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Out of the Limelight But in Play : Trading and Liquidity of Media and Off-Media Stocks

Fang, Lily H. - 2014

Using hand-collected TV programming data and intra-day trading from China, we compare the trading, liquidity, and …-show stocks experience significant improvements in liquidity that is attributable to small trades. The pre-show return gap between …

Persistent link: https://www.econbiz.de/10013067069

Out of the Limelight But in Play : Trading and Liquidity of Media and Off-Media Stocks

Fang, Lily H. - 2017

Using hand-collected TV programming data and intra-day trading data from China, we compare the trading, liquidity, and …-show stocks experience significant improvements in liquidity that is attributable to small trades. The pre-show return gap between …

Persistent link: https://www.econbiz.de/10012972436

Are Household Investors Noise Traders : Evidence from Belief Dispersion and Stock Trading Volume

Li, Dan - 2014

We document a robust positive relationship between the belief dispersion about macroeconomic conditions among household investors and the stock market trading volume, using more than 30 years of household survey data and a novel approach to measuring belief dispersions. Notably, such a...

Persistent link: https://www.econbiz.de/10013053896

Three major crises and Asian emerging market informational efficiency : a case of Pakistan Stock Exchange-100 Index

Said, Bahrawar; Shafiq ur Rehman; Raza, Muhammad Wajid - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-13

Periods of economic turmoil distort the ability of stock prices to reflect the available information. In the last three decades, emerging markets experienced numerous crises. The major three of them are the Asian Financial Crisis (1997-1998), Global Financial Crisis (2007-2009) and Global...

Persistent link: https://www.econbiz.de/10014284076

Stock Liquidity and SMEs’ Likelihood of Bankruptcy : Evidence from the US Market

El Kalak, Izidin - 2018

We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …

Persistent link: https://www.econbiz.de/10012930056

Testing the predictability and efficiency of securitized real estate markets

Schindler, Felix; Rottke, Nico; Füss, Roland - 2009

This paper conducts tests of the random walk hypothesis and market efficiency for 14 national public real estate markets. Random walk properties of equity prices influence the return dynamics and determine the trading strategies of investors. To examine the stochastic properties of local real...

Persistent link: https://www.econbiz.de/10003881575

Systematic mispricing in European equity prices?

Berneburg, Marian (contributor) - 2007

One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...

Persistent link: https://www.econbiz.de/10003482498

Evidences of efficient investment portfolio in Indian capital markets : an analysis based on BSE and NSE indices

Mehta, Deepshikha - 2015

A decent budgetary portfolio is nothing more, and nothing less, than an accumulation of advantages that develop in quality and produce abundance money for the financial specialist to spend or reinvest. Markowitz (1959) is one of the pioneers of present day portfolio hypothesis. Generally, the...

Persistent link: https://www.econbiz.de/10011326855

Overreaction and Portfolio Selection Strategies in the Tunisian Stock Market

Trabelsi, Mohamed Ali - 2011

Purpose - This article aims to present a new strategy of portfolio selection.Design/methodology/approach - After having made a comparative survey of different strategies of portfolio selection adopted by portfolio managers in Tunisia, we propose a new strategy, which we call weighted...

Persistent link: https://www.econbiz.de/10013128917

Day of the Week Effect and Market Efficiency in the Italian Stock Market : An Empirical Analysis

Guidi, Francesco - 2011

This paper examines the presence of the day-of-the-week effect in the Italian stock market index (MIB) sub-sectoral returns. The study, by using GARCH-M (1,1) models, did not find evidence of the day-of-the-week effect in mean equations, while some evidence was present in variance equations. The...

Persistent link: https://www.econbiz.de/10013129081

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