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This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...
Persistent link: https://www.econbiz.de/10012893036
sidedness (relative to a control sample) around events that identify trade initiators. Consistent with asymmetric information …
Persistent link: https://www.econbiz.de/10010283298
. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …
Persistent link: https://www.econbiz.de/10010283309
stock picks show substantial short- and long-run price and liquidity gains, although no new information is revealed about …
Persistent link: https://www.econbiz.de/10010283358
. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …
Persistent link: https://www.econbiz.de/10010283415
has implications for trading motives, market structure, and the process by which new information is incorporated into …
Persistent link: https://www.econbiz.de/10010283439
, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using …
Persistent link: https://www.econbiz.de/10010283461