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DRIPs and the Dividend Pay Date Effect
Berkman, Henk - 2015
On the day that dividends are paid we find a significant positive mean abnormal return that is completely reversed over the following days. This dividend pay date effect has strengthened since the 1970s, and is consistent with the temporary price pressure hypothesis. The pay date effect is...
Persistent link: https://www.econbiz.de/10013036302
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Use of Different Trading Environments Around Interim Earnings Announcements on the Helsinki Stock Exchange
Vieru, Markku J. - 2016
This paper tests the hypothesis that an anticipated information event affects the use of trading venues. Data from the …
Persistent link: https://www.econbiz.de/10013004374
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Causes of cross-autocorrelation in security returns : transaction costs versus information quality
Richardson, Terry L. - In: Journal of economics and finance 21 (1997) 3, pp. 29-39
Persistent link: https://www.econbiz.de/10001249956
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High-frequency market making to large institutional trades
Korajczyk, Robert A.; Murphy, Dermot - In: The review of financial studies 32 (2019) 3, pp. 1034-1067
Persistent link: https://www.econbiz.de/10012033532
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Does information environment affect information spillover between the CDS and stock markets in Korea?
Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 32 (2024) 2, pp. 145-158
This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on … information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm's stock and CDS … sensitive total information flow from the stock market to the CDS market. Companies with lower transaction costs in the CDS …
Persistent link: https://www.econbiz.de/10015055028
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Market instability and technical trading at high frequency : evidence from NASDAQ stocks
Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas - In: Economic modelling 102 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012797344
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Stock performance of the cannabis industry compared to other sin industries
Turley, Paige; Wang, Weishen; Hefner, Frank Louis - In: The journal of beta investment strategies 15 (2024) 2, pp. 103-115
Persistent link: https://www.econbiz.de/10014537263
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A Fortune from misfortune : Evidence from hog firms’ stock price responses to China’s African Swine Fever outbreaks
Zhang, Wendong - 2021
China is the world’s largest hog producer and a leading pork importer. Since August 2018, ongoing outbreaks of African Swine Fever (ASF), a highly contagious and deadly disease affecting pigs, have hit China’s livestock industries and wiped out 40% of China’s pigs. We leverage data on...
Persistent link: https://www.econbiz.de/10013314451
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Do Spot Market Auction Data Help Price Discovery?
Fernandez-Perez, Adrian; Miffre, Joëlle; Tilman … - 2022
The article appraises the role of spot market auction data in the discovery process of the price of whole milk powder, whose futures contracts are cash-settled to Global Dairy Trade (GDT) auction prices. We find that price discovery in the whole milk powder market primarily takes place in the...
Persistent link: https://www.econbiz.de/10013406562
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Stock markets and growth : a re-evaluation
DeHan, Chase Parker - 2012
There is a large body of literature stressing the importance of developing financial markets, including stock markets, to enhance countries' growth. I argue that the relationship between stock markets and growth is exaggerated and that the simple act of opening a formal stock market is not a...
Persistent link: https://www.econbiz.de/10009673028