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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

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

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

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

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

A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium

Bali, Turan G. - 2013

We introduce a new approach to measuring riskiness in the equity market. We propose option implied and physical measures of riskiness and investigate their performance in predicting future market returns. The predictive regressions indicate a positive and significant relation between...

Persistent link: https://www.econbiz.de/10013091047

A New Approach to Measuring Riskiness in the Equity Market : Implications for the Risk Premium

Bali, Turan G. - 2013

We propose options' implied and physical measures of riskiness and investigate their performance in predicting future returns on the U.S. equity market. The predictive regressions indicate a positive and significant relation between time-varying riskiness and expected market returns. The...

Persistent link: https://www.econbiz.de/10013091172

Liquidity Shocks and Stock Market Reactions

Bali, Turan G. - 2013

Persistent link: https://www.econbiz.de/10013091392

Liquidity Shocks and Stock Market Reactions

Bali, Turan G. - 2013

Persistent link: https://www.econbiz.de/10013091418

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

Bali, Turan G. - 2019

We test the hypothesis that retail investors' attraction to lottery stocks induces overvaluation, and is amplified by high attention and social interactions. The lottery premium (negative abnormal returns) is stronger for high-retail-ownership stocks—especially those that also have high...

Persistent link: https://www.econbiz.de/10012891568