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Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market

Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

Persistent link: https://www.econbiz.de/10014308779

Investor Relations and IPO Performance

Chahine, Salim; Colak, Gonul; Hasan, Iftekhar; … - 2019

We analyze the value of investor relations (IR) strategies to IPO firms. We find that firms that are less visible and have inexperienced management tend to hire IR consultants prior to the issue date. IR consultants help create positive news coverage before an IPO event as reflected in a more...

Persistent link: https://www.econbiz.de/10014105219

Daily Institutional Trades and Stock Price Volatility in a Retail Investor Dominated Emerging Market

Li, Wei - 2010

We examine the short-run dynamic relation between daily institutional trading and stock price volatility in a retail … investor-dominated emerging market. We find a significantly negative relation between volatility and institutional net trading … that is mainly due to the unexpected institutional trading. The price volatility-institutional trade relation differs for …

Persistent link: https://www.econbiz.de/10013142178

The Profitability of Technical Stock Trading Has Moved from Daily To Intraday Data

Schulmeister, Stephan - 2021

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2580 technical models has steadily declined since 1960, and has been unprofitable since .the early 1990s....

Persistent link: https://www.econbiz.de/10013226778

How the 52-Week High and Low Affect Option-Implied Volatilities and Stock Return Moments

Driessen, Joost - 2011

effects of highs and lows on a stock's beta and return volatility. We find that implied volatilities and stock betas decrease …

Persistent link: https://www.econbiz.de/10013133792

The Profitability of Technical Stock Trading has Moved from Daily to Intraday Data

Schulmeister, Stephan - 2010

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. The former is exploited by trend-following models, while the latter by contrarian models. In total, the performance of 2580 widely used models is analyzed. When...

Persistent link: https://www.econbiz.de/10013135708

Investor heterogeneity and asymmetric volatility under short-sale constraints : evidence from Korean fund market

Pando Sohn; Seo, Ji-yong - In: Estudios de economía 42 (2015) 1, pp. 21-51

asymmetric volatility under short-sale constraints. If so, what are the driving factors in the Korean fund market? Fund return … short-sale constraints using asset-allocating strategies. The results of the GJR-GARCH model show an asymmetric volatility … volatility. Furthermore, the results of this study are consistent with the model of Hong and Stein (2003), which predicts that …

Persistent link: https://www.econbiz.de/10011281956

Momentum Crash, Credit Risk and Optionality Effects in Bear Markets and Crisis Periods : Evidence from the US Stock Market

Grobys, Klaus - 2016

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

Persistent link: https://www.econbiz.de/10012996318

Investor sentiment and stock return volatility : evidence from the Johannesburg Stock Exchange

Rupande, Lorraine; Muguto, Hilary Tinotenda; … - In: Cogent economics & finance 7 (2019) 1, pp. 1-16

Volatility is an important component of asset pricing; an increase in volatility on markets can trigger changes in the … hypothesized that there are movements in risk that are driven by volatility linked to sentiment-driven noise trader activity whose … investor sentiment and stock return volatility which shows that behavioural finance can significantly explain the behaviour of …

Persistent link: https://www.econbiz.de/10012023919

Over or Under? Momentum, Idiosyncratic Volatility and Overreaction

Heidari, Mahdi - 2015

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

Persistent link: https://www.econbiz.de/10013012436