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Anticipatory effects in the FTSE 100 index revisions
Fernandes, Marcelo; Mergulhão, João - 2015
This paper examines the price impact of trading due to expected changes in the FTSE 100 index composition, which employs publicly-known objective criteria to determine membership. Hence, it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression...
Persistent link: https://www.econbiz.de/10011405289
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Economic forces and the stock market : testing the APT and alternative asset pricing theories
Chen, Nai-fu; Roll, Richard; Ross, Stephen A. - 1983
Persistent link: https://www.econbiz.de/10000687836
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An equilibrium approach to derivative securities : stochastic volatility and survival
Aase, Knut K. - 1996
Persistent link: https://www.econbiz.de/10000938202
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A GMM test of the three-moment CAPM in the Australian equity market
Faff, Robert W.; Ho, Yew Kee; Zhang, Li - 1995
Persistent link: https://www.econbiz.de/10000912061
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The forecasting performance of stock options prices in a thin market
Gemmill, Gordon; Dickins, Paul - 1984
Persistent link: https://www.econbiz.de/10003557534
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Modeling and pricing long-memory in stock market volatility
Bollerslev, Tim; Mikkelsen, Hans Ole Æ. - 1994
Persistent link: https://www.econbiz.de/10000896214
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Risk, Gordon's growth model, and the predictability of stock market returns
Attanasio, Orazio P.; Wadhwani, Sushil B. - 1989 - Rev
Persistent link: https://www.econbiz.de/10000819088
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Do implicit prices of characteristics change with the end of season price reductions?
Havrila, Inka - 1996
Persistent link: https://www.econbiz.de/10000961223
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Speculative bubbles and financial crisis
Wang, Pengfei; Wen, Yi - 2009
Persistent link: https://www.econbiz.de/10003848777