In this study we test for the existence of calendar effect in Nigerian stock market returns. The data utilised comprised of the daily All Shares Price Index returns for a period of 1339 sampled days ranging from 19th April 2005 to 30th September 2010. In testing for calendar effect in the...

This purpose of this paper is to present the expected equity returns for the Indian stock market for the benefit of investors, who may then compare such returns with actual market returns to evaluate whether the Indian stock market provides returns in excess of expectations. Both the capital...

The purpose of this study was to analyze the effects that have been caused by changes in pre-trade transparency upon the behavior of stock traders. We used a trade size model and tested it before, during and after the period when the Italian Stock Exchange introduced a 20-level order book with...

This study analyzes the dynamic relationship between stock prices and stock fundamentals. We focus on the Euro Stoxx 50 index, a major eurozone stock index, and its dividend futures. From the observed prices of the dividend futures and Euribor (swap) rates, we calculate the transition of term...

We analyze the role of forward-looking indicators, like the IFO business climate indicator and asset prices, in German monetary transmission. We show that the use of both the IFO indicator and asset prices improves the performance and interpretation of a Vector AutoRegression (VAR) model of...

We analyze the role of forward-looking indicators, like the IFO business climate indicator and asset prices, in German monetary transmission. We show that the use of both the IFO indicator and asset prices improves the performance and interpretation of a Vector AutoRegression (VAR) model of...

We study the impact of news embedded in scheduled macroeconomic announcements on the government bond market in Poland and the Czech Republic. We conduct an event study on intraday data and time-series regressions using daily data over an eight-year period, distinguishing between effects under...

This paper documents the asset pricing implications of the data release process of National Income and Product Accounts (NIPA) consumption expenditure. We show that initial consumption data releases are more suitable for asset pricing than final revised releases. This is because most revisions...

We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars and financial crises. In US post-war data, periods when NVIX...