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Short-termism, investor clientele, and firm risk
Brochet, François; Loumioti, Maria; Serafeim, George - 2012
We study conference calls as a voluntary disclosure channel and create a proxy for the time horizon that senior … executives emphasize in their communications. We find that our measure of disclosure time horizon is associated with capital …. Overall, the results show that the time horizon of conference call narratives can be informative about managers' myopic …
Persistent link: https://www.econbiz.de/10009508647
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Short-term stock price reversals may be reversed
Kudryavtsev, Andrey - In: International journal of economic sciences and applied … 5 (2012) 3, pp. 129-146
In present study, I explore intraday behavior of stock prices. In particular, I try to shed light on the dynamics of stock price reversals and namely, on the short-term character the latter may possess. For each of the stocks currently making up the Dow Jones Industrial Index, I calculate...
Persistent link: https://www.econbiz.de/10009717374
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Relative Idiosyncratic Volatility and the Timing of Corporate Insider Trading
Gider, Jasmin - 2016
This paper investigates whether corporate insiders trade when asymmetric information is high, using data on U.S. corporate insider transactions between 1986 and 2012. The key innovation of this paper is our proxy for asymmetric information relivol which measures deviations of idiosyncratic...
Persistent link: https://www.econbiz.de/10013005703
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Overnight Public Information, Order Placement and Price Discovery During the Pre-Opening Period
Moshirian, Fariborz - 2016
This study examines the impact of corporate news announcements released overnight on price discovery during the pre-opening period in the Australian Securities Exchange. Our results suggest that the presence of these announcements increases the efficiency of indicative opening prices and that...
Persistent link: https://www.econbiz.de/10013008684
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Intraday price discovery in fragmented markets
Ozturk, Sait; Wel, Michel van der; Dijk, Dick van - 2014
discovery using a structural model with time-varying parameters that can be estimated with state space techniques. An …
Persistent link: https://www.econbiz.de/10010250525
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A Study on Empirical Analysis of Price Discovery and Causality between NSE Spot and Future Market in India
Mukthar, Jaheer - 2013
The temporal relation between stock index and Index futures has been and continues to be of interest of regulators, academicians and practitioners alike for a number of reasons such as market efficiency volatility and arbitrage. In perfectly efficient markets profitable arbitrage should not...
Persistent link: https://www.econbiz.de/10013087229
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Information Transmission between International Stock Markets and Bucharest Stock Exchange During a Turbulent Period (2007-2009)
Tudor, Cristiana - 2010
This paper investigates the direction of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for...
Persistent link: https://www.econbiz.de/10013147798
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Stock Market Interactions and the Impact of Macroeconomic News - Evidence from High Frequency Data of European Futures Markets
Kräussl, Roman; Canto, Bea - 2023
) stock market dynamic interactions do not increase at the time of the release of economic news; (vi) foreign investors react …) contemporaneous correlation between futures returns changes at the time of macroeconomic releases …
Persistent link: https://www.econbiz.de/10014352510
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ETFs, arbitrage, and contagion
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012
Recent literature suggests that trading by institutional investors may affect the first and second moments of returns. Elaborating on this intuition, we conjecture that arbitrageurs can propagate liquidity shocks between related markets. The paper provides evidence in this direction by studying...
Persistent link: https://www.econbiz.de/10009554748
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Stock market contagion in Central and Eastern Europe : unexpected volatility and extreme co-exceedance
Horváth, Roman; Lyócsa, Štefan; Baumöhl, Eduard - 2016
We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative returns are followed by higher co-exceedance between U.S....
Persistent link: https://www.econbiz.de/10011482691