Similar Search Results

Do U.S. Analysts Improve the Local Information Environment of Cross-Listed Stocks?

Amel-Zadeh, Amir - 2018

This paper examines whether and how U.S. analysts contribute to an improvement in the home market information environment of foreign firms cross-listed in the United States. Comparing return and trading volume reactions to U.S. analyst recommendation revisions to local analysts' for cross-listed...

Persistent link: https://www.econbiz.de/10012935949

Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets

Ardliansyah, Rifqi - 2014

The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...

Persistent link: https://www.econbiz.de/10013065264

The Halloween Effect in US Sectors : Comment

Doeswijk, Ronald Q. - 2009

We argue that the Jacobsen and Visaltanachoti (2009) study is incomplete. Jacobsen and Visaltanachoti (2009) evaluate the Halloween effect or ‘Sell in May'-effect as documented by Bouman and Jacobsen (2002), and extend the analysis into the relative performances of sectors during the winter...

Persistent link: https://www.econbiz.de/10013157007

Midterm Elections’ Stock Market Surge – An Unintentional Gift From US Politicians

Bialkowski, Jedrzej Pawel - 2019

The paper provides evidence for the existence of a midterm election effect. By examining the quarterly total returns on the S&P 500 Index between 1954 and 2017, we show that, nine times out of 10, the index has been positive in the fourth quarter of a midterm election year and the following two...

Persistent link: https://www.econbiz.de/10012898054

Learning from Noise? Price and Liquidity Spillovers Around Mutual Fund Fire Sales

Honkanen, Pekka - 2019

We study the extent of cross-asset learning in financial markets by examining spillover effects around mutual fund fire … liquidity providers. We conclude that they represent information spillovers due to learning from prices, thus identifying cross …-asset learning as an important driver for the commonality in returns and liquidity …

Persistent link: https://www.econbiz.de/10012899156

Informed Trading of Out-of-the-Money Options and Market Efficiency

Kang, Chang Mo - 2020

We examine stock return predictability of "Out-of-The-Money (OTM) put-to-OTM call trading volume ratio" (OTMPC). Our numerical analysis predicts that informed investors hardly write OTM options because the leverage effect is not sufficient to compensate for transaction costs. OTMPC, thus,...

Persistent link: https://www.econbiz.de/10012855366

Influences of Money Supply and Oil Price on U.S. Stock Market

Rahman, Matiur - 2010

This paper studies the long-run and short-run dynamic effects of broad money supply (M2) and oil price on U.S. stock market (S&P500). Monthly data are employed from January, 1974 through April, 2006. Each variable is non-stationary in level with I (1) behavior. The above three variables depict a...

Persistent link: https://www.econbiz.de/10013148958

Do ETFs affect ADRs and U.S. domestic stocks differently?

Fu, Chengbo; Huang, Qiping; Tang, Hongfei - 2021

This study examines the effect of Exchange Traded Funds (ETFs) on their underlying AmericanDepository Receipts (ADRs). We find that percentage of ADR shares owned by ETFs increasesdramatically in the past two decades. Contrary to U.S. firms, ETF ownership is positivelyassociated with stock...

Persistent link: https://www.econbiz.de/10013322035

FinTechs and the market for financial analysis

Grennan, Jillian; Michaely, Roni - 2019

Hundreds of equity market intelligence FinTechs have formed in the last decade. We assemble novel data to describe their capabilities, users, and consequences. Our data suggest that these FinTechs: (i) aggregate many data sources, including nontraditional ones (e.g., Twitter, blogs), and...

Persistent link: https://www.econbiz.de/10012003060

Is the Predictive Value of Analysts' Recommendations in Decline? : New Evidence from the U.S. Stock Market

Park, Sung Jun - 2019

Using 719,830 analyst recommendations from 1994 to 2017, we construct various portfolios based on levels and changes in analyst recommendations and examine how the value of those recommendations in predicting the abnormal stock returns has changed over time. We find that the predictive value of...

Persistent link: https://www.econbiz.de/10012863233

1
2
3
4
5
6
7
8
9
10
Next
Last