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Effects of unusual R&D expenditures on stock returns : evidences from the listed companies in Taiwan

Li, Jian-fa; Lin, Yih-bey; Hong, Cheng-yih - In: Applied economics letters 19 (2012) 4/6, pp. 383-386

Persistent link: https://www.econbiz.de/10009630116

European ADRs : what a difference a decade makes

Schaub, Mark - In: Applied economics letters 21 (2014) 7/9, pp. 470-476

Persistent link: https://www.econbiz.de/10010414307

Overnight gold returns

Blose, L. E.; Gondhalekar, Vijay - In: Applied economics letters 21 (2014) 16/18, pp. 1269-1272

Persistent link: https://www.econbiz.de/10010467523

Identifying inconsistency in short-term reversal : evidence from the Chinese stock market

Jiang, Lu; Lao, LanJun - In: Applied economics letters 30 (2023) 20, pp. 2894-2901

Persistent link: https://www.econbiz.de/10014414033

Estimation Risk, Market Efficiency, and the Predictability of Returns

Lewellen, Jonathan - 2000

In asset pricing, estimation risk refers to investor uncertainty about the parameters of the return or cashflow process …. We show that with estimation risk the observable properties of prices and returns can differ significantly from the … portfolios, and these deviations can be predictable based on past dividends and prices. In short, estimation risk can be …

Persistent link: https://www.econbiz.de/10012471062

Good News for Value Stocks : Further Evidence on Market Efficiency

Porta, Rafael La - 1995

This paper examines the hypothesis that the superior return to so-called value stocks is the result of expectational errors made by investors. We study stock price reactions around earnings announcements for value and glamour stocks over a 5 year period after portfolio formation. The...

Persistent link: https://www.econbiz.de/10012473559

Asset Returns, Discount Rate Changes and Market Efficiency

Smirlock, Michael - 1984

The primary purpose of this paper is to reconcile the previous findings of discount rate endogeneity with the presence of discount rate announcement effects in securities markets. The crux of this reconciliation is the dictinction between "technicral" discount rate changes that are endogenous...

Persistent link: https://www.econbiz.de/10012477556

The New Fama Puzzle

Bussiere, Matthieu - 2018

We re-examine the Fama (1984) puzzle - the finding that ex post depreciation and interest differentials are negatively correlated, contrary to what theory suggests - for eight advanced country exchange rates against the US dollar, over the period up to February 2016. The rejection of the joint...

Persistent link: https://www.econbiz.de/10012453372

Anomalies and Market Efficiency

Schwert, G. William - 2002

Anomalies are empirical results that seem to be inconsistent with maintained theories of asset-pricing behavior. They indicate either market inefficiency (profit opportunities) or inadequacies in the underlying asset-pricing model. The evidence in this paper shows that the size effect, the value...

Persistent link: https://www.econbiz.de/10012469431

The Mysterious Growing Value of S&P 500 Membership

Morck, Randall - 2001

The efficient markets hypothesis implies that passive indexing should generate as high a return as active fund management. Indexing has been a very successful strategy. We document a large value premium in the average q ratios of firms in the S&P 500 index relative to the q ratios of other...

Persistent link: https://www.econbiz.de/10012470061