Narrow search
Showing 1 - 10 of 2,863
Cover Image
On the Determinants of Pairs Trading Profitability
Jacobs, Heiko - 2016
We perform a large-scale empirical analysis of pairs trading, a popular relative-value arbitrage approach. We start with a cross-country study of 34 international stock markets and uncover that abnormal returns are a persistent phenomenon. We then construct a comprehensive U.S. data set to...
Persistent link: https://www.econbiz.de/10013005471
Cover Image
Investor's inattention and earnings announcement effects on tomb-sweeping day in China
Feng, Qingchen; Ning, Dengyun; Zhang, Wan; Zhou, Rui - In: Credit and capital markets : Kredit und Kapital 55 (2022) 2, pp. 291-320
This study investigates the relationship between investor inattention and earnings announcement effects around a Chinese holiday called Tomb-Sweeping Day, which, unlike other holidays, is short. Not only is investor attention distracted, which can generate emotional fluctuation, but a large...
Persistent link: https://www.econbiz.de/10014518585
Cover Image
Traditional and behavioural approach to risk in finance
Vasić, Aleksandra S.; Jakšić, Milena; Todorović, Violeta - In: Ekonomske teme 61 (2023) 4, pp. 497-513
Making financial decisions under risk and uncertainty has become part of everyday life. Traditional finance explores the objective side of risk, analysing the decisions made by perfectly rational individuals in efficient market conditions. Behavioural finance seeks to connect theory with...
Persistent link: https://www.econbiz.de/10014530307
Cover Image
Profit Index - Pertinent Risk of Financial Investment
Kauffmann, Amitay - 2012
extrema events risk. Based on the newly proposed riskiness index by Aumann and Serrano (2008), we construct the PROFIT Index … complete order for all risk avers investors. We present a closed-form solution to the PROFIT Index, as a function of the return … moments. The PROFIT Index is dynamically calibrated to the market, becoming a live indicator suitable for investors perception …
Persistent link: https://www.econbiz.de/10013096329
Cover Image
Post-Earnings-Announcement Drift : Expected Growth Risk or Limits-to-Arbitrage?
Kim, Dongcheol - 2020
To explain post-earnings-announcement drift (PEAD), we suggest expected growth risk, which is measured as covariance between stock returns and expected future real GDP growth rates. We find that both expected growth rates and expected growth risk increase with standardized unexpected earnings,...
Persistent link: https://www.econbiz.de/10012844029
Cover Image
In Search of Pairs using Firm Fundamentals : Is Pairs Trading Profitable?
Hong, Sungju; Hwang, Soosung - 2022
We investigate whether spurious pairs created by multiple hypothesis testing can be minimized when firm characteristics are used to identify pairs. The results show that the portfolios of pairs that have higher similarities in firm characteristics outperform those that are fundamentally less...
Persistent link: https://www.econbiz.de/10014351716
Cover Image
The momentum effect exemplifies the influence of investors' irrational behaviour on prices of shares and stocks : an analysis of the momentum effect on the Warsaw Stock Exchange
Merło, Paweł; Konarzewski, Patryk - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 56-64
An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...
Persistent link: https://www.econbiz.de/10011393280
Cover Image
Why do foreign investors underperform domestic investors in trading activities? : evidence from Indonesia
Agarwal, Sumit; Faircloth, Sheri; Liu, Chunlin; Rhee, … - In: Journal of financial markets 12 (2009) 1, pp. 32-53
Persistent link: https://www.econbiz.de/10003803002
Cover Image
How Value–Glamour Investors Use Financial Information : UK Evidence of Investor’s Confirmation Bias
Duong, Chau Minh - 2010
The paper investigates investor's behaviour in the context of value–glamour investing and fundamental analysis, and provides a direct test of the confirmation bias by bringing together the evidence from several strands of literature into a well-defined framework of investor behaviour. The...
Persistent link: https://www.econbiz.de/10013137396
Cover Image
Decoding Black Swan : A Quantitative Approach to Tactical Stock Investing
Desai, Dr.Jay - 2012
In this paper we examine unanticipated outliers of stock market. Weather these outliers are truly Black Swans that can not be anticipated or they are avoidable? Also we try to evolve a quantitative strategy to earn superior returns. The simple strategy not only removes outliers from portfolio...
Persistent link: https://www.econbiz.de/10013113322