Showing 1 - 10 of 17,345
Purpose This study delves into the nuanced implications of short-sale constraints on stock prices within the context of stock market efficiency. While existing research has explored this relationship, inconsistencies persist in their findings. The purpose of this study is to conduct a...
Persistent link: https://www.econbiz.de/10015047535
The study has investigated the impact of trading costs and short sale constraints on the performance of 70 stock market anomalies in Emerging Europe. While over 30 of the replicated strategies – mostly related to value, momentum, technical analysis, profitability, and issuance effects –...
Persistent link: https://www.econbiz.de/10012903346
In this paper we investigate sources and characteristics of value, size and momentum profits on the Polish stock market. The research aims to broaden the academic knowledge in a few ways. First, we deliver fresh out-of-sample evidence on value, momentum, and size premiums. Second, we analyzemthe...
Persistent link: https://www.econbiz.de/10011455379
We examine if differences in short selling volumes and the information impounded by short sells can contribute to explaining pricing differences which exist between the A- and H-share markets in China. In particular, we argue and also find that informed short selling around earnings...
Persistent link: https://www.econbiz.de/10012850425
This paper examines the effect of short-sale constraints on the pricing discrepancies between stocks and bonds of the same firms. Using data from 2006 to 2018, we find that short-sale constraints have a positive impact on pricing discrepancies. This relationship holds for both stock and bond...
Persistent link: https://www.econbiz.de/10014350843
The study introduces empirical evidence that there are statistically significant relationships between intensity of upcoming aggregate merger activity and the present values of the factors HML and SMB in the Fama-French three-factor model of assets pricing
Persistent link: https://www.econbiz.de/10013065679
This paper examines the cross-sectional properties of stock return forecasts based on Fama-MacBeth regressions using all firms contained in the STOXX Europe 600 index during the September 1999-December 2018 period. Our estimation approach is strictly out-of-sample, mimicking an investor who...
Persistent link: https://www.econbiz.de/10012848244
This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some developed (US, UK, Japan) and emerging (China, India) markets over the period 01.01.2010-01.01.2020. Average analysis, t-tests, CAR and trading simulation methods are used to test the...
Persistent link: https://www.econbiz.de/10012390869
This paper examines the interrelation between short selling and volatility as differing from previous research in that it focuses on intraday activities, rather than the daily price movements. We demonstrate that the effects of short selling activity change during the two sessions of the day and...
Persistent link: https://www.econbiz.de/10013089256
Using a comprehensive data set of short-sale transactions, we find strong evidence of commonality in daily shorting flows of individual stocks. More importantly, we find that aggregate shorting forecasts market returns. A one standard deviation increase in daily aggregate shorting is associated...
Persistent link: https://www.econbiz.de/10013054136