This article examines the factors that determine IPO success in raising equity capital, and how this success translates into investor success. The study is based on a sample of IPOs on the Warsaw Stock Exchange from 1998 to 2011. We find that pre-IPO profitability is a strong and positive signal...

This study examines what kinds of events cause large shifts in the volatility of emerging stock markets. We first determine when large changes in the volatility of emerging stock market returns occur and then examine global and local events (social, political, and economic) during the periods of...

This article evaluates the contribution of New Economy stocks to explaining the momentum effect. The results reveal that, by virtue of their distinct characteristics, these assets are more likely to generate momentum returns, and, thus, to increase the concentration of momentum traders. It is...

This paper introduces a dynamic model of the wealth distribution with aggregate risk in the capital market; the model combines credit rationing and portfolio selection decisions. In a closed economy the long-run behaviour of wealth is independent of the initial income distribution when there is...

We use brokerage account records to study trading during the Chinese put warrants bubble and find evidence consistent with extrapolative theories of speculative asset price bubbles. We identify the event that started the bubble and show that investors engaged in a form of feedback trading based...

This paper shows that, counter to common perception, stock prices in China are strongly linked to firm fundamentals. Since the reforms of the early 2000s, stock prices are as informative about future profits as they are in the US. Although the market is segmented from international equity...

In this article, we study conditional heteroskedasticity in a market index on the Bombay Stock Exchange, from April 1979 to March 1995. We find strong evidence of heteroskedasticity in daily, weekly and monthly returns in the form of GARCH(1,1) models. We find there is seasonality in the...

Are expensive, that is, high-priced stocks, in reality the cheap ones from a fundamental perspective? Applying a multidimensional approach, the paper assesses why and how investing in high-priced stocks generates a return premium compared to low-priced stocks. The findings strongly suggest that...

Turkish Abstract:Bu çalışma Türkiye Hisse Senedi piyasasında hisse senedi getirileri ile likidite volatilitesiarasındaki ilişkiyi belirlemeyi amaçlamaktadır. Ayrıca farklı likidite ölçülerinin hisse senetlerinilikiditelerine göre aynı şekilde sıralayıp sıralamadıklarını da...