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Market on Tilt : ETF Trading and Market Quality

Brogaard, Jonathan - 2020

or even flip sign depending on an asset's preexisting liquidity. These effects are stronger for ETFs that explicitly …

Persistent link: https://www.econbiz.de/10012845260

Efficiently Inefficient Markets for Assets and Asset Management

Garleanu, Nicolae - 2017

We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more...

Persistent link: https://www.econbiz.de/10012971275

Evaluating the Efficiency of 'Smart Beta' Indexes

Hunstad, Michael - 2015

The past several years have witnessed the introduction of hundreds of so-called “smart beta” equity indices. These indices provide exposure to risk factors, such as value or low volatility, in order to seek excess return and/or risk reduction compared to cap-weighted indices. Although the...

Persistent link: https://www.econbiz.de/10013032165

The Halloween Effect in US Sectors : Comment

Doeswijk, Ronald Q. - 2009

We argue that the Jacobsen and Visaltanachoti (2009) study is incomplete. Jacobsen and Visaltanachoti (2009) evaluate the Halloween effect or ‘Sell in May'-effect as documented by Bouman and Jacobsen (2002), and extend the analysis into the relative performances of sectors during the winter...

Persistent link: https://www.econbiz.de/10013157007

A Market Microstructure View of the Informational Efficiency of Security Prices

Schwartz, Robert - 2021

Do equity prices efficiently reflect fundamental information as the Efficient Markets Hypothesis suggests? The author challenges a widely held acceptance by financial academicians of the EMH. In a frictionless environment, information acquisition and trading would be costless, transaction prices...

Persistent link: https://www.econbiz.de/10013229395

Overreaction and the Cross-Section of Returns : International Evidence

Blackburn, Douglas W. - 2017

Theory has linked price momentum with price reversals (Barberis, Shleifer, and Vishny (1998), Daniel, Hirshleifer, and Subrahmanyam (1998), and Hong and Stein (1999)). The models generally rely on behavioral descriptions of irrational investors who push prices beyond their fundamental value thus...

Persistent link: https://www.econbiz.de/10012968974

Asset Price Distributions and Efficient Markets

Fernholz, Ricardo - 2020

We explore the link between stock returns and changes in market capital concentration across firms. Our theory uncovers a concentration risk factor driven by time-varying changes in the distribution of market capital. A powerful implication of our theory is the necessary existence of this...

Persistent link: https://www.econbiz.de/10012850583

A Fresh Look at Return Predictability Using a More Efficient Estimator

Johnson, Travis L. - 2018

I assess time-series return predictability using a weighted least squares estimator that is around 25% more efficient than ordinary least squares (OLS) because it incorporates time-varying volatility into its point estimates. Traditional predictors, such as the dividend yield, perform better in-...

Persistent link: https://www.econbiz.de/10012937504

Stock market and its liquidity : evidence from ARDL bound testing approach in the Indian context

Bhattacharya, Sharad Nath; Bhattacharya, Mousumi; Basu, … - In: Cogent economics & finance 7 (2019) 1, pp. 1-12

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …

Persistent link: https://www.econbiz.de/10012023365

Liquidity Provision Contracts and Market Quality : Evidence from the New York Stock Exchange

Bessembinder, Hendrik - 2019

improvements attributable to increases in liquidity provision on markets other than the NYSE. These results cannot be attributed to …

Persistent link: https://www.econbiz.de/10012902434