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Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012

importance in recent years. We report that arbitrage activity occurs between ETFs and the underlying assets. Then, we show that … arbitrage activity may induce contagion. Flash Crash ; contagion ; ETF ; stocks ; arbitrage ; mispricing ; overvaluation …

Persistent link: https://www.econbiz.de/10009554748

Identifying the Effect of Stock Indexing : Impetus or Impediment to Arbitrage and Price Discovery?

Ahn, Byung Hyun; Patatoukas, Panos N. - 2021

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 … for micro-cap stocks. Our causal evidence identifies the relaxation of arbitrage constraints as a mechanism through which …

Persistent link: https://www.econbiz.de/10013245002

Mispricing and the cross-section of stock returns

Chen, Carl R.; Lung, Peter P.; Wang, F. Albert - In: Review of quantitative finance and accounting 32 (2009) 4, pp. 317-349

Persistent link: https://www.econbiz.de/10003873804

Hidden liquidity : determinants and impact

Cebiroglu, Gökhan; Horst, Ulrich - 2012

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Persistent link: https://www.econbiz.de/10009506557

The Predictable Behavior of Security Returns : A Comparative Study Between US and China Markets

Luo, Yue - 2019

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

The Bond Pricing Implications of Rating-Based Capital Requirements

Murray, Scott - 2020

This paper demonstrates that rating-based capital requirements, through their impact on insurers' investment demand, affect corporate bond prices. Consistent with insurers' low demand for investment-grade (IG) bonds with a rating close to non-investment-grade, these bonds are underpriced....

Persistent link: https://www.econbiz.de/10012854113

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

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

A New Predictability Pattern in the US Stock Market Returns

Zakamulin, Valeriy - 2022

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

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