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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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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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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
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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
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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
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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/10013091392