Good Times or Bad Times? Investors' Uncertainty and Stock Returns

By Arzu Ozoguz. 2009

188 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fa116bccc292bb1040481f8cc3c26b05763f00c5

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Citations in the corpus

Textual analysis in finance (2019, result): “Empirical studies like Ozoguz (2009) confirm these results.”
How oil prices, gold prices, uncertainty and risk impact Islamic and conventional stocks? Empirical evidence from QARDL technique (2020, background): “Similarly, Pastor and Veronesi (2012), and Ozoguz (2008) have also revealed a negative association between EPU and stock returns.”
Retail investor attention and stock price crash risk: Evidence from China (2019, background): “Ozoguz (2009) finds that uncertainty about the economy leads to significant variations across portfolios based on size.”
Multifactor models and their consistency with the ICAPM (2012, unknown): “…ICAPM over the cross-section of stock returns includes Shanken (1990), Brennan, Wang, and Xia (2004), Ang, Hodrick, Xing, and Zhang (2006), Gerard and Wu (2006), Hahn and Lee (2006), Lo and Wang (2006), Petkova (2006), Bali (2008), Guo and Savickas (2008), Ozoguz (2009), and Bali and Engle (2010).”
Learning in Financial Markets (2009, background): “Veronesi (1999, 2000) shows how learning induces time-varying expected returns that are correlated with P/D. Massa and Simonov (2005) and Ozoguz (2009) argue that uncertainty is a priced risk factor in the cross-section of stock returns.”
When does investor sentiment predict stock returns (2012, unknown): “Following Perez-Quiros and Timmermann (2000) and Ozoguz (2009), X t−1 comprises dividend yield, default premium, and the short-term interest rate. µ st is the 3 × 1 vector of the regime-dependent intercepts, Φ st is the 3 × 3 matrix of the regime-dependent coefficients .”
The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016, background): “…of the BRIC economies into the advanced economies especially the US, shocks originating from the US are significantly transmitted to the BRIC economies (Sum, 2012c) and have a particular effect on the performance of the BRIC stock markets (Bansal et al., 2005; Dzielinski, 2011; Ozoguz, 2009).”
The Causal Relationship Between Economic Policy Uncertainty and Stock Returns in China and India: Evidence from a Bootstrap Rolling Window Approach (2016, background): “Ozoguz (2009) finds a negative link between stock returns and economic uncertainty which is based on the state probabilities estimated from two-state regime-switching regime models of aggregate stock market returns.”