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FOMC communication and emerging equity markets
Hayo, Bernd; Kutan, Ali Mustafa; Neuenkirch, Matthias - 2009
equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …
Persistent link: https://www.econbiz.de/10003852244
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Short selling and the subsequent performance of initial public offerings
Seistrajkova, Biljana - 2017
This paper examines short sales transaction volumes on the first trading day of 610 initial public offerings (IPOs) from 2011 to 2015. The tests provide evidence of informed trading immediately at the IPO. Results reveal that short selling volume on the first trading day of the IPO is...
Persistent link: https://www.econbiz.de/10011874714
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Corporate transactions in hard-to-value stocks
Ben-David, Itzhak; Kim, Byungwook; Moussawi, Hala; … - 2021
Hard-to-value stocks provide opportunities for managers to exploit their informational advantage through trading on their firms' and their own personal accounts. In contrast to the prediction that such transactions reflect private information about future events, they are contrarian and heavily...
Persistent link: https://www.econbiz.de/10012816430
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Signaling by underpricing the initial public offerings of primary listings in an emerging market
Čornanič, Aleš; Novák, Jiri - 2013
The signaling hypothesis suggests that firms have incentives to underprice their initial public offerings (IPOs) to signal their quality to the outside investors and to issue seasoned equity (SEO) at more favorable terms. While the initial empirical evidence on the signaling hypothesis was weak,...
Persistent link: https://www.econbiz.de/10009775653
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Does market irrationality in the media affect stock returns?
Gibson, Rajna; Hemmens, Christopher; Trépanier, Mathieu - 2015
on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …
Persistent link: https://www.econbiz.de/10011412095
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Increased information content of earnings announcements in the 21st century : an empirical investigation
Beaver, William H.; McNichols, Maureen; Wang, Zach Z. - 2018
We examine the role of concurrent information in the striking increase in investor response to earnings announcements from 2001 to 2016, as measured by return variability and volume following Beaver (1968). We find management guidance, analyst forecasts, and disaggregated financial statement...
Persistent link: https://www.econbiz.de/10011873121
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Aggregate implied volatility spread and stock market returns
Han, Bing; Li, Gang - 2017 - Current Version: September 2017
Aggregate implied volatility spread (IVS), defined as the cross-sectional average difference in the implied …
Persistent link: https://www.econbiz.de/10011897782
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Return and volatility reactions to monthly announcements of business cycle forecasts : an event study based on high-frequency data
Entorf, Horst; Groß, Anne; Steiner, Christian - 2009
. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …
Persistent link: https://www.econbiz.de/10003814068
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A note on the impact of portfolio overlapping in tests of the Fama and French three-factor model
Wallmeier, Martin; Tauscher, Kathrin - 2012 - First draft, Oct. 2012
In the three-factor model of Fama and French (1993), portfolio returns are explained by the factors Small Minus Big (SMB and High Minus Low (HML) which capture returns related to firm capitalization (size) and the book-to-market ratio (B/M). In the standard approach of the model, both the test...
Persistent link: https://www.econbiz.de/10009664476
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Have we solved the idiosyncratic volatility puzzle?
Hou, Kewei; Loh, Roger K. - 2012 - This draft: December 2012
idiosyncratic volatility and subsequent stock returns (the idiosyncratic volatility puzzle). We find that surprisingly many existing … puzzle in individual stocks and 78-84% of the puzzle in idiosyncratic volatility-sorted portfolios. Our methodology can be …
Persistent link: https://www.econbiz.de/10009699414