Similar Search Results

The correlation structure of unexpected returns in US equities

Balyeat, R. Brian; Muthuswamy, Jayaram - In: The financial review : the official publication of the … 44 (2009) 2, pp. 263-290

Persistent link: https://www.econbiz.de/10003850787

Performance of active extension strategies : evidence from the Australian equities market

Segara, Reuben; Das, Abhishek; Turner, James - In: Australasian accounting business and finance journal : AABF 6 (2012) 3, pp. 3-24

Persistent link: https://www.econbiz.de/10010244268

The impact of trade characteristics on stock return volatility : Evidence from the Australian Stock Exchange

Frino, Alex - 2020

This study examines the impact of trade characteristics on stock return volatility. Using a sample of transaction data from the Australian Stock Exchange, the trading frequency of medium sized trades is found to have the greatest impact on stock return volatility. The result lends support to the...

Persistent link: https://www.econbiz.de/10012835131

Oil stocks, risk factors, and tail behavior

Lian, Ziying; Cai, Jun; Webb, Robert I. - In: Energy economics 91 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012518738

The effects of overnight events on daytime trading sessions

Ham, Hyuna; Ryu, Doojin; Webb, Robert I. - In: International review of financial analysis 83 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013455003

How do investors react to overnight returns? : evidence from Korea

Ham, Hyuna; Ryu, Doojin; Webb, Robert I.; Yu, Jinyoung - In: Finance research letters 54 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472748