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Asymmetric effects of informed trading on the cost of equity capital
Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: Management science : journal of the Institute for … 62 (2016) 9, pp. 2460-2480
Persistent link: https://www.econbiz.de/10011577121
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Stock salience and the asymmetric market effect of consumer sentiment news
Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 36 (2012) 12, pp. 3289-3301
Persistent link: https://www.econbiz.de/10009660492
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High-Frequency Measures of Informed Trading and Corporate Announcements
Brennan, Michael J. - 2017
We study informed trading around announcements of merger bids (M&AD) and quarterly earnings (EAD). Extending the EKOP (1996) approach, we compute the daily posterior probabilities of informed trading on good and bad news. We find evidence of informed trading before and after M&AD and EAD. A...
Persistent link: https://www.econbiz.de/10012972038
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High-frequency measures of informed trading and corporate announcements
Brennan, Michael J.; Huh, Sahn-Wook; Subrahmanyam, Avanidhar - In: The review of financial studies 31 (2018) 6, pp. 2326-2376
Persistent link: https://www.econbiz.de/10011926626
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Momentum, reversals, and investor clientele
Chui, Andy C. W.; Subrahmanyam, Avanidhar; Titman, Sheridan - In: Review of finance : journal of the European Finance … 26 (2022) 2, pp. 217-255
Persistent link: https://www.econbiz.de/10013188532
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Momentum, Reversals, and Investor Clientele
Chui, Andy C. W.; Subrahmanyam, Avanidhar; Titman, Sheridan - National Bureau of Economic Research - 2021
momentum and short-term reversals. Domestic retail investors have a greater presence in Chinese A shares, and foreign … investment quotas. We find that only B shares exhibit momentum and earnings drift, and only A shares exhibit monthly reversals …. Institutional ownership strengthens momentum in B shares. These patterns accord with a setting where momentum is caused by informed …
Persistent link: https://www.econbiz.de/10012696362
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The power of bad : the negativity bias in Australian consumer sentiment announcements on stock returns
Akhtar, Shumi; Faff, Robert W.; Oliver, Barry R.; … - In: Journal of banking & finance 35 (2011) 5, pp. 1239-1249
Persistent link: https://www.econbiz.de/10009245239
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The Power of Bad : The Negativity Bias in Consumer Sentiment Announcements on Stock Returns
Akhtar, Shumi M. - 2010
This paper examines the equity market reaction to consumer sentiment in the context of the sentiment index issued by the Melbourne Institute of Applied Economics and Social Research. Unlike the Michigan index in the US, which is announced in phases, this index is announced once per month, which...
Persistent link: https://www.econbiz.de/10013142195
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News events, information acquisition, and serial correlation
Holden, Craig W.; Subrahmanyam, Avanidhar - In: The journal of business : B 75 (2002) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10001641877
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Financial market shocks and the macroeconomy
Subrahmanyam, Avanidhar; Titman, Sheridan - In: The review of financial studies 26 (2013) 11, pp. 2687-2717
Persistent link: https://www.econbiz.de/10010225970