We find that mutual funds holding a larger concentration of high gross profitability stocks generate better future performance. The outperformance of these funds is not driven by a profitability-related risk premium and is not a byproduct of fund managers' exploitation of other well-known...

This paper analyzes empirically the relation between financial analysts' recommendation profitability and their forecast accuracy and shows that contrary to intuition the group of most successful recommendations is not associated with the highest accuracy on average. The finding that best...

Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...

Using a broad sample of merger announcements, I find unusual option volume right before these announcements. The abnormal option volume provides new information about the pre-merger stock price runup beyond what is incorporated in the stock market. I also find that there exists abnormal option...

Objective - The banking sector plays an important role in the Indonesian economy. The sustainability of the Indonesian banking sector will depend on the ability of every banking institution to maintain their competitiveness. Banking competitiveness is reflected in the level of efficiency of the...

This research paper aim to examine the profitability of various kinds of oscillator used in technical analysis on market index of NSE (National Stock Exchange) S&P CNX NIFTY 50 during 2004-2014. We have selected the most commonly used three oscillators i.e., Stochastic oscillator, RSI Oscillator...

Short selling frictions cannot explain the persistence of seven prominent stock anomalies. Long-only investing is robust and profitable and can be further enhanced by using a synthetic short. Moreover, portfolios restricted to stocks that are easy to short sell continue to have large and...

Banks are one of the important players in the financial system in any economy. This study evaluate the financial performance of commercial banks in Bahrain. This study is based on eight commercial banks for the period from 2005 to 2015. The data used in this study are obtained from published...

Financial markets in contemporary regulatory settings require the presence of high-frequency liquidity providers. We present an applied study of the profitability and the impact on market quality of an individual high-frequency trader acting as a market-maker. Using a sample of sixty stocks over...