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Ibbotson, Roger G. - 2013

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as … investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover …, is an economically significant indicator of long-term returns. Then, we show that liquidity, as a characteristic, is not …

Persistent link: https://www.econbiz.de/10013093548

The Credit and Bond Liquidity Effects of Hedge Fund Activism

Berndt, Antje - 2018

reduction in bond liquidity …

Persistent link: https://www.econbiz.de/10012909107

Illiquid Asset Investing

Ang, Andrew - 2013

After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond markets. On the other hand, there are significant illiquidity premiums within asset classes. Portfolio...

Persistent link: https://www.econbiz.de/10013088632

Optimal Portfolio Liquidation for CARA Investors

Schied, Alexander - 2015

absolute risk aversion (CARA). As underlying market impact model, we use the continuous-time liquidity model of Almgren and …

Persistent link: https://www.econbiz.de/10012707787

Optimal Basket Liquidation for CARA Investors is Deterministic

Schied, Alexander - 2010

We consider the problem faced by an investor who must liquidate a given basket of assets over a finite time horizon. The investor's goal is to maximize the expected utility of the sales revenues over a class of adaptive strategies. We assume that the investor's utility has constant absolute risk...

Persistent link: https://www.econbiz.de/10013150407

Characterizing the Risk of IPO Long-Run Returns : The Impact of Momentum, Liquidity, Skewness, and Investment

Carter, Richard B. - 2012

. Factors for momentum, investment, liquidity, and skewness help to explain aftermarket returns, although size and book … and in exchange for higher liquidity …

Persistent link: https://www.econbiz.de/10013116834

Institutional Trading Momentum and Mispricing

Bulsiewicz, James - 2017

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Persistent link: https://www.econbiz.de/10012971888

Analyst Herding and Short-Term Reversals

Michel, Jean-Sebastien - 2015

This paper shows that analysts' herding forecasts are accompanied by significant return reversals of 116 basis points per month, while anti-herding forecasts render reversals insignificant. These results are magnified among illiquid stocks and during high VIX months. Since analyst herding is...

Persistent link: https://www.econbiz.de/10013036570

When Brokerages Restrict Retail Investors, Does the Game Stop?

Jones, Charles M.; Reed, Adam V.; Waller, William - 2021

We study a set of trading restrictions imposed by Robinhood and other retail-oriented broker-dealers in 38 stocks, including GameStop. Restrictions limit equity and/or options positions. Stock price effects are large, with CARs averaging -13.54% within two hours after a stock’s first trading...

Persistent link: https://www.econbiz.de/10013221131

Retail Investor Trade and the Pricing of Earnings

Michels, Jeremy - 2023

Using the number of Robinhood users holding a firm’s shares, I examine how novice retail investors respond to earnings announcements and the implications of their responses for the price-earnings relation. I do not find evidence of informed trading among these investors. Changes in their...

Persistent link: https://www.econbiz.de/10014362258