This paper analyzes the relationship between the proportion of institutional investors' shareholding and the probability of stock manipulation using 252 cases of manipulation disclosed in public administrative penalty decision of the China Securities Regulatory Commission (CSRC) from 2007 to...

We examine the short-run dynamic relation between daily institutional trading and stock price volatility in a retail investor-dominated emerging market. We find a significantly negative relation between volatility and institutional net trading that is mainly due to the unexpected institutional...

The turbulence in emerging market economies (EMEs) in mid-2013 has reminded policymakers and investors of the importance of actions by large asset managers for relatively small and illiquid EME asset markets. The presence of asset managers in EMEs has grown considerably, and the concentrated use...

Purpose Stirred by scant regard for market phases in portfolio performance assessments, the current paper investigates the active versus passive investment strategies under the bull and bear market conditions in emerging markets focusing on South Africa as a case study....

Firms with different environmental, social, and governance (ESG) scores can have different costs of capital, either because ESG scores help forecast future cash flows – the fundamental channel – or because investors have non-pecuniary preferences for high-ESG-score assets – the preference...

Empirical research on the profitability of momentum investment strategies in emerging equity markets has presented mixed findings and therefore the momentum patterns in emerging equity markets have not been explained to the unanimous satisfaction of the researchers. This research re-examines the...

This paper investigates the profitability of technical trading rules in the Athens Stock Exchange (ASE), utilizing the FTSE/ASE-20 index over the period 1995-2008. We focus on a less developed and efficient stock market, given the existing paucity of research in such markets. The technical rules...

The study examines the predictability of 48 sovereign bond markets based on a strategy of 27,000 technical trading rules. These rules represent four popular trading rule classes, they are: moving average, filtering, support and resistance, and channel breakout rules, with numerous variants in...

We examine the F score in global emerging markets and show there is a meaningful premium attached to high F score stocks which is unrelated to the size, value and momentum premiums. It is larger for high value stocks, moderately higher for high momentum stocks and unrelated to stock size. This...

We examine the performance of passively managed exchange-traded funds (ETFs) that provide exposure to global emerging markets equities. We find that the tracking errors of these funds are substantially higher than previously reported levels for developed markets ETFs. ETFs that use statistical...