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This paper examines the magnitude and determinants of trading costs for small-cap funds in Australia. The total price …
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The post-earnings announcement drift (PEAD) first identified over 40 years ago seems to be as much alive today as it ever was. Numerous attempts have been made to explain its continued existence. In this paper we provide evidence to support a new explanation: that the PEAD is a reflection of the...
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-sale restrictions and utilizing bid-and-ask prices and trading volume to proxy for transaction costs and liquidity constraints …-and-adjust bias on which the strategy is based only exists among stocks with sufficient liquidity. Furthermore, the 52-week high … and liquidity constraints are accounted for. We therefore conclude that the 52-week high momentum trading strategy is not …
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