Showing 1 - 10 of 4,507
This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …
Persistent link: https://www.econbiz.de/10012592791
future market returns. This result still holds after controlling for the size or liquidity of the firms or for current …
Persistent link: https://www.econbiz.de/10011412455
We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...
Persistent link: https://www.econbiz.de/10011296939
Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...
Persistent link: https://www.econbiz.de/10014497179
The concept of bond duration was originally introduced by Macaulay (1938) and nowadays is well- established in the … equities. I derive three candidate models for estimating the duration of a stock. The models are vastly different in their …. Furthermore, I investigate the relationship between the equity duration factor and various common equity factors. Empirical …
Persistent link: https://www.econbiz.de/10013242407
Duration is an important parameter used by investors to choose between different investment opportunities in financial … economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is … provide a first complete overview of Equity Duration, calculating and comparing different types, investigating the changes in …
Persistent link: https://www.econbiz.de/10014239113
We investigate the effects of introducing a central clearing counterparty (CCP) on securities prices by adopting as an experimental construct the 2009 CCP reform in three Nordic markets. We find that, relative to other European economies, these countries experience market-adjusted equity returns...
Persistent link: https://www.econbiz.de/10010224773
dynamics of stock-bond return correlations poorly. Alternative factors, such as liquidity proxies, help explain the residual …
Persistent link: https://www.econbiz.de/10011506640
explanation is that Australian superannuation funds preemptively engage in liquidity management in response to changes in …
Persistent link: https://www.econbiz.de/10013251091
shocks and attractive liquidity characteristics. These findings are consistent with the idea that the high liquidity of ETFs …
Persistent link: https://www.econbiz.de/10013007326