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Stock Market Anomalies: A Calender Effect in BSE-Sensex
Chandra, Abhijeet - Volkswirtschaftliche Fakultät, … - 2009
find the evidence of one of the anomalies, calendar effect in BSE Sensex, India’s leading stock exchange. … return anomaly is said to be found. There are other similar anomalies existing in the stock market. Economically meaningful … stock market anomalies not only are statistically significant but also offer meaningful risk adjusted economic rewards to …
Persistent link: https://www.econbiz.de/10008562637
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
returns. This implies violation of efficient market hypothesis in India. The endogenously searched significant structural …
Persistent link: https://www.econbiz.de/10011113266
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Variance ratios, structural breaks and nonrandom walk behaviour in the Indian stock returns
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2012
The paper investigates the issue of behaviour of stock returns in India. A non-parametric variance ratio test is used …
Persistent link: https://www.econbiz.de/10011108985
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Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2011
The paper examines the long memory in stock returns of emerging markets. Unlike earlier studies, present study carries out a biased reduced semi-parametric test to detect long memory in mean process and uses diverse and updated data set. The test results finds no strong evidence of long memory...
Persistent link: https://www.econbiz.de/10011112752
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Stock Market's Reaction to Monetary Policy Announcements in India
Sasidharan, Anand - Volkswirtschaftliche Fakultät, … - 2009
The paper examines stock market behaviour on days preceding and succeeding the announcement of a change in the monetary policy stance. Market's plausible reactions are tested using nonparametric statistics. The tests reveals that there is no systematic pattern in its reaction, neither towards...
Persistent link: https://www.econbiz.de/10008548824
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SHORT ARBITRAGE, RETURN ASYMMETRY AND THE ACCRUAL ANOMALY
Hirshleifer, David; Teoh, Siew Hong; Yu, Jeff Jiewei - Volkswirtschaftliche Fakultät, … - 2009
We find a positive association between short-selling and accruals during 1988-2003. Short arbitrage occurs primarily among firms in the top accrual decile, and firms with sufficiently high supply of loanable shares (proxied by institutional holdings). Consistent with limits to short arbitrage,...
Persistent link: https://www.econbiz.de/10005087506
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Accruals and Aggregate Stock Market Returns
Hirshleifer, David; Hou, Kewei; Teoh, Siew Hong - Volkswirtschaftliche Fakultät, … - 2007
Past research has shown that the level of operating accruals is a negative cross-sectional predictor of stock returns. This paper examines whether the accrual anomaly extends to the aggregate stock market. In contrast with cross-sectional findings, there is no indication that aggregate operating...
Persistent link: https://www.econbiz.de/10005836004
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Do short-sellers arbrtrage accrual-based return anomalies?
Hirshleifer, David; Teoh, Siew Hong; Yu, Jeff Jiewei - Volkswirtschaftliche Fakultät, … - 2007
-2003. The accrual and NOA return anomalies are asymmetric. The absolute value of mean abnormal returns is larger for high … NYSE. These findings indicate that there is short arbitrage of the accrual and NOA anomalies, but that short sale …
Persistent link: https://www.econbiz.de/10005617014
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Anomalies on the Brazilian Stock Market: a Modification of the Fama and French Model
Lucena, Pierre; Figueiredo, Antonio Carlos - Volkswirtschaftliche Fakultät, … - 2008
(1996), from the necessities of adaptation for the Brazilian case. This model takes into consideration two anomalies, which …
Persistent link: https://www.econbiz.de/10011112251
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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