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We compare the long run reaction to anticipated and surprise information announcements using stock splits. Although there is underreaction in both cases, anticipated splits are treated differently to those that are unforeseen. After anticipated splits, cumulative abnormal returns peak at...
Persistent link: https://www.econbiz.de/10012714431
We compare the long run reaction to anticipated and surprise information announcements using stock splits. Although there is underreaction in both cases, anticipated splits are treated differently to those that are unforeseen. After anticipated splits, cumulative abnormal returns peak at...
Persistent link: https://www.econbiz.de/10005213768
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Dichev (2007, American Economic Review), in an influential paper, examines the gap between the performance of major stock markets and the dollar-weighted performance of investors in these markets. He finds a significant gap of 1.3 percent per year for NYSE/AMEX and 1.5 percent internationally....
Persistent link: https://www.econbiz.de/10012722640
Existing work on mutual fund performance persistence has obtained diverse results, depending on the group of funds studied. We examine whether performance persistence within a peer group of competing mutual funds depends on the group's composition. The UK mutual fund industry is ideal for such...
Persistent link: https://www.econbiz.de/10012736897
Gruber (1996) and Zheng (1999) report that investors channel money towards mutual funds that subsequently perform well. Sapp and Tiwari (2004) find that this smart money effect no longer holds after controlling for stock return momentum. While prior work uses quarterly U.S. data, we employ a...
Persistent link: https://www.econbiz.de/10012772974
Existing work on mutual fund performance persistence obtains diverse results, depending on the group of funds studied. We examine whether performance persistence within a peer group of competing mutual funds depends on the group's composition. The UK mutual fund industry is ideal for such an...
Persistent link: https://www.econbiz.de/10012774393