Using a quarterly sample of the 19 biggest US banks—ie, four universal banks and fifteen
regional banks—we find, with the help of a robust GMM method accounting for the …

The incorrect fixed-effect assumption, missing-data problem, omitted-variable problem, and
errors-in-variables (EIV) problem are estimation problems that are generally found in studies …

A well-specified and complete empirical model for weather effects, based on a rigorous
noise-trader-risk theory, was developed. Using the daily data on the Stock Exchange of …

Abstract Particulate matter 2.5 (PM 2.5) is considered the most dangerous air-polluting
particle, causing premature death and inducing severe mental and physical diseases …

Stress influences decision making. Stressed investors may trade in concert, driving stock
market returns in a certain direction. This study examines the effect of Bangkok's traffic …

Retail investors show gambling preferences and pay greater attention to the market than
individual stocks. Previous studies report a positive and significant relationship between …

To test for weather effects on stock returns and volatility, weather-related mood indexes were
constructed from the principal components (PCs) of weather variables to obtain clean …

Numerous papers find that hedge fund alpha is unexpectedly high while a large majority of
the earlier studies on mutual funds conclude that alpha is zero or even negative. There …

Weather effects exist, as weather influences investors' mood, compelling them to raise or
lower asset prices. These effects are indirect, as weather affects returns via mood–weather …

This study proposed a state-space model that allows time-varying weather effects on asset
returns. It resolves the model misspecification of the unrealistic, fixed effect assumption …