Pub Date : 2024-03-11DOI: 10.1080/1351847x.2024.2314085
Suwan (Cheng) Long, Ioannis Chatziantoniou, David Gabauer, Brian Lucey
In this paper, we investigate interdependencies between cryptocurrencies and investor sentiment by introducing the asymmetric TVP-VAR frequency connectedness approach. Our empirical results provide...
{"title":"Do social media sentiments drive cryptocurrency intraday price volatility? New evidence from asymmetric TVP-VAR frequency connectedness measures","authors":"Suwan (Cheng) Long, Ioannis Chatziantoniou, David Gabauer, Brian Lucey","doi":"10.1080/1351847x.2024.2314085","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2314085","url":null,"abstract":"In this paper, we investigate interdependencies between cryptocurrencies and investor sentiment by introducing the asymmetric TVP-VAR frequency connectedness approach. Our empirical results provide...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"14 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140106011","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-03-11DOI: 10.1080/1351847x.2024.2323454
Erdinc Akyildirim, Ahmet Faruk Aysan, Oguzhan Cepni, Özge Serbest
This paper explores the relationship between news media sentiment and spillover effects in the cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially...
{"title":"Sentiment matters: the effect of news-media on spillovers among cryptocurrency returns","authors":"Erdinc Akyildirim, Ahmet Faruk Aysan, Oguzhan Cepni, Özge Serbest","doi":"10.1080/1351847x.2024.2323454","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2323454","url":null,"abstract":"This paper explores the relationship between news media sentiment and spillover effects in the cryptocurrency market. By employing a time-varying parameter vector autoregressive model, we initially...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"39 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140148219","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-06DOI: 10.1080/1351847x.2024.2312203
Jonathan Fletcher, Andrew Marshall, Michael O’Connell
We use the Bayesian model scan approach of Chib, S., X. Zeng, and L. Zhao. 2020. ‘On Comparing Asset Pricing Models.’ The Journal of Finance 75 (1): 551–577. https://doi.org/10.1111/jofi.12854, and...
{"title":"Model scan of factors in U.K. stock returns","authors":"Jonathan Fletcher, Andrew Marshall, Michael O’Connell","doi":"10.1080/1351847x.2024.2312203","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2312203","url":null,"abstract":"We use the Bayesian model scan approach of Chib, S., X. Zeng, and L. Zhao. 2020. ‘On Comparing Asset Pricing Models.’ The Journal of Finance 75 (1): 551–577. https://doi.org/10.1111/jofi.12854, and...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"1 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139761328","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-02-06DOI: 10.1080/1351847x.2024.2310797
Pengfei Luo, Ting Lu, DanDan Song, Jinglu Jiang
We develop a dynamic incomplete-markets model of entrepreneurial firms and demonstrate the implications of preferences for liquidity to entrepreneur's interdependent consumption, portfolio allocati...
{"title":"Hedging, optimal capital structure and incentives for risk-shifting with preferences for liquidity","authors":"Pengfei Luo, Ting Lu, DanDan Song, Jinglu Jiang","doi":"10.1080/1351847x.2024.2310797","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2310797","url":null,"abstract":"We develop a dynamic incomplete-markets model of entrepreneurial firms and demonstrate the implications of preferences for liquidity to entrepreneur's interdependent consumption, portfolio allocati...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"3 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139761284","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-29DOI: 10.1080/1351847x.2023.2287065
Angelica Gonzalez, Xuhao Li
We explore if sleep deprivation affects how investors react to relevant news. Using the transition to Daylight Saving Time (DST) in spring as a disruption to sleeping patterns, we show that investo...
{"title":"Let me sleep on it: sleep and investor reactions to earnings surprises","authors":"Angelica Gonzalez, Xuhao Li","doi":"10.1080/1351847x.2023.2287065","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2287065","url":null,"abstract":"We explore if sleep deprivation affects how investors react to relevant news. Using the transition to Daylight Saving Time (DST) in spring as a disruption to sleeping patterns, we show that investo...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"169 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139646077","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-24DOI: 10.1080/1351847x.2024.2306942
Wenzhao Wang
Some financial relations have been confirmed to be different overnight and intraday due to different clienteles. In this paper, we assess the impact of investor sentiment on stock market returns in...
{"title":"Investor sentiment and stock market returns: a story of night and day","authors":"Wenzhao Wang","doi":"10.1080/1351847x.2024.2306942","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2306942","url":null,"abstract":"Some financial relations have been confirmed to be different overnight and intraday due to different clienteles. In this paper, we assess the impact of investor sentiment on stock market returns in...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"21 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-22DOI: 10.1080/1351847x.2024.2303092
Mingyi Li, Xiangkang Yin, Jing Zhao
Having established that portfolios derived from the extreme deciles of Abnormal Trading Volume (ATV) generate positive (negative) returns in the short (long) run, we devise a measure of Persistence...
{"title":"Persistence or reversal? The effects of abnormal trading volume on stock returns","authors":"Mingyi Li, Xiangkang Yin, Jing Zhao","doi":"10.1080/1351847x.2024.2303092","DOIUrl":"https://doi.org/10.1080/1351847x.2024.2303092","url":null,"abstract":"Having established that portfolios derived from the extreme deciles of Abnormal Trading Volume (ATV) generate positive (negative) returns in the short (long) run, we devise a measure of Persistence...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139585421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-18DOI: 10.1080/1351847x.2023.2297052
Jochen Ruß, Stefan Schelling, Mark Benedikt Schultze
Traditional life insurance typically uses some mechanism that is aimed at smoothing the returns of the (collective) assets in the insurer's so-called cover fund. We consider a generic smoothing mec...
{"title":"The benefits of return smoothing in insurer's cover funds – analyzes from a client's perspective","authors":"Jochen Ruß, Stefan Schelling, Mark Benedikt Schultze","doi":"10.1080/1351847x.2023.2297052","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2297052","url":null,"abstract":"Traditional life insurance typically uses some mechanism that is aimed at smoothing the returns of the (collective) assets in the insurer's so-called cover fund. We consider a generic smoothing mec...","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"52 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139516753","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2024-01-07DOI: 10.1080/1351847x.2023.2293105
Rongli Yuan, Wenyue Jin, Lisha Luo-Yang
{"title":"Information processing costs and credit ratings: evidence from investor interactive platforms in China","authors":"Rongli Yuan, Wenyue Jin, Lisha Luo-Yang","doi":"10.1080/1351847x.2023.2293105","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2293105","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":"19 12","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139448496","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2023-12-30DOI: 10.1080/1351847x.2023.2297042
Shan Lu
{"title":"Joint calibration of VIX and VXX options: does volatility clustering matter?","authors":"Shan Lu","doi":"10.1080/1351847x.2023.2297042","DOIUrl":"https://doi.org/10.1080/1351847x.2023.2297042","url":null,"abstract":"","PeriodicalId":22468,"journal":{"name":"The European Journal of Finance","volume":" 8","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-12-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139137594","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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