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Funding Constraints and Market Efficiency

Akbas, Ferhat - 2012

We explore the premise that the degree of market efficiency changes dynamically as investment funds face time-varying funding constraints to arbitrage capital. We show that the returns to a composite long-short hedge strategy that encompasses relative value, momentum, short-run reversals, and...

Persistent link: https://www.econbiz.de/10013115441

Relevance of Accrual Anomaly Information in Stock Portfolio Formation - Case Study : Indonesia Stock Exchange

Pasaribu, Rowland Bismark - 2011

The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital … market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In … objective of this study is to prove significance influence of accrual information and to evaluate the performance of stock …

Persistent link: https://www.econbiz.de/10013123885

Stock Portfolio with Fama-French Model in Indonesian Stock Exchange

Pasaribu, Rowland Bismark - 2011

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...

Persistent link: https://www.econbiz.de/10013123907

Moving Average Distance as a Predictor of Equity Returns

Avramov, Doron - 2020

The distance between short- and long-run moving averages of prices (MAD) predicts future equity returns in the cross-section. Annualized value-weighted alphas from the accompanying hedge portfolios are around 9%, and the predictability goes beyond momentum, 52-week highs, profitability, and...

Persistent link: https://www.econbiz.de/10012853004

Trading Activity in the Equity Market and Its Contingent Claims : An Empirical Investigation

Roll, Richard - 2012

Little is known about the joint dynamics of volume across the various contingent claims on the equity market. We study …

Persistent link: https://www.econbiz.de/10013115421

Common determinants of bond and stock market liquidity: The impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2001

. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …

Persistent link: https://www.econbiz.de/10010283309

An empirical analysis of stock and bond market liquidity

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2003

. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …

Persistent link: https://www.econbiz.de/10010283415

The joint dynamics of liquidity, returns, and volatility across small and large firms

Chordia, Tarun; Sarkar, Asani; Subrahmanyam, Avanidhar - 2005

, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using …

Persistent link: https://www.econbiz.de/10010283461

Common determinants of bond and stock market liquidity : the impact of financial crises, monetary policy, and mutual fund flows

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2001 - [Elektronische Ressource]

. Overall, this study deepens our understanding of the dynamics of liquidity in financial markets and suggests how asset …

Persistent link: https://www.econbiz.de/10001629622

An empirical analysis of stock and bond market liquidity

Chordia, Tarun (contributor); Sarkar, Asani (contributor); … - 2003 - [Elektronische Ressource]

. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid …

Persistent link: https://www.econbiz.de/10001752003