Showing 1 - 10 of 31,239
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...
Persistent link: https://www.econbiz.de/10011519115
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
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 … perspective of the informativeness of the asset price, the results of this paper support mark to market accounting. -- accounting …
Persistent link: https://www.econbiz.de/10009742842
The rise of stock indexing has raised concerns that index investing impedes arbitrage and degrades price discovery. This paper uses Russell’s reconstitution to identify the causal effect of index investing on information arbitrage and price discovery. While index investing has no discernible...
Persistent link: https://www.econbiz.de/10013245002
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
Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns over the intermediate and long term. Given the widespread publication of sentiment indicators, smart investors should trade on the information conveyed by such indicators and...
Persistent link: https://www.econbiz.de/10008902937
This paper reconsiders the effect of investor sentiment on stock prices. Using survey-based sentiment indicators from Germany and the US we confirm previous findings of predictability at intermediate time horizons. The main contribution of our paper is that we also analyze the immediate price...
Persistent link: https://www.econbiz.de/10008822950
Jegadeesh (1990) examines the serial correlation in monthly stock returns and tests its economic significance by designing three trading strategies. In this study, we follow his research design to compare the security return predictability between US market and China market. The findings suggest...
Persistent link: https://www.econbiz.de/10012891713
In this article, we document a new stock market anomaly that seems to have escaped the attention of both investment professionals and academics alike. We find that over more than a century, the monthly market return has been predicted by the monthly market return at lag 5. This predictability is...
Persistent link: https://www.econbiz.de/10013294548