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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
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Investor's inattention and earnings announcement effects on tomb-sweeping day in China
Feng, Qingchen - 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
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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
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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
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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
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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
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ICO investors
Fahlenbrach, Rüdiger; Frattaroli, Marc - 2019
We conduct a detailed analysis of investors in successful initial coin offerings (ICOs). The average ICO has 4,700 contributors. The median participant contributes small amounts and many investors sell their tokens before the underlying product is developed. Large presale investors obtain tokens...
Persistent link: https://www.econbiz.de/10012052417
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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
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Do institutional investors have superior stock selection ability in China?
Deng, Yihong; Xu, Yongxing - In: China journal of accounting research : CJAR 4 (2011) 3, pp. 107-119
This paper uses unique data on the shareholdings of both institutional and individual investors to directly investigate whether institutional investors have better stock selection ability than individual investors in China. Controlling for other factors, we find that institutional investors...
Persistent link: https://www.econbiz.de/10011823731
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Determinants of investment decisions on the capital market
Jasiniak, Magdalena - In: E-Finanse : finansowy kwartalnik internetowy 14 (2018) 2, pp. 1-8
The article deals with the psychological determinants of investment decisions made by an individual investor on the capital market. The purpose of this article is to try to assess the relationship between capital involvement and selected personality traits and how individuals perceive...
Persistent link: https://www.econbiz.de/10011967190