Improvements in forecasting insurance stock excess returns: Comparing the investor sentiment endurance index with the CAPM and Fama-French models

2021 ◽  
pp. 1-11
Author(s):  
Ling T. He ◽  
Haibo Yao ◽  
K. Michael Casey
Keyword(s):  
Investor Sentiment ◽  
Excess Returns ◽  
Insurance Stock

scholarly journals Mood Sensitive Stocks and Sustainable Cross-Sectional Returns During the COVID-19 Pandemic: An Analysis of Day of the Week Effect in the Chinese A-Share Market

2021 ◽  
Vol 12 ◽  
Author(s):  
Qurat ul Ain ◽  
Tamoor Azam ◽  
Tahir Yousaf ◽  
Muhammad Zeeshan Zafar ◽  
Yasmeen Akhtar
Keyword(s):  
Stock Returns ◽  
Investor Sentiment ◽  
Excess Returns ◽  
Chinese Market ◽  
Market Anomalies ◽  
Cross Sectional ◽  
Day Of The Week ◽  
Stock Market Anomalies ◽  
New Evidence ◽  
A Share

This study examines two stock market anomalies and provides strong evidence of the day-of-the-week effect in the Chinese A-share market during the COVID-19 pandemic. Specifically, we examined the Quality minus Junk (QMJ) strategy return on Monday and FridayQuality stocks mean portfolio deciles that earn higher excess returns. As historical evidences suggest that less distressed/safe stocks earn higher excess returns (Dichev, 1998).. The QMJ factor is similar to the division of speculative and non-speculative stocks described by Birru (2018). Our findings provide evidence that the QMJ strategy gains negative returns on Fridays for both anomalies because the junk side is sensitive to an elevated mood and, thus, performs better than the quality side of portfolios on Friday. Our findings are also consistent with the theory of investor sentiment which asserts that investors are more optimistic when their mood is elevated, and generally individual mood is better on Friday than on other days of the week. Therefore, the speculative stocks earned higher sustainable stock returns during higher volatility in Chinese market due to COVID-19. Intrinsically, new evidence emerges on an inclined strategy to invest in speculative stocks on Fridays during the COVID-19 pandemic to gain sustainable excess returns in the Chinese A-share market.

scholarly journals The causal linkages between investor sentiment and excess returns on Borsa Istanbul

2020 ◽  
Vol 20 (3) ◽  
pp. 214-223 ◽  
Author(s):  
Efe Caglar Cagli ◽  
Zeliha Can Ergün ◽  
M. Banu Durukan
Keyword(s):  
Investor Sentiment ◽  
Excess Returns

Stock market volatility, excess returns, and the role of investor sentiment

2002 ◽  
Vol 26 (12) ◽  
pp. 2277-2299 ◽  
Author(s):  
Wayne Y Lee ◽  
Christine X Jiang ◽  
Daniel C Indro
Keyword(s):  
Stock Market ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Excess Returns
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