Narrow search
Showing 1 - 10 of 10,521
Cover Image
The twilight zone : OTC regulatory regimes and market quality
Brüggemann, Ulf; Kaul, Aditya; Leuz, Christian; … - 2013 - Rev.
We analyze a comprehensive sample of more than 10,000 U.S. OTC stocks. We first show that the OTC market is a large, diverse, and dynamic trading environment with a rich set of regulatory and disclosure regimes, comprising venue rules and state laws beyond SEC regulation. We then exploit this...
Persistent link: https://www.econbiz.de/10009782418
Cover Image
Short and long-term effects of September 11 on stock returns : evidence from US defense firms
Essadam, Naceur; Douch, Mohamed - In: Journal of applied finance & banking 3 (2013) 3, pp. 239-253
time variation of stock return volatility (GARCH). In the long-term, our results suggest that the US defense firms only …. -- terrorism ; volatility ; GARCH ; event study …
Persistent link: https://www.econbiz.de/10009743349
Cover Image
An Empirical Analysis of Market Segmentation on U.S. Equities Markets
Hatheway, Frank - 2014
We examine the impact of trading on markets partially exempt from National Market System requirements (‘dark venues') on equity market quality. We find evidence consistent with the notion that dark venues rely on their special features to segregate order flow based on asymmetric information...
Persistent link: https://www.econbiz.de/10013063784
Cover Image
The joint dynamics of liquidity, returns, and volatility across small and large firms
Chordia, Tarun (contributor); Sarkar, Asani (contributor);  … - 2005
This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …, and volatility spillovers across the small- and large-cap sectors. Lead and lag patterns across small- and large …
Persistent link: https://www.econbiz.de/10002746486
Cover Image
Are stock returns a leading indicator for real macroeconomic developments?
Burgstaller, Johann - 2002
I examine whether or not returns on stock markets are a leading indicator for real macroeconomic developments in Austria, Japan and the USA. Further I deal with the concept of stock market efficiency, the question whether or not information from real and financial sectors of the economy is...
Persistent link: https://www.econbiz.de/10009750238
Cover Image
Market Efficiency and Returns to Simple Technical Trading Rules : New Evidence from U.S. Equity Market and Chinese Equity Markets
Tian, Gary Gang - 2014
Numerous studies in the finance literature have investigated technical analysis to determine its validity as an investment tool. This study is an attempt to explore whether some forms of technical analysis can predict stock price movement and make excess profits based on certain trading rules in...
Persistent link: https://www.econbiz.de/10013047415
Cover Image
A Closer Look at Return Predictability of the US Stock Market : Evidence from a Panel Variance Ratio Test
Kim, Jae H. - 2013
This paper examines return predictability of the U.S. stock market using portfolios sorted by size, book-to-market ratio, and industry. A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011. It is found that the stock returns...
Persistent link: https://www.econbiz.de/10013086798
Cover Image
Cross Border Stock Market Efficiency : Stockholm Versus U.S. Stock Prices
Jalbert, Terrance - 2010
In this paper we examine the relative efficiency of the U.S. and Swedish Stock Exchanges. Numerous stocks are cross-listed on United States Exchanges and the Swedish Stock Exchange. We compare the prices of these firms at near-simultaneous trading times. We find evidence of a lack of efficiency...
Persistent link: https://www.econbiz.de/10013151106
Cover Image
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
Cover Image
Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]
Becke, Susanne von der; Sornette, Didier - 2011
Persistent link: https://www.econbiz.de/10009561750