Showing 1 - 10 of 30
This paper explores after-hours trading (AHT) in U.S. equity markets. We collect a large set of news releases during AHT and document their effect on AHT activity and market quality. Three types of news events attract most AHT: earnings announcements, insider trades, and index reconstitutions....
Persistent link: https://www.econbiz.de/10013240837
This paper analyses a set of intraday rally and crash events at the firm level during the single stock circuit breaker (SSCB) program, and documents the cross-sectional spillover effects of such events on non-halted stocks. We test whether such major price jumps, and subsequent trading halts,...
Persistent link: https://www.econbiz.de/10013003141
Persistent link: https://www.econbiz.de/10015334622
Evidence of a negative relationship between extreme positive returns and future returns has been reported in developed markets; a result that has been attributed to mispricing (Bali, Cakici, & Whitelaw, 2011; Zhong & Gray, 2016). This study examines this MAX anomaly across advanced emerging markets,...
Persistent link: https://www.econbiz.de/10012903314
The momentum premium is pervasive across international markets and different asset classes; however the drivers of this premium are yet to be established. This paper contributes to the literature by examining the relationship between a leading economic indicator, return dispersion, and the...
Persistent link: https://www.econbiz.de/10012903668
The paucity of rights issues in the US and the effect of the imputation tax system on share issuance in Australia allow us to examine the drivers of seasoned equity offerings (SEOs) in a unique setting. This paper provides a comprehensive examination of the factors (information asymmetry, demand...
Persistent link: https://www.econbiz.de/10012903670
Despite an extensive number of studies documenting evidence of seasonal anomalies in developed markets, only a few studies have comprehensively examined these anomalies within emerging markets. Testing the robustness of seasonal anomalies in emerging markets would first, help to examine the...
Persistent link: https://www.econbiz.de/10012904060
Returns to both traditional and risk-managed momentum strategies are non-normal, reducing the efficacy of the Sharpe ratio as an evaluation tool. To account for the higher moments of the return distribution, we evaluate momentum using the framework of myopic loss aversion. Under this framework,...
Persistent link: https://www.econbiz.de/10012904061
The level of firm investment, along with firm profitability, has been shown to be empirically powerful asset pricing factors in the US and other markets. The q-factor model of Hou, Xue, and Zhang (2014), and the 5-factor model of Fama and French (2014a), both rely on factors capturing the...
Persistent link: https://www.econbiz.de/10012904443
Although few doubt that good internal governance helps firms perform better, the statistical evidence is actually mixed because the positive effects of good corporate governance matters much more so at some times than others. The statistical link is strongest during “flights to quality,”...
Persistent link: https://www.econbiz.de/10012904666