1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

Earnings Management and Investor Protection: An International Comparison

From Efficient Markets Theory to Behavioral Finance

Giving Content to Investor Sentiment: The Role of Media in the Stock Market

We investigate whether investor sentiment affects the cross-section of stock returns in China A-share market.The evidence shows that the sensitivity of stock returns to sentiment changes is different. When an index of investor sentiment takes high values,low tangible assets,high Debt-asset ratio,and non-dividend-paying stocks earn relatively higher returns,when sentiment is low,the aforementioned categories of stocks earn relatively lower returns.When sentiment is high,low-price,unprofitable and high book-market ratio stocks earn relatively higher returns and vice versa,but which is insignificant.The capitalization, volatility and institutional ownership appear to have no significant cross-section effect of investor sentiment on its characteristic Portfolio return.

Investor Sentiment and the Cross-Section of Stock Returns

This study concentrates its attention on the China stock market, and employs the panel data and the time-series data methodologies to explore the occurrence of intra-industry information diffusion The results show the existence of a gradual occurrence of intra-industry information diffusion in China's stock market, by means of a significant lead-lag relationship between big firms and small firms This paper further confirms that gradual information diffusion actually appears within an industry rather than across the different industries of a national entity We also respectively analyze a number of individual industries with different suitable lag lengths We discover a useful finding that fairly predicts according to different industries in China, a wisdom that investors ought to choose some high quality small firms in the appropriate investment timing from the same industry rather than seeking investment opportunities in the whole market, whenever any good common information comes to some big firms We also use the data from trading volume portfolios to process findings from previous analyses The results are highly consistent

Intra-industry information diffusion in China's stock market

This paper proposes a quasi‐rational multi‐factor stock‐pricing determinants model with fundamental (rational) and behavioural (irrational) risk factors that highlight academic and practical merits. Academically, this study provides proofs to the notion of bounded rational and dynamic risk–return relationships. Practically, ways to uncover dynamics risk attributes in equity markets are highlighted. The empirical tests are performed based on a sample of 238 Malaysian firm stock returns with monthly data spanning from 1996:01 to 2014:12. The panel regression and quantile panel regression methods are employed in estimations to uncover the dynamic risk–return relationships. Collectively, the analyses provide evidence to support the dynamic of risk attributes due to quasi‐rational risk factors and given different prospects namely; firm characteristics, market states, as well as losses and gains. In theory, the results lend support to the validity of the suggested stock‐pricing determinants model. In practice, the study provides valuable insights to capture multi‐attributes risk dynamics in stock market that will benefits practitioners for trading strategies and policymakers for market efficiency governance policymaking.

Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights

The study focuses on the process of information diffusion in Chinese real estate stocks. By investigating whether and how policy reforms that occurred during 2002 to 2013 affected the process of information diffusion, this study finds there is a significant lead-lag relationship between big and small Chinese real estate stocks, generated by the gradual information diffusion. This study further discovers that this lead-lag effect is enhanced along with main policy reforms of Chinese real estate market during the full sample period, which implies the delay degree of information diffusion becomes greater over time. Therefore, policy reforms in Chinese real estate market increase friction of information diffusion. However, continuously decreasing information volatility of information diffusion suggests information environment and transparency of market have improved over time. Therefore, the results support the notion that, along with the market development, policy reforms of Chinese real estate market have brought about transparency to the market to some degree.Keywords: Policy Reform; Information Diffusion; Real Estate Stocks; China.

/pdf/the-impacts-of-policy-reform-on-information-diffusion-in-cw486xc6cq.pdf

The impacts of policy reform on information diffusion in chinese real estate stocks

This study aims to reveal the mechanism of the influences of the full moon and high temperatures on investors’ Monday irrationality. In contrast to other studies, this research was built under a retroductive approach by using a time series quasi experimental study. Investors were directly assessed for their irrationality by using an adapted psychometric test on 4 occasions. The results indicate that there were indeed effects of the full moon and high temperatures on investors’ irrationality. Because the full moon and high temperatures frequently occurred on Mondays, it is most probably those two variables that were the drivers of the Monday irrationality. In the end, we concluded that the rational behaviour assumption can no longer be held. Instead of rationality, the investors were quasi rational. The utility function of Von Neumann-Morgenstern in decision making has to be replaced by the hedonic utility.

https://jurnal.ugm.ac.id/gamaijb/article/download/9293/6894

Debunking the Monday Irrationality through the External Affection of Investors

/pdf/industrial-training-a-survey-on-its-effectiveness-among-2qjlqu0jsw.pdf

Zamri Ahmad

Papers

Intra-industry information diffusion in China's stock market

Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights

The impacts of policy reform on information diffusion in chinese real estate stocks

Debunking the Monday Irrationality through the External Affection of Investors

Industrial Training: a Survey on its Effectiveness Among Undergraduates from the Faculty of the Islamic Studies