This paper examines the relationship between the abnormal change in trading volume of both individual stocks and portfolios and short-term price autoregressive behavior in the Saudi stock market (SSM). Our objective is to investigate the informational role that trading volume plays in predicting...

Despite the well known importance of volatility-volume relationship, there is a paucity of research on this topic in emerging markets. We attempt to partially fill this gap by investigating volatility-volume relationship in the most important exchange market in the Middle East. We test the...

This study examines what influences the changes in REIT CEO compensation using the following performance measures: average three-year total returns to shareholders, market value added, Tobin's q, and change in funds from operations. In addition, we examine the impact of managerial power on the...

The proxy hypothesis states that the negative relationship between inflation and stock returns is spurious and really only proxies for the positive relationship between stock returns and real variables. Previous tests of the proxy hypothesis have used actual values instead of forcasted values...

The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from naïve models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the...

This paper investigates the intra-industry effects of earnings restatements due to accounting irregularities. We detect a significant contagion effect for rival firms whose cash flow characteristics are similar to those of the restating firm. The restatement doesn't seem to influence all the...