then examine if there is a unifying risk-based explanation for...

Multiple psychological studies support a relationship between weather and the mood of individuals. Furthermore, mood seems to influence the decision making process of individuals namely when those decisions are risky. Therefore, weather may have an indirect impact on market returns. We review...

The stock market is evolving, and investors are learning. This paper investigates the role of perpetual learning in excess return forecasts. We find that perpetual learning usually delivers statistically and economically significant out-of-sample gains relative to the historical average.