While the low P/E effect has been examined rather extensively in international markets particularly in the US, there is a notable absence of Australian market-based P/E studies. This research examines the relationship between the investment performance of Australian Industrial common stock and...

With the increasing number of market places and potential trading partners across the e–commerce environment, it will become natural for multiple trading activities to be deployed as part of a single trading strategy. This paper describes a multi–process model for controlling interrelated...

There is a long established history of applying Artificial Neural Networks (ANNs) to financial data sets. In this paper, the authors demonstrate the use of this methodology to develop a financially viable, short-term trading system. When developing short-term systems, the authors typically site...

The binomial model has been used to price a wide variety of equity and interest rate options for more than two decades. Originally developed by Cox, Ross, and Rubinstein to clarify the basic pricing principle of its continuous-time counterpart with reduced mathematical requirements, the approach...

Abstract: In this trading strategy study, we ask three questions. ? does momentum exist in foreign exchange markets? ? what is the impact of transaction costs on excess returns? ? can a consolidated trading signal garner excess returns and if so, what is the source of such returns? Using total...

The ‘daylight saving effect’ predicts that the mean weekend return following the spring and fall/autumn changes in daylight saving time is less than the mean weekend return throughout the rest of the year. With this market anomaly, the change in market participants’ behaviour is linked...

The weekend effect is described as the tendency for Monday security returns to be low (or negative) compared to other days of the week. The weekend effect may not be exploited by trading individual stocks because of transactions costs. However, the institutional characteristics of the US-based...

The predictability of the US-based international mutual fund returns has receivedrenewed consideration in recent academic studies. This dissertation extends recent research byexploring the 2,479 daily return observations covering the period from January 4, 1993 toOctober 31, 2002 for all...

The weekend effect is described as the tendency for Monday security returns to be low (or negative) compared to other days of the week. The weekend effect may not be exploited by trading individual stocks because of transactions costs. However, the institutional characteristics of the US-based...

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all...