This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral...

This study examines whether changes in closed-end country fund premiums lead and/or lag management performance. Using a sample of 46 country funds and a time period of 11 years we find evidence of a significant negative relationship between past performance and current fund premiums, but no...

Market anomaly is an important phenomenon in finance because it challenges an essential concept in modern finance, the Efficient Market Hypothesis. Traditionally, professors rarely demonstrate and statistically test market anomalies in undergraduate finance classes due to the lengthy data...

In an effort to extend our study on the relationship between overnight and intraday returns, we expand the study horizon to include more recent, relatively “calm” market years. We find that the autocorrelation between overnight and intraday returns persisted among smaller stocks, but not for...

An efficient market (weak form) will contain no significant price pattern, a view supported by numerous empirical studies. Our study, however, reveals a very strong negative autocorrelation between overnight and intraday returns, regardless of our sampling method or the methodology in use....

Herein we compare the performance of fundamental weighted indexes to a traditional value weighted index on a back tested basis. Working with the pre-selected S&P 500 components, we isolate the effect of changing the weighing scheme. As an additional test, we transformed the value-weighted...