In this paper, we examine the behavior of returns across the-day-of-the-week in the context of the Tunisian Market. Our evidence indicates that Mondays have abnormally losses. In opposition, returns are significantly higher in Friday. We also find that these Monday and Friday specifications are...

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

Leveraged and inverse ETFs (LETFs) were introduced in 2006 and their popularity surged starting in 2008. As of the first quarter of 2012 there were over 200 such ETFs with over $30 billion in assets under management (AUM). By late 2008 there was concern about their late-day impact on stock...

We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities' risk-neutral returns distribution. We find that individual securities' volatility, skewness, and kurtosis are strongly related to...

This paper examines whether sell-side security analysts follow momentum or create momentum by themselves for recommending stocks. We employ an indirect method of testing the role of analysts by assigning projected recommendation scores for the neglected stocks to mitigate the so-called...

This paper examines whether tone (positive and negative) and volume of firm-specific news media content provide valuable information about future stock returns, using UK news media data from 1981–2010. The results indicate that both tone and volume of news media content significantly predict...

This study addresses the question whether the Feri Trust Rating, the Finanztest-Bewertung and the FondsNote are able to predict the future performance of German equity mutual funds. Moreover, this study analyzes whether predictability is improved significantly when combining the three fund...

We evaluate the importance of “Limits to Arbitrage” to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our...

Following Cooper et al. 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorizing up/down markets based on actual prices as Cooper et al. 2004, we suggest investors may view expectations and/or sentiment as important. Contrary to...

Considerable evidence from a plethora of countries suggests that momentum strategies generate profits. These have been difficult to rationalize and evidence on the sources of such profitability is inconclusive.We use a sample of optioned stocks that are very liquid and large and have fewer short...