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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
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Short-Term Trading and Stock Return Anomalies : Momentum, Reversal, and Share Issuance
Cremers, Martijn - 2014
This paper examines how the extent of short-term trading relates to the efficiency of stock prices. We employ a new duration measure based on quarterly institutional investors' portfolio holdings, next to existing proxies such as trading volume, the percentage of transient institutions, and fund...
Persistent link: https://www.econbiz.de/10013070206
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Information Acquisition Experience, Investor Sophistication, and IPO Price Pressure
Köchling, Gerrit; Posch, Peter N.; Schmidtke, Philipp - 2021
We propose a simple measure of investor sophistication based on financial statement experience derived from publicly available EDGAR log data about accounting information acquisition activity. This approach allows us to provide unique empirical evidence for the existence of attention induced...
Persistent link: https://www.econbiz.de/10013236779
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The Impact of Stock Market Volatility Expectations on Investor Behavior : Evidence From Aggregate Mutual Fund Flows
Ederington, Louis H. - 2011
market volatility as measured by the VIX. Implying that investor purchase decisions are primarily driven by returns and sale …
Persistent link: https://www.econbiz.de/10013128717
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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
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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
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The Idiosyncratic Volatility Puzzle and its Interplay with Sophisticated and Private Investors
Mohrschladt, Hannes - 2018
We establish a direct link between the idiosyncratic volatility (IVol) puzzle and the behavior of sophisticated and …
Persistent link: https://www.econbiz.de/10012926316
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …
Persistent link: https://www.econbiz.de/10012842392
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Reversal, Momentum and Intraday Returns
Xu, Haoyu - 2017
This paper studies the trades immediately after the market open and immediately before the market close. The trades in the morning positively predict future returns and cause price continuation. The trades in the afternoon negatively predict future returns and cause price reversals. The momentum...
Persistent link: https://www.econbiz.de/10012953661
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Idiosyncratic Volatility and Firm-Specific News : Beyond Limited Arbitrage
DeLisle, Jared - 2016
idiosyncratic volatility is from its function as a limit arbitrage. Our evidence incorporating firm specific news is inconsistent … news volatility (volatility contemporaneous to news announcements) should be stronger than that of non-news volatility … (volatility without an identified news announcement). We find the opposite. Non-news volatility has robust negative price and …
Persistent link: https://www.econbiz.de/10013003459