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Takeover Vulnerability and the Behavior of Short-Term Stock Returns

Chae, Joon - 2013

This paper proposes and tests the hypothesis that takeover vulnerability contributes to short-term price reversal by … motivating investors to trade speculatively and also by making investors demand immediacy in their trades. That is, takeover … several different measures of takeover vulnerability, we find that takeover vulnerability is positively related to price …

Persistent link: https://www.econbiz.de/10013083343

Do extreme market value ratios mean that the market is informationally inefficient? : a study of the Warsaw Stock Exchange

Karasiński, Jacek; Zduńczak, Patryk - In: Journal of economics & management 43 (2021) 1, pp. 206-224

Aim/purpose - The aim of this paper is to verify whether extremely high values of market value ratios are the symptoms of informational inefficiency of the market in a weak form. The authors intend to examine whether these phenomena co-occur with each other. Design/methodology/approach -...

Persistent link: https://www.econbiz.de/10013166614

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018

In this paper the authors set out to date-stamp periods of US housing price explosivity for the period 1830–2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...

Persistent link: https://www.econbiz.de/10011812671

A runs test for stock-market prices with an unobserved trend

Herger, Nils - 2024

To analyze whether stock-market prices follow a random walk, the algebraic sign of their returns has been compared with a coin toss, which is a prominent example for a Bernoulli trial with equiprobable outcomes. Like coin tosses, signed returns lend themselves for a simple runs test for...

Persistent link: https://www.econbiz.de/10014464828

Weak Form Efficiency of the Nigerian Stock Market : An Empirical Analysis (1984–2009)

Afego, Pyemo - 2013

This paper examines the weak-form efficient markets hypothesis for the Nigerian stock market by testing for random walks in the monthly index returns over the period 1984-2009. The results of the non-parametric runs test show that index returns on the Nigerian Stock Exchange (NSE) display a...

Persistent link: https://www.econbiz.de/10013085432

Is Pakistan Stock Market Moving Towards Weak-Form Efficiency? Evidence from the Karachi Stock Exchange and the Random Walk Nature of Free-Float of Shares of KSE 30 Index

Akber, Ushna - 2013

In this study, we have attempted to seek evidence for weak-form of market efficiency for KSE 100 Index because over the last five years KSE 100 Index has shown substantial growth as compared to other emerging stock markets. Index returns have been studied from 1st January, 1992 to 30th April,...

Persistent link: https://www.econbiz.de/10013072001

Are Korean industry-sorted portfolios mean reverting?

Moon, Seongman - In: East Asian economic review 20 (2016) 2, pp. 169-190

This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...

Persistent link: https://www.econbiz.de/10011764980

Stock Price Behavior : A Survey of Literature (With Special Emphasis on the Random Walk Theory)

Sree Rama Murthy, Y. - 2021

Persistent link: https://www.econbiz.de/10013227655

FinTech Mergers

Wang, Joanna (Xiaoyu); Zhang, Alan L. - 2022

FinTech companies and FinTech mergers are increasingly prevalent over the past decades. This paper explores the motives and consequences of FinTech mergers. FinTech firms have a greater likelihood of becoming targets in mergers and acquisitions (M&As). FinTech mergers increase the valuation of...

Persistent link: https://www.econbiz.de/10013301485

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