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We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....
Persistent link: https://www.econbiz.de/10014258401
The aim of this paper is to provide fresh-out of sample evidence on short-term and long-term performance following announcement of mergers and acquisitions. The research is based on 109 M&A deals in Central and Eastern European countries for years 2001-2014. For the short-horizon event studies,...
Persistent link: https://www.econbiz.de/10013005691
Can a short-squeeze incident trigger financial contagion over the entire stock markets? The recent GameStop frenzy provides a unique natural experiment to explore this question. In this study, we examine the static and dynamic return and volatility connectedness among the GameStop stock, the...
Persistent link: https://www.econbiz.de/10013239066
three counts. First, to academics interested in understanding the dynamics asset price movement. Second, to market …
Persistent link: https://www.econbiz.de/10011487829
. Finally, we provide evidence that strategies based on information in recommendations deliver statistically significant …
Persistent link: https://www.econbiz.de/10011393259
We conjecture that partially segmented stock indexes that are characterized by low correlation with the world market are mainly priced by local factors and should produce abnormal returns relative to a global asset-pricing model. This implies a negative relation between correlation and future...
Persistent link: https://www.econbiz.de/10014351192
is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading …
Persistent link: https://www.econbiz.de/10012860534
We perform the most comprehensive test of long-term reversal in national equity indices ever done. Having examined data from 71 countries for the years 1830 through 2019, we demonstrate a strong reversal pattern: the past long-term return negatively predicts future performance. The phenomenon is...
Persistent link: https://www.econbiz.de/10012847981
deteriorate liquidity in emerging markets, while information campaigns on the novel coronavirus facilitate trading activity …
Persistent link: https://www.econbiz.de/10012830703
distinct predictive information. Notably, predictive power emanating from the stock return series appears stronger over shorter … information content for future output growth. This view is further supported by forecast results whereby a model that includes … stock returns contain additional information over that presented by the term structure alone …
Persistent link: https://www.econbiz.de/10012891593