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Stock market liquidity and information asymmetry around voluntary earnings disclosures: New evidence from France

Lakhal, Faten - In: International Journal of Managerial Finance 4 (2008) January, pp. 60-75

Purpose – The purpose of this paper is to examine whether non-mandated earnings disclosures include value-relevant information and affect information asymmetry and stock market liquidity. Design/methodology/approach – The event study methodology explores the informational content of good,...

Persistent link: https://www.econbiz.de/10005081146

Value enhancement using momentum indicators: the European experience

Bird, Ron; Casavecchia, Lorenzo - In: International Journal of Managerial Finance 3 (2007) July, pp. 229-262

Purpose – The purpose of this research is to study the extent to which various price and earnings momentum measures can be used to enhance portfolio performance by better timing entry into value stocks (and isolating those growth stocks that still have some period to run)....

Persistent link: https://www.econbiz.de/10005081159

The relationship between implied volatility and autocorrelation

Faff, Robert W.; McKenzie, Michael D. - In: International Journal of Managerial Finance 3 (2007) April, pp. 191-196

Purpose – This paper empirically assesses the determinants of conditional stock index autocorrelation with particular emphasis on the impact of return volatility that are theoretically linked through the behaviour of feedback traders. Design/methodology/approach – The S&P 100, 500 and the...

Persistent link: https://www.econbiz.de/10005081163

Determinants of ownership structure and performance of seasoned equity offerings: Evidence from Chinese stock markets

Abidin, Sazali; Reddy, Krishna; Chen, Liehui - In: International Journal of Managerial Finance 8 (2012), pp. 304-331

Purpose – Since the initiation of the share split reform by the Chinese Securities Regulatory Commission (CSRC) in 2005, the private placement has become the major source of raising equity after IPO. The purpose of this paper is to investigate why listed firms in China prefer private...

Persistent link: https://www.econbiz.de/10010610518

The anatomy of short sales and price adjustment: evidence from the Hong Kong stock market

Chen, Crystal Xiaobei - In: International Journal of Managerial Finance 8 (2012), pp. 204-218

Purpose – The purpose of this paper is to study the relationship between excess returns and short sale activities under unexpected informed and uninformed short sales. It is found that in general, the unexpected informed short sale is a bearish signal and has a negative effect on excess...

Persistent link: https://www.econbiz.de/10010610523

Does realized volatility provide additional information?

Zhang, Jianfeng; Hu, Wenxiu - In: International Journal of Managerial Finance 9 (2013) January, pp. 70-87

volatility process to the GARCH and EGARCH model, based on the data of Chinese stock market. Design/methodology/approach – The … trading day. The methodology is a GARCH (EGARCH) model with added explanation variables in the variance equation. The …

Persistent link: https://www.econbiz.de/10010610524

A cross-section analysis of financial market integration in North America using a four factor model

Beaulieu, Marie-Claude; Gagnon, Marie-Hélène; Khalaf, … - In: International Journal of Managerial Finance 5 (2009) July, pp. 248-267

Purpose – The purpose of this paper is to examine financial integration across North American stock markets from January 1984 to December 2003. Design/methodology/approach – The paper uses an arbitrage pricing theory framework. The risk factors considered are the three Fama and French...

Persistent link: https://www.econbiz.de/10004993578

The lead-lag relationship between stock index options and the stock index market: Model, moneyness, and news

Kim, Sol; Kim, In Joon; Nam, Seung Oh - In: International Journal of Managerial Finance 5 (2009) July, pp. 311-332

Purpose – The purpose of this paper is to examine the price discovery role of the Korea Composite Stock Price Index 200 (KOSPI 200) stock index options market in contrast to other developed options markets. Design/methodology/approach – The price discovery roles of the stock and options...

Persistent link: https://www.econbiz.de/10004993580

World and regional factors in stock market returns

Pattarathammas, Suluck; Khanthavit, Anya - In: International Journal of Managerial Finance 5 (2009) April, pp. 222-242

Purpose – This paper aims to test the hypothesis that the national stock market returns are driven by a world factor, regional factors and idiosyncratic factors, and to measure the importance of each factor. Design/methodology/approach – The state-space model is applied to describe the...

Persistent link: https://www.econbiz.de/10004979818

Value-at-risk under extreme values: the relative performance in MENA emerging stock markets

Maghyereh, Aktham I.; Al-Zoubi, Haitham A. - In: International Journal of Managerial Finance 2 (2006) July, pp. 154-172

an emphasis on the extreme value theory (EVT) methodology for seven Middle East and North Africa (MENA) countries. Design … their empirical failure rates. Findings – The empirical results demonstrate that the return distributions of the MENA … relevant to measure VaR in most of the MENA. Research limitations/implications – The results show that the use of conventional …

Persistent link: https://www.econbiz.de/10005002472