Purpose -The purpose of this paper is to examine stocks that are most actively discussed by online posters and see if the messages posted about these stocks have information or if they are just noise. Design/methodology/approach - This study uses messages posted on TheLion.com, which reports a...

Purpose – The purpose of this paper is to examine stocks that are most actively discussed by online posters and see if the messages posted about these stocks have information or if they are just noise. Design/methodology/approach – This study uses messages posted on TheLion.com, which...

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P...

In this paper we examine integration between emerging and U.S. debt and equity markets. We first investigate price changes around significant "events," in this case changes in short-term U.S. interest rates brought about by actions of the Federal Reserve. Second, we estimate the predictability...

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P...

In this paper we examine integration between emerging and U.S. debt and equity markets. We first investigate price changes around significant "events," in this case changes in short-term U.S. interest rates brought about by actions of the Federal Reserve. Second, we estimate the predictability...