This paper investigates the validation of the Mixture of Distributions Hypothesis (MDH) using trading volume and number of trades as contemporaneous proxies for information arrival in 15 sector indices of the Saudi Stock Exchange (Tadawul) using the TGARCH model. Findings provide strong evidence...

The present study provides evidence for the long run post-acquisition share performance of acquirer companies traded on Saudi Stock Exchange (Tadawul) for the period of 1998 to 2017. This study employs an event study methodology, a buy-and-hold abnormal return approach (BHAR) to compute the...

تتركز المعالجة في هذا البحث على دراسة العديد من القواعد التفصيلية التي تحكم آلية التعامل في سوق الأسهم السعودية في ظل نظام التداول الإلكتروني المطبق في السوق منذ...

The aim of this paper is to present the method for estimating the cost of capital of typical portfolios available on the Warsaw Stock Exchange. The authors introduce the three factor Fama-French model and its two modifications. They also apply the bootstrap method to evaluate the variability of...

This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect...

The effect of stock liquidity on stock returns is well documented on the developed capital markets, while similar studies on emerging markets are still scarce and their results ambiguous. This paper aims to answer the question whether there exists stock liquidity premium on the Polish capital...

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks (ANNs), namely the Elman Network (EN) and the Higher Order Neural network (HONN), univariate ARMA and exponential smoothing techniques, such as Single Exponential Smoothing (SES)...

Literature suggests that dividend has no impact on shareholders value in the absence of taxes and market imperfections. Hence, companies invest excess funds in positive net present value projects instead of paying out as dividends. Literature also suggests that market valuation of stocks depends...