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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

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

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

Market making, price formation, and technical trading

Farmer, Doyne; Geanakoplos, John; Melby, Paul - Society for Computational Economics - SCE - 2001

We demonstrate that achieving sensible convergence of prices to equilibrium is facilitated by market maker risk. \\ We introduce several criteria for price formation rules, and provide an example that satisfies all of them. The risk aversion of the market maker inevitably leads to price...

Persistent link: https://www.econbiz.de/10005537750

A Prospect-Theoretical Interpretation of Momentum Returns

Menkhoff, Lukas; Schmeling, Maik - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2006

The puzzling evidence of seemingly high momentum returns is related to an understanding of risk as a simple covariance. If we consider, however, risk in higher-order statistical moments, momentum returns appear less advantageous. Thus, a prospect-theoretical assessment of US stock momentum...

Persistent link: https://www.econbiz.de/10005405254

Herding and Contrarian Behavior in Financial Markets - An Internet Experiment

Drehmann, Mathias; Oechssler, Joerg; Roider, Andreas - EconWPA - 2002

We report results of an internet experiment designed to test the theory of informational cascades in financial markets. More than 6000 subjects, including a subsample of 267 consultants from an international consulting firm, participated in the experiment. As predicted by theory, we find that...

Persistent link: https://www.econbiz.de/10005413109

Stock returns in relation to environmental, social and governance performance: mispricing or compensation for risk?

Manescu, Cristiana - Nationalekonomiska institutionen, Handelshögskolan - 2009

Using detailed data on seven environmental, social and governance (ESG) attributes for a long panel of large publicly traded U.S. rms during July 1992-June 2008, this study nds that only the community indicator has a positive impact on stock returns and furthermore this eect is due to...

Persistent link: https://www.econbiz.de/10004967604

Do emerging markets benefit from index inclusion?

Hacibedel, Burcu; Bommel, Jos van - Money Macro and Finance Research Group - 2007

In this paper, we study the returns of emerging market stocks that are included in the MSCI Emerging Markets index, a widely used benchmark for investment funds. Our sample consists of 269 stocks from 24 countries that were added to the index and 262 stocks that were deleted. We find convincing...

Persistent link: https://www.econbiz.de/10004975691

Weak-form Market Efficiency and Calendar Anomalies for Eastern Europe Equity Markets

Guidi, Francesco; Gupta, Rakesh; Maheshwari, Suneel - In: Journal of Emerging Market Finance 10 (2011) 3, pp. 337-389

In this article we test the weak form of the efficient market hypothesis for Central and Eastern Europe (CEE) equity markets for the period 1999â€“2009. To test weak-form efficiency in the markets, this study uses autocorrelation analysis runs test and variance ratio test. We find that...

Persistent link: https://www.econbiz.de/10011137880