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Paper profits from value, size and momentum : Evidence from the Polish market
Zaremba, Adam; Konieczka, Przemysław - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 3, pp. 58-69
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011455379
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Liquidity shocks and stock market reactions
Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013 - This draft: July 03, 2012
This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...
Persistent link: https://www.econbiz.de/10009703602
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Comovement revisited
Kasch, Maria; Sarkar, Asani - 2011
We find, unlike earlier studies, that there is no rise in the market betas of stocks that enter the S&P 500 index when the estimated factor model is that of Fama and French (1993). We also find that SMB and HML factor betas decline after the stocks are added to the index. This decline is...
Persistent link: https://www.econbiz.de/10008935723
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The low price effect on the Polish market
Zaremba, Adam; Żmudziński, Radosław - In: E-Finanse : finansowy kwartalnik internetowy 10 (2014) 1, pp. 69-85
In this paper we investigate the characteristics of the low price anomaly, which implies higher returns to stocks with a low nominal price. The research aims to broaden academic knowledge in a few ways. Firstly, we deliver some fresh evidence on the low price effect from the Polish market....
Persistent link: https://www.econbiz.de/10010390247
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Riskiness Measures and Expected Returns
Bali, Turan G. - 2012
Inspired by Aumann and Serrano (2008) and Foster and Hart (2009), we propose risk-neutral options' implied measures of riskiness and investigate their significance in predicting the cross section of expected returns per unit of risk. The empirical analyses indicate a negative and significant...
Persistent link: https://www.econbiz.de/10013114947
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Volatility Spreads and Expected Stock Returns
Bali, Turan G. - 2012
significant information flow from individual equity options to individual stocks, implying informed trading in options by … investors with private information …
Persistent link: https://www.econbiz.de/10013116882
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Non-Synchronous Trading in Indonesia Stock Exchange
Pasaribu, Rowland Bismark - 2011
This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results...
Persistent link: https://www.econbiz.de/10013123883
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Relevance of Accrual Anomaly Information in Stock Portfolio Formation - Case Study : Indonesia Stock Exchange
Pasaribu, Rowland Bismark - 2011
The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital … market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In … objective of this study is to prove significance influence of accrual information and to evaluate the performance of stock …
Persistent link: https://www.econbiz.de/10013123885
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Stock Portfolio with Fama-French Model in Indonesian Stock Exchange
Pasaribu, Rowland Bismark - 2011
This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...
Persistent link: https://www.econbiz.de/10013123907
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Liquidity Shocks and Stock Market Reactions
Bali, Turan G. - 2013
We find that the stock market underreacts to stock level liquidity shocks: liquidity shocks are not only positively associated with contemporaneous returns, but they also predict future return continuations for up to six months. Long-short portfolios sorted on liquidity shocks generate...
Persistent link: https://www.econbiz.de/10013091046