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This paper examines the pricing of macroeconomic factors in the Mexican stock market. Using a larger sample of 180 stocks traded on the Mexican Stock Exchange for a longer period December 1991 to June 2010, we construct portfolios à la Fama and French and test the APT model. Making use of a...
Persistent link: https://www.econbiz.de/10013120442
theory, as well as accounting literature, we find evidence of greater idiosyncratic influences in the pricing of Asia's stock …
Persistent link: https://www.econbiz.de/10013056805
This study tests if the financial markets price the investor's sentiment risk. We construct portfolios based upon the stock returns' exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists...
Persistent link: https://www.econbiz.de/10013114751
Persistent link: https://www.econbiz.de/10010532732
This study uncovers a unique dividend-tax arbitrage strategy that provides high-bracket investors the opportunity to … present empirical evidence highlighting the activities of arbitrage traders in both stock and warrant markets. These traders … simultaneously sell stocks and buy call warrants before the ex-dividend day and close their arbitrage positions thereafter. Our …
Persistent link: https://www.econbiz.de/10014351209
This paper investigates how institutional investors matter for asset pricing by using daily institutional trading data and a natural experiment, the split–share structure reform in China. This reform required all listed companies to convert their non-tradable shares to tradable shares after...
Persistent link: https://www.econbiz.de/10011646414
This paper applies a new measure of aggregate investor confidence, which extracts feedback impulses from stock market data. According to the measure, aggregate investor confidence is positively associated with the profitability of momentum strategies. In a 1927-2014 U.S. sample, aggregate...
Persistent link: https://www.econbiz.de/10013000589
Overconfidence is one of the most robust findings in the field of Behavioural Finance, and is associated with excessive trading and risk taking among market participants. Assessment of the level of confidence in their abilities and skills is well-documented for individuals. However, the...
Persistent link: https://www.econbiz.de/10013000598
The old and simple investment strategy “Sell in May and Go Away” (also referred to as the “Halloween effect”) enjoys an unbroken popularity. Recent studies suggest that the Halloween effect even strengthened rather than weakened since its first publication by Bouman and Jacobsen (2002)....
Persistent link: https://www.econbiz.de/10013077926
This paper analyzes the relationship between the proportion of institutional investors' shareholding and the probability of stock manipulation using 252 cases of manipulation disclosed in public administrative penalty decision of the China Securities Regulatory Commission (CSRC) from 2007 to...
Persistent link: https://www.econbiz.de/10012832516