The primary purpose of this research is to perform an empirical test using Arbitrage Pricing Theory (APT) in order to investigate the relationship between the Chinese stock market performance and domestic economic activity.China's stock market was established in early 1990s and has operated...

A popular theory of markets is that they are efficient: all available information is deemed to provide an accurate valuation of an asset at any time. In this paper, we consider how the content of market-related news articles contributes to such information. Specifically, we mine news articles...

The efficient market hypothesis states that the market incorporates all available information to provide an accurate valuation of the asset at any given time. However, most models for forecasting the return or volatility of assets completely disregard the arrival of asset specific news (i.e.,...

The efficient market hypothesis states that an efficient market immediately incorporates all available information into the price of the traded entity. It is well established that the stock market is not an efficient market as it consists of numerous traders with differing strategies and...

New U.K. pension accounting regulations significantly increase the exposure of the balance sheets of U.K. firms to volatilities in pension fund valuations. We examine whether the abnormal returns of firms that voluntarily used market-based pension discount rates are significantly different from...

Operations of publicly traded firms differ from privately owned firms because public firms' managers make decisions based on their own interests. In this paper, we study how stock market pressure may influence a manager's inventory and operational management. Our model is a straightforward...

This paper examines the relationship of stock return patterns on the Bombay Stock Exchange (BSE) with those of the New York Stock Exchange (NYSE). It also examines investment opportunities for international investors. The data include daily closing values of the BSE and SSP 500 Indexes for the...

This paper analyzes the relationship between Global Wine Industry Share Price Indexes and composite stockmarket indexes using a Threshold Vector Error Correction Model (TVECM), aiming to investigate if investmentsin the wine sector play a role in determining financial risk and return to...

Stock markets in Africa are small, underdeveloped and generallyundercapitalised by world standards. Until recently they have been perceived astoo risky to invest in by external investors. The “old” perception of Africa as a“single country/block” is slowly receding and countries are...

The ability to successfully exploit the presence of investor overreaction has been identified in a number of stock exchanges, yet numerous examples exist where little or un-exploitable investor overreaction is found.This research attempts to identify an international market where a) useful...