The financial market interest several researchers, especially in the domain of assessment of the financial assets and their performances. The previous research identified several anomalies of the market, as size, Monday, January, PER effects, etc. putting in question the notion of market...

Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes and effects. This review and essay evaluates some of...

This paper takes a closer look at the puzzle uncovered by Driesprong et al. (2008) and finds empirical support for the "oil effect" in equity returns. Using forty nine US industry-level returns series and changes in oil spot and future prices, we address whether industry-level returns are...

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

There has been tremendous growth in interest rate futures markets since their beginning in 1975, both in terms of trading volume and the proliferation of new types of contracts. This paper focuses on the Treasury bill futures market and uses a descriptive statistic which was devised by Holbrook...

As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio...

We propose that owing to limited investor attention and skepticism of complexity, firms with greater innovative originality (IO) will be undervalued, especially for firms with higher valuation uncertainty, lower attention, and greater sensitivity of future profitability to IO. We find that IO...

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...

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...

I analyze a model with heterogeneous investors who have incorrect beliefs about fundamentals. Investors think that they are right at first, but over time realize that they are wrong. The speed of the realization depends on investor confidence in own beliefs and arrival of new information. The...