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Zero-investment portfolio strategy and excess returns in ESG100 stocks

Parichat Sinlapates; Thawaree Chinnasaeng - In: Comparative analysis of trade and finance in emerging …, (pp. 51-66). 2023

Persistent link: https://www.econbiz.de/10014316845

No pain, no gain : you should always incorporate trading costs for a bias-free evaluation of trading rule overperformance

Anghel, Dan Gabriel - In: Economics letters 216 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013448360

The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy

Zhang, Qi; Cai, Charlie X.; Keasey, Kevin - In: Review of quantitative finance and accounting 43 (2014) 3, pp. 605-625

Persistent link: https://www.econbiz.de/10010490369

Predicting daily oil prices : linear and non-linear models

Dbouk, Wassim; Jamali, Ibrahim - In: Research in international business and finance 46 (2018), pp. 149-165

Persistent link: https://www.econbiz.de/10011983600

Optimal trade execution with uncertain volume target

Vaes, Julien; Hauser, Raphael A. - In: The journal of computational finance 26 (2022) 1, pp. 37-80

Persistent link: https://www.econbiz.de/10014546277

High frequency trading and end-of-day price dislocation

Aitken, Michael J.; Cumming, Douglas J.; Zhang, Feng - 2013

We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be...

Persistent link: https://www.econbiz.de/10010201320