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Market Timing with Candlestick Technical Analysis
Marshall, Ben R. - 2009
We investigate the profitability of the quantitative market timing technique of candlestick technical analysis in the U.S. equity market. Despite being used for centuries in Japan and now having a wide following amongst market practitioners globally, there is little research documenting its...
Persistent link: https://www.econbiz.de/10012721356
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Why Investors Should not be Cautious About the Academic Approach to Testing for Stock Market Anomalies
Pardo Tornero, Ángel - 2009
The ability of investors to implement seasonal strategies implied by academic papers has been widely criticised, most recently by Hudson, Keasey amp; Littler (2002). This paper addresses these concerns, and provides an example of a strategy derived from academic papers that indicates how and to...
Persistent link: https://www.econbiz.de/10012721360
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Daily Short Interest, Idiosyncratic Risk, and Stock Returns
Au, Andrea S. - 2009
This paper examines the relation between short selling and returns and the impact of arbitrage costs on short sellers' behavior. Using daily UK short selling data, we find that stocks with low short interest levels experience significant positive returns on both an equal- and value-weighted...
Persistent link: https://www.econbiz.de/10012721395
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Bayesian Learning and its Impact on Market Pricing
Guido, Ron - 2009
This paper develops a microstructure model which describes the way in which private information is incorporated into … information arrival can be inferred from observed order flow variables and used to set prices by market participants. In light of … parameters including the probability of informational trading, the spread attributable to information asymmetry and the degree of …
Persistent link: https://www.econbiz.de/10012721412
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Investor Sentiment in the Stock Market
Baker, Malcolm P. - 2009
Real investors and markets are too complicated to be neatly summarized by a few selected biases and trading frictions. The quot;top downquot; approach to behavioral finance focuses on the measurement of reduced form, aggregate sentiment and traces its effects to stock returns. It builds on the...
Persistent link: https://www.econbiz.de/10012721431
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The Return of the Size Anomaly : Evidence from the German Stock Market
Amel-Zadeh, Amir - 2009
This paper examines the size-effect in the German stock market and intends to address several unanswered issues on this widely known anomaly. Unlike recent evidence of a reversal of the size anomaly we document a conditional relation between size and returns. We also detect strong momentum...
Persistent link: https://www.econbiz.de/10012721474
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Fair Disclosure and Investor Asymmetric Awareness in Stock Markets
Liu, Zhen - 2009
Exchange Commission in 2000. The regulator aims to reduce information asymmetry among investors, and expects public forums to … subsume the forbidden information channel of selective forums. We show that even with cooperative managers and effective … relevant information at public forums. This leads to inefficient information production. We also analyze the market prices and …
Persistent link: https://www.econbiz.de/10012721491
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Liquidity and Optimal Market Transparency
Dumitrescu, Ariadna - 2009
In this paper we explore some of the consequences of greater market transparency for market performance in the presence of a strategic specialist. Although numerous studies have dealt with this issue, previous work has only considered either fully transparent or fully opaque markets. Our model...
Persistent link: https://www.econbiz.de/10012721503
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Credit Ratings and the Cross-Section of Stock Returns
Avramov, Doron - 2009
Low credit risk firms realize higher returns than high credit risk firms. This effect is puzzling because investors seem to pay a premium for bearing credit risk. This paper shows that the credit risk effect manifests itself due to the poor performance of low-rated stocks during periods of...
Persistent link: https://www.econbiz.de/10012721507
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Recovery of Hidden Economic and State Variable Effects on Oil and Gas Asset Value and Risk Measures
Kretzschmar, Gavin Lee - 2009
Commodity price shocks are shown to cause shifts in both the quantum and timing of risk in natural resource assets. We provide evidence that static risk measures understate the periodicity of price risk implicit in depleting assets. Risk measurement is demonstrated to be asset specific and to...
Persistent link: https://www.econbiz.de/10012721522