The aim of the paper is to test whether different PTT levels are able to affect the volatility and liquidity of a Stock Exchange. Much research carried out over the last few years has attempted to describe these relationships, yet their empirical results have sometimes contradicted one another...

We examine the economic determinants of short-sale supply, and its consequences for future stock returns. Lendable supply increases with expected borrowing costs and decreases with financial statement constructs that indicate overvaluation. Although rising loan fees help ease supply, we find...

Using a simple sign test, we report new empirical evidence, taken from both the US and the German stock markets, showing that trading behavior substantially changed around Black Monday in 1987. It turned out that before Black Monday investors behaved more as in the momentum strategy; and after...

This paper shows stock exchange trading rules are of central importance for the trading location of cross-listed stocks. We also consider various measures of sovereign governance and shareholder rights across countries to assess the complementary effects of other legal and institutional drivers...

This paper investigates Barosso and Santa-Clara's (2015) risk-managed momentum strategy in an industry momentum setting. We investigate several traditional momentum strategies including that recently proposed by Novy-Marx (2012). We moreover examine the impact of different variance forecast...