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Another look at trading costs and short-term reversal profits

de Groot, Wilma; Huij, Joop; Zhou, Weili - In: Journal of Banking & Finance 36 (2012) 2, pp. 371-382

Several studies report that abnormal returns associated with short-term reversal investment strategies diminish once trading costs are taken into account. We show that the impact of trading costs on the strategies’ profitability can largely be attributed to excessively trading in small cap...

Persistent link: https://www.econbiz.de/10010577945

Liquidity provision and stock return predictability

Hendershott, Terrence; Seasholes, Mark S. - In: Journal of Banking & Finance 45 (2014) C, pp. 140-151

This paper examines the trading behavior of two groups of liquidity providers (specialists and competing market makers … market-wide measure of liquidity. A double sort using past trades of specialists and competing market makers produces a long …-short portfolio that earns 88 basis points per week (act as complements). Finally, we identify a “chain” of liquidity provision …

Persistent link: https://www.econbiz.de/10011065626

Short-Sale Constraints and the Non-January Idiosyncratic Volatility Puzzle

Doran, James; Jiang, Danling; Peterson, David - Volkswirtschaftliche Fakultät, … - 2007

The underperformance of high idiosyncratic volatility stocks, as documented by Ang, Hodrick, Ying, and Zhang (2006, JF), is a pure non-January phenomenon. This non-January negative relation between idiosyncratic volatility and stock returns is more pronounced among firms with greater constraints...

Persistent link: https://www.econbiz.de/10005621852

Individual Investors and Volatility

Foucault, Thierry; Sraer, David; Thesmar, David - C.E.P.R. Discussion Papers - 2008

We test the hypothesis that individual investors contribute to the idiosyncratic volatility of stock returns because they act as noise traders. To this end, we consider a reform that makes short selling or buying on margin more expensive for retail investors relative to institutions, for a...

Persistent link: https://www.econbiz.de/10005114244

Arbitrage Pricing Theory Applied to the Chilean Stock Market

Kristjanpoller, Werner; Morales, Mauricio - In: Lecturas de Economía (2011) 74, pp. 37-59

Arbitrage pricing theory states that the expected return of an asset portfolio is related to factors characterizing the economy and could be associated to macroeconomic variables. In this paper, we consider equity traded in the Chilean stock market to empirically contrast the APT in its...

Persistent link: https://www.econbiz.de/10010902325

The Effect of Regulation Fair Disclosure on Market Integration

Chelikani, Surya; D'Souza, Frank P. - In: The International Journal of Business and Finance Research 8 (2014) 4, pp. 43-62

The recent market crises have focused interest on methods to improve the functioning of financial markets. Before implementing new regulations, it is necessary to evaluate the effects of previous regulations. Regulatory changes such as Fair Disclosure have an effect on information dissemination...

Persistent link: https://www.econbiz.de/10010960343

The costs and benefits of short sale disclosure

Duong, Truong X.; Huszár, Zsuzsa R.; Yamada, Takeshi - In: Journal of Banking & Finance 53 (2015) C, pp. 124-139

In this study, we examine the impact of a market-wide mandatory disclosure policy on short selling on the Tokyo Stock Exchange. We find that average short selling slightly declined while investors’ shorting strategies changed significantly in response to the disclosure. Previously highly...

Persistent link: https://www.econbiz.de/10011209848

(How) has the market become more efficient?

Bertone, Stephen; Paeglis, Imants; Ravi, Rahul - In: Journal of Banking & Finance 54 (2015) C, pp. 72-86

deviations is related to volatility, liquidity, and transaction costs of both the index constituents and the ETF. Further, the … influence of news arrival, and liquidity (volatility) shocks on the deviations persists for several hours. Finally, we document …

Persistent link: https://www.econbiz.de/10011264661

Giffen Goods and Market Making

Cespa, Giovanni - Barcelona Graduate School of Economics (Barcelona GSE) - 2003

This paper shows that information effects per se are not responsible for the Giffen goods anomaly affecting traders' demands in multi asset noisy, rational expectations equilibrium markets. The role that information plays in traders' strategies also matters. In a market with risk averse,...

Persistent link: https://www.econbiz.de/10010547268

Is Rational Speculation in the Presence of Positive Feedback Traders Destabilizing?

Arnold, Lutz G.; Brunner, Stephan - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2012

DeLong (1990a) et al. show that in the presence of positive feedback traders rational speculation can be destabilizing, in that it drives the price of a risky asset above its expected value. A generalization of their seminal model with additional trading dates and an additional informative...

Persistent link: https://www.econbiz.de/10010555574

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