The recent crisis has demonstrated the close linkages between various asset classes within a country as well as the association between assets internationally. The aim of this research is to provide for a better understanding of some of these linkages by conducting an empirical investigation of...

We investigate the price dynamics of large market-capitalization U.S. equity exchange-traded funds (ETFs) in order to uncover trader motivations and strategy. We show that prices of highly liquid ETFs can deviate significantly from their daily net asset values. By adjusting for changes in...

We implement a novel approach to derive investor sentiment from messages posted on social media before we explore the relation between online investor sentiment and intraday stock returns. Using an extensive dataset of messages posted on the microblogging platform StockTwits, we construct a...

During the ongoing COVID-19 pandemic in the US, there has been considerable media attention regarding several US legislators who traded stocks in late January through February 2020. The concern is that these legislators traded in anticipation of COVID-19 having a major impact on the financial...

Prior studies find broad-based support for the efficacy of trading strategies based on momentum in stock returns. More recent studies, however, note a declining benefit relative to that identified in seminal studies on momentum. These recent studies, however, primarily examine time periods...

Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree of trading overlap among any two investors in that...

This paper considers changes in market comovement of merging US firms. Comparing the expected to the actual post merger comovement, we find that the post merger beta exhibits excess comovement with the acquiring firm. This suggests that the firm's comovement is at least partly determined by its...

The tonality of news reporting has been shown to have explanatory and predictive power for equity prices. Using a novel approach and data set, we demonstrate that the news sentiment effect also holds for US government bond duration. We construct a successful trading strategy for the US 10-year...

For decades the U.S. foreign portfolio share remained relatively constant; yet from 1994 to 2010, the share of equity wealth U.S. investors allocated to foreign markets nearly doubled. Using a sample of monthly bilateral equity holding between investors in the United States and 46 countries, I...

Purpose – The purpose of this paper is to examine the 2009 to 2016 financial performance of the US Hockey Inc., using financial effectiveness indicators and financial efficiency ratios.Design/methodology/approach – With the assistance of financial trend analysis, archival data were used to...