What protects travel and leisure companies from a global pandemic, such as COVID-19? To answer this question, we investigate data on over 1200 travel and leisure companies in 52 countries. We ...consider 80 characteristics, such as company financial ratios, macroeconomic variables, and government policy responses. Using regressions and machine learning tools, we demonstrate that firms with low valuations, limited leverage, and high investments have been more immune to the pandemic-induced crash. We also find a beneficial effect of stringent containment and closure policies. Finally, our results indicate that countries with less individualism may be better positioned to cope with the pandemic. Our findings have implications for regulatory bodies, managers, and investors concerning future pandemic outbreaks.
This paper reviews the current state of ChatGPT technology in finance and its potential to improve existing NLP-based financial applications. We discuss the ethical and regulatory considerations, as ...well as potential future research directions in the field. The literature suggests that ChatGPT has the potential to improve NLP-based financial applications, but also raises ethical and regulatory concerns that need to be addressed. The paper highlights the need for research in robustness, interpretability, and ethical considerations to ensure responsible use of ChatGPT technology in finance.
Motivated by existing evidence of the salience theory (ST) effect in the United States, we investigate its importance in 49 countries over the past three decades. Initial results suggest a negative ...relationship between the ST measure and future returns. The underperformance of low ST stocks is the strongest in countries with high idiosyncratic risk. However, the salience effect has three vital limitations. First, a substantial part of the anomaly can be attributed to the short-term return reversal. Second, it is priced primarily among microcaps. Third, the premium is realized predominantly following severe down markets and volatility spikes. Outside of microcaps and extreme market conditions, the salience effect does not exist.
The study examines the turn-of-the-year effect in the country-level value and momentum strategies. We re-examine eight distinct value and momentum strategies within 78 markets in the 1995-2015 period ...and we test their performance for the seasonal patterns. We find that during the last 20 years the value strategies performed particularly well in January and poor in December. On the contrary, the momentum strategies had high returns in December and low in January. These observations are consistent with the explanations of the January seasonality related to the tax loss selling and window dressing effects.
We are the first to document the cross-sectional return seasonality effect in international government bonds. Using a variety of tests, we examine fixed-income securities from 22 countries for the ...years 1980–2018. The bonds with high (low) returns in the same-calendar month in the past continue to overperform (underperform) in the future. The effect is robust to many considerations, including controlling for established predictors of bond returns. Our results support the behavioural story of the anomaly, demonstrating its highest profitability in the periods of elevated investor sentiment and in the market segments of strong limits to arbitrage. Nonetheless, investment application of bond seasonality might be challenging due to high trading costs and the required short holding periods.
The aim of this study was to investigate the effects of mini Trailing-Edge Devices (mini TEDs) on the aerodynamic characteristics of the RAE 2822 airfoil. Using ANSYS Fluent software, numerical ...simulations were conducted to analyze the compressible flow around the airfoil at Mach number (Ma) 0.73, considering different angles of attack. The mini TEDs used in the simulation were a Gurney flap and a divergent trailing-edge. The results show that the integration of these mini TEDs at the trailing edge leads to a significant increase in both lift coefficient (CL) and drag coefficient (CD) but, for certain angles of attack, an improvement in the lift-to-drag ratio of the airfoil was obtained. The results showed the potential benefits of using mini TEDs to improve aerodynamic performance in aerospace drone applications.
We perform a comprehensive investigation of the illiquidity premium in international stock markets. We examine several established liquidity measures in 45 countries for the years 1990–2020. Our ...findings provide convincing evidence that liquidity pricing depends strongly on firm size. Although the premium is globally present, it exists only among microcap stocks, which have negligible economic significance. Outside the microcap universe, virtually no liquidity effect can be observed.
Using sorting, cross-sectional tests, regression, and tests of a monotonic relation, the study examines the return patterns related to seven distinct quality characteristics: accruals, bid-ask ...spread, balance sheet liquidity, profitability, leverage, payout ratio and turnover. The investigation of more than 1.300 stocks from 11 Central and Eastern European countries for the period 2002–2014 documents a strong gross-profitability premium and an inverted liquidity premium. Profitable and not heavily leveraged companies provide a partial hedge against market distress. Finally, the paper proposes quality spreads as a forecasting tool and shows that they have predictive abilities over quality premiums related to leverage, profitability and bid-ask spread.
We hypothesize that local economic discomfort influences investors’ risk aversion, leading to cross-sectional variation in risk premia in segmented equity markets. To test this assertion, we employ ...the misery index (MI)—which aggregates both unemployment and inflation rates—as a gauge of macroeconomic welfare. Using six decades of data from 69 markets, we demonstrate that economic discomfort reliably predicts cross-sectional stock returns. A quartile of countries with the highest MI outperforms those with the lowest by 0.74% per month. The effect prevails in markets where prices are set locally and gradually declines over time as markets become more integrated.
The last three decades brought mounting evidence regarding the cross-sectional predictability of country equity returns. The studies not only documented country-level counterparts of well-established ...stock-level anomalies, such as size, value, or momentum, but also demonstrated some unique return-predicting signals such as fund flows or political regimes. Nonetheless, the different studies vary remarkably in terms of their dataset and methods employed. This study aims to provide a comprehensive review of the current literature on the cross-section of country equity returns. We focus on three particular aspects of the asset pricing literature. First, we study the choice of dataset and sample preparation methods. Second, we survey different aspects of the methodological approaches. Last but not least, we review the country-level equity anomalies discovered so far. The discussed cross-sectional return patterns not only provide new insights into international asset pricing but can also be potentially translated into effective country allocation strategies.
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