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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
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The Dynamics of Market Efficiency
Rösch, Dominik - 2016
This paper studies the dynamics of high-frequency market efficiency measures. We provide evidence that these measures …
Persistent link: https://www.econbiz.de/10013008112
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Non-Synchronous Trading in Indonesia Stock Exchange
Pasaribu, Rowland Bismark - 2011
This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results...
Persistent link: https://www.econbiz.de/10013123883
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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
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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
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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
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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
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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
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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
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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