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Strategies on Initial Public Offering of Company Equity at Stock Exchanges in Imperfect Highly Volatile Global Capital Markets with Induced Nonlinearities

Ledenyov, Dimitri - 2015

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

Persistent link: https://www.econbiz.de/10013026463

Cross-sectional reversal of intraday returns and investor heterogeneity in an emerging market

Chu, Xiaojun; Song, Shuang - In: Borsa Istanbul Review 23 (2023) 3, pp. 614-627

In this paper, we confirm cross-sectional reversals in intraday returns in China's A-share market. Intraday reversals are shown to be robust with respect to seasonality, alternative samples, and the daily price-limit rule. To investigate the potential drivers, trade volumes and order imbalances...

Persistent link: https://www.econbiz.de/10014308779

IPO Activity and Market Volatility

Dicle, Mehmet F. - 2017

We hypothesize two channels in which market volatility affects initial public offering (IPO) activity. First, CEOs time … the market for IPOs and volatility makes this decision process harder. Second, risk-averse IPO investors become more … reluctant towards IPOs during periods of higher volatility for their after-IPO returns. We provide evidence that higher market …

Persistent link: https://www.econbiz.de/10012946947

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

Persistent link: https://www.econbiz.de/10013128856

Technical analysis accuracy at Macedonian Stock Exchange

Ivanovski, Zoran; Ivanovska, Nadica; Narasanov, Zoran - In: UTMS journal of economics / University of Tourism and … 8 (2017) 2, pp. 105-118

The main task of this paper is to determine accuracy of some of widely used technical analysis techniques for MBI-10 stocks price forecast at MSE. We are testing accuracy of several technical analysis techniques: MACD (Moving-Average Convergence/Divergence), RSI (Relative Strength Index),...

Persistent link: https://www.econbiz.de/10011780553

Aggregate Earnings and Expected Stock Returns in Emerging Markets

Demirtas, K. Ozgur - 2012

This paper examines the time-series predictability of aggregate stock returns in 20 emerging markets. In contrast to the aggregate-level findings in US, earnings yield forecasts the time-series of aggregate stock returns in emerging markets. We consider aggregate earnings not as normalizing...

Persistent link: https://www.econbiz.de/10013115711

Testing mispricing-augmented factor models in an emerging market : a quest for parsimony

Ali, Fahad - In: Borsa Istanbul Review 22 (2022) 2, pp. 272-284

This study is the first to test a financing-based misvaluation factor (UMO, undervalued-minus-overvalued), first proposed by Hirshleifer and Jiang (2010), for the Pakistani stock market. I find that the UMO factor, long underpriced (repurchase) stocks and short overpriced (new issue) stocks,...

Persistent link: https://www.econbiz.de/10013184079

Effect of Price Inefficiency on Idiosyncratic Risk and Stock Returns

Qin, Nan - 2013

This paper finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If …

Persistent link: https://www.econbiz.de/10013076721

Over or Under? Momentum, Idiosyncratic Volatility and Overreaction

Heidari, Mahdi - 2015

remains a question. Using a simple model to illustrate the linkage between idiosyncratic volatility and investor overreaction …

Persistent link: https://www.econbiz.de/10013012436

Trading Volume, Return Variability and Short-Term Momentum

Gokcen, Umut - 2015

We examine the hypothesis that stock prices underreact to corporate news and that trading volume and return variability are proxies for latent news flow. Consistent with this notion, we find that that price continuation and potential momentum profits are larger after elevated levels of volume...

Persistent link: https://www.econbiz.de/10013034733

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