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Ibbotson, Roger G. - 2013

We present comprehensive evidence in support of giving liquidity equal standing to size, value/growth, and momentum as investment styles, as defined by Sharpe (1992). First, we show that financial market liquidity, as identified by stock turnover, is an economically significant indicator of...

Persistent link: https://www.econbiz.de/10013093548

REIT Crash Risk and Institutional Investors

An, Heng - 2016

This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to...

Persistent link: https://www.econbiz.de/10012981822

Director Dealings as an Investment Strategy

Moodley, Nishal - 2014

The Insider Trading Act of 1999 and Johannesburg Stock Exchange (JSE) regulations require transparency in director dealings. Directors are required to report all share trading in companies of which they are principals, and this information has been regarded as a signal to the market. We examine...

Persistent link: https://www.econbiz.de/10013049470

Investment Horizons, Systematic Risk, and Managerial Skills of Institutional Investors

Chen, Jiun-Lin - 2018

We examine the relationship between portfolio risk and equity returns over different investment horizons of institutional investors. Compared to long-term institutions, portfolios held by short-term institutions exhibit higher factor loadings in market, size, and momentum. In particular, they...

Persistent link: https://www.econbiz.de/10012928303

On Market Timing, Stock Picking, and Managerial Skills of Mutual Fund Managers with Manipulation-Proof Performance Measure

Qian, Meifen - 2014

The on-going debate over whether fund managers have skills and whether those skills are short-lived is still … literature in two folds. First, managers ranked highest on MPPM in the current quarter earn largest fee-adjusted fund returns in … the following quarter. Those managers hold younger, smaller, lower book-to-market, and momentum stocks. Second, taking …

Persistent link: https://www.econbiz.de/10013057175

Three Essays on Momentum Returns

Cheema, Muhammad A. - 2015

Persistent link: https://www.econbiz.de/10013034818

Good Times or Bad Times? Investors' Uncertainty and Stock Returns

Ozoguz, Arzu - 2010

This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty constructed from the state probabilities estimated from...

Persistent link: https://www.econbiz.de/10013149939

Liquidity, Style Investing, and Excess Comovement of Exchange-Traded Fund Returns

Broman, Markus S. - 2016

This study shows that exchange-traded fund (ETF) misvaluation — based on return differentials between ETFs and their net asset values (NAV) — comove excessively across ETFs. Excess comovements are positive (negative) and significant across ETFs in similar (distant) investment styles. Further...

Persistent link: https://www.econbiz.de/10013007326

Can Warren Buffett Forecast Equity Market Corrections?

Lleo, Sébastien - 2017

Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product could identify potential overvaluations and undervaluations in the US equity market. We investigate whether this ratio is a statistically significant predictor of equity market...

Persistent link: https://www.econbiz.de/10012971424

Institutional Trading Momentum and Mispricing

Bulsiewicz, James - 2017

I investigate whether or not the multi-period trades of financial institutions cause mispricing in the stock market. After controlling for the magnitude and trends in institutional trades, I find evidence consistent with institutional trades pushing prices away from fundamentals. Stocks heavily...

Persistent link: https://www.econbiz.de/10012971888