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The consequences of online information dissemination on stock market liquidity and efficiency: Implications on African markets
Mlambo, Chipo; Biekpe, Nicholas - Volkswirtschaftliche Fakultät, … - 2003
From the Efficient Market Hypothesis, a market is efficient if security prices fully and correctly reflect all available information that is relevant for the stock’s pricing. This requires a medium of information dissemination and transaction ordering with both speed and accuracy. This paper...
Persistent link: https://www.econbiz.de/10008685524
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Stock Market Development, Capital Accumulation and Growth in India since 1950
Sarkar, Prabirjit - Volkswirtschaftliche Fakultät, … - 2006
This study examines whether there exists a long-term relationship between Indian share price movements and growth through capital accumulation over more than half a century period since 1951. Using the Autoregressive Distributive Lag (ARDL) approach to cointegration developed by Pesaran and...
Persistent link: https://www.econbiz.de/10005616970
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Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2014
-building. We focus on the IPO initial underpricing, long-run performance and after market liquidity problems. 1. We propose that …-determinant for the successful IPO deal completion. We propose the Ledenyov theory on the origins of the IPO underpricing and long … term underperformance effects, which states that the IPO underpricing and long term underperformance can be explained by …
Persistent link: https://www.econbiz.de/10011258000
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Stock market volatiltity around national elections
Bialkowski, Jedrzej; Gottschalk, Katrin; Wisniewski, Tomasz - Volkswirtschaftliche Fakultät, … - 2006
This paper investigates a sample of 27 OECD countries to test whether national elections induce higher stock market volatility. It is found that the country-specific component of index return variance can easily double during the week around an Election Day, which shows that investors are...
Persistent link: https://www.econbiz.de/10005835600
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Information Exchange and the Limits of Arbitrage
Gray, Wesley - Volkswirtschaftliche Fakultät, … - 2008
Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...
Persistent link: https://www.econbiz.de/10005835710
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Information Exchange and the Limits of Arbitrage
Gray, Wesley - Volkswirtschaftliche Fakultät, … - 2008
Evidence suggests that arbitragers exchange investment ideas. We analyze why and under what circumstances sharing occurs. Our model suggests that sharing ideas will lead to the following: more efficient asset prices, larger arbitrager profits, and correlated arbitrager returns. We predict that...
Persistent link: https://www.econbiz.de/10005835969
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Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L)
Saturnino, Odilon; Saturnino, Valéria; Lucena, Pierre; … - Volkswirtschaftliche Fakultät, … - 2012
The Brazilian capital market has been in the last 10 years a attractive space for negotiations and opening of company’s capital. The early studies of market anomalies that are looking for evidence on reasons of understatement and overstatement at the time of the IPO in Brazil date back to...
Persistent link: https://www.econbiz.de/10011259115
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Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns
Anginer, Deniz; Yildizhan, Celim - Volkswirtschaftliche Fakultät, … - 2009
The standard measures of distress risk ignore the fact that firm defaults are correlated and that some defaults are more likely to occur in bad times. We use risk premium computed from corporate credit spreads to measure a firm’s exposure to systematic variation in default risk. Unlike...
Persistent link: https://www.econbiz.de/10011259646
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Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -
Genest, Benoit; Rego, David; Freon, Helene - Volkswirtschaftliche Fakultät, … - 2013
The purpose of this paper is to understand how the current financial landscape shaped by the crises and new regulations impacts Investment Banking’s business model. We will focus on quantitative implications, i.e. valuation, modeling and pricing issues, as well as qualitative implications,...
Persistent link: https://www.econbiz.de/10011201776
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fama and macbeth revisited: A Critique
Salazar, Juan; Lambert, Annick - Volkswirtschaftliche Fakultät, … - 2010
The main conclusion of the FM study relies on the fact that the average of the slopes of 402 regressions of the monthly returns on 20 portfolios on theirs beta coefficients is positive. Considering this set of 402 slopes as a random sample drawn from the same normally distributed population, FM...
Persistent link: https://www.econbiz.de/10009397170