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Exchange traded funds (ETFs)
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017
due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as …
Persistent link: https://www.econbiz.de/10011620013
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Stock Liquidity and SMEs’ Likelihood of Bankruptcy : Evidence from the US Market
El Kalak, Izidin - 2018
We study the association between the stock liquidity of SMEs in the US and their likelihood of bankruptcy, using a … substantial heterogeneity across industries regarding the predictive power of the liquidity measure on the likelihood of … performance tests conclude that adding a liquidity measure variable to the Campbell et al. (2008) model improves its predictive …
Persistent link: https://www.econbiz.de/10012930056
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Further evidence on the (in-) efficiency of the U.S. housing market
Schindler, Felix - 2010
Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the...
Persistent link: https://www.econbiz.de/10003919079
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On the power and weakness of rational expectations : logical fallacies, periodic bubbles and business cycles
Gracia, Eduard - 2012
A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if the hypothesis holds, then market valuations must follow a random walk. This postulate has frequently been criticized on the basis of empirical evidence. Yet the assertion itself incurs what we...
Persistent link: https://www.econbiz.de/10009547387
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Predicting the unpredictable : forecastable bubbles and business cycles under rational expectations
Gracia, Eduard - 2012
A popular interpretation of the Rational Expectations/Efficient Markets hypothesis states that, if it holds, market valuations must follow a random walk; hence, the hypothesis is frequently criticized on the basis of empirical evidence against such a prediction. Yet this reasoning incurs what we...
Persistent link: https://www.econbiz.de/10009663233
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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
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Stock Return Predictability and the Adaptive Markets Hypothesis : Evidence from Century Long U.S. Data
Kim, Jae H. - 2010
We study return predictability of the Dow Jones Industrial Average indices from 1900 to 2009. We find strong evidence that time-varying return predictability is driven by changing market conditions, consistent with the implications of the adaptive markets hypothesis. During market crashes, no...
Persistent link: https://www.econbiz.de/10013148621
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Accounting conservatism, market liquidity and informativeness of asset price : implications on mark to market accounting
Luo, Guo Ying - In: Journal of applied finance & banking 3 (2013) 1, pp. 177-190
market liquidity increases as the proportion of conservatism traders increases. With mark to market accounting replacing the … conservative accounting practice, the asset price will be more informative and the market liquidity will be reduced. From the … conservatism ; market liquidity ; price efficiency ; mark to market accounting …
Persistent link: https://www.econbiz.de/10009742842
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The tax cuts and jobs act : which firms won? Which lost?
Wagner, Alexander F.; Zeckhauser, Richard; Ziegler, … - 2020
The Tax Cut and Jobs Act (TCJA) slashed corporations' median effective tax rates from 31.7% to 20.8%. Nevertheless, 15% of firms experienced an increase. One fifth of firms recorded nonrecurring tax costs or benefits exceeding 3% of total assets. Proxies that existing studies employ to assess...
Persistent link: https://www.econbiz.de/10012270766
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The rank effect for commodities
Fernholz, Ricardo T.; Koch, Christoffer - 2016
We uncover a large and significant low-minus-high rank effect for commodities across two centuries. There is nothing anomalous about this anomaly, nor is it clear how it can be arbitraged away. Using nonparametric econometric methods, we demonstrate that such a rank effect is a necessary...
Persistent link: https://www.econbiz.de/10011567896