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their efficiency improves with increased trading volume (liquidity). Saudi regulators must increase their efforts to educate … investing in ETFs, which will positively affect liquidity and pricing efficiency in the future. This paper is the first to …
Persistent link: https://www.econbiz.de/10012827920
Over the last decades passive investment products have continuously increased in importance. The efficiency of financial markets is often identified as the main reason for this development. We propose a theoretical framework which reverses the causality by showing that market efficiency might...
Persistent link: https://www.econbiz.de/10012936333
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
This paper examines unique cultural features associated with the Japanese calendar known as rokuyo, which classifies days into six categories of varying levels of favorable/unfavorable sentiment days. Prior to the internationalization of Japanese financial markets in the early 1980s, rokuyo has...
Persistent link: https://www.econbiz.de/10013106244
We show in a simple framework that momentum trading can exist in equilibrium and momentum trading is profitable. Properties of the model fit the empirics well. First, the model captures in a parsimonious manner both short-term overreaction and long-term reversals. Second, it predicts that...
Persistent link: https://www.econbiz.de/10013089438
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
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
Strategies that overweight low beta stocks and underweight high beta stocks earn positive alphas. Price noise is known to affect high beta stocks, hence, noise trading can be expected to significantly affect the performance of these strategies. I study the impact of flows between bond and equity...
Persistent link: https://www.econbiz.de/10014433683
We examine whether consumer confidence - as a proxy for individual investor sentiment - affects expected stock returns internationally in 18 industrialized countries. In line with recent evidence for the U.S., we find that sentiment negatively forecasts aggregate stock market returns on average...
Persistent link: https://www.econbiz.de/10003783994
due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as …
Persistent link: https://www.econbiz.de/10011620013