We select a small set of recommendations that lie in the upper and lower tail of the empirical distribution of divergences between a recommendation, and the consensus over the window (-30, -1)-days prior to that recommendation. We classify these extremely divergent recommendations as bold, and...

This note investigates the causes of the quality anomaly, which is one of the strongest and most scalable anomalies in equity markets. We explore two potential explanations. The "risk view", whereby investing in high quality firms is somehow riskier, so that the higher returns of a quality...

This paper uses unique data on the shareholdings of both institutional and individual investors to directly investigate whether institutional investors have better stock selection ability than individual investors in China. Controlling for other factors, we find that institutional investors...

This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity...

This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

This study shows how stock market reacts to rating change announcements where confounding effects of information spillover from related markets are absent. Contrary to existing literature, we find that the stock market reacts positively to a rating upgrade and no response to downgrade. Our...

Evidence presented in Dasgupta et al. (2011) indicates that financial institutions can be net buyers or sellers of a stock over consecutive quarters, implying the existence of trends in a stock's institutional ownership. I investigate the relation between institutional ownership and returns...

A unique data set from NASDAQ OMX Nordic allows a deep analysis of trader types' activity and provides evidence on the roles played in the trading ecosystem. We specifically investigate the impact of algorithmic traders on market quality relative to the activities of other market participants...

Based on a manual compilation of the 87 opening price manipulation cases disclosed by the China Securities Regulatory Commission (CSRC) in the 11 years from January 2009 to December 2019, this paper compares manipulated stocks in the study group against control group stocks which display a...