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Systematic risk pricing and investment performance of UK and US property markets

Grissom, Terry; Cheng Lim, Lay; DeLisle, James - In: Journal of European Real Estate Research 5 (2012) 1, pp. 66-87

statistically segmented. Opportunities for arbitrage based on different prices/returns for equivalent risk exposures are … solely by diversification options. This infers a potential for arbitrage (statistically, strategically or in practice) is … statistical arbitrage and the specification of investment behaviour as a function of differencing pricing expectations. These …

Persistent link: https://www.econbiz.de/10014862665

Efficient contracting, earnings smoothing and managerial accounting discretion

Khalil, Mohamed; Simon, Jon - In: Journal of Applied Accounting Research 15 (2014) 1, pp. 100-123

Purpose – The purpose of this paper is to examine whether the contracting incentives (i.e. bonus plans, debt covenants, political costs hypotheses), and income smoothing can explain accounting choices in an emerging country, Egypt. Design/methodology/approach – The paper uses the ordinary...

Persistent link: https://www.econbiz.de/10014838060

Earnings smoothing and the underpricing of seasoned equity offerings

Duc Ngo, Anh; Varela, Oscar - In: Managerial Finance 38 (2012) 9, pp. 833-859

Purpose – The purpose of this paper is to examine the impact of earnings smoothing on the underpricing of seasoned equity offerings (SEOs). It aims to investigate whether earnings smoothing can add value to firms by reducing the degree of SEO underpricing. Design/methodology/approach – The...

Persistent link: https://www.econbiz.de/10014940256

Earnings smoothing around open-market share repurchases

Di, Hui; Marciukaityte, Dalia - In: Review of Accounting and Finance 14 (2015) 1, pp. 64-80

Purpose – The purpose of this paper is to examine whether firms engage in earnings decreasing management before share repurchases to mislead investors or to smooth earnings and improve earnings informativeness. Design/methodology/approach – The authors examine discretionary accruals and cash...

Persistent link: https://www.econbiz.de/10014989937

Pairs trading with commodity futures: evidence from the Chinese market

Yang, Yurun; Goncu, Ahmet; Pantelous, Athanasios - In: China Finance Review International 7 (2017) 3, pp. 274-294

Purpose The purpose of this paper is to compare the profitability of different pairs selection and spread trading methods using the complete data set of commodity futures from Dalian Commodity Exchange, Shanghai Futures Exchange and Zhengzhou Commodity Exchange. Design/methodology/approach Paris...

Persistent link: https://www.econbiz.de/10014694703

Hedge funds : Statistical arbitrage, high frequency trading and their consequences for the environment of businesses

Morgan, Jamie - In: critical perspectives on international business 9 (2013) 4, pp. 377-397

Purpose – The paper's aim is to explore the impact of statistical arbitrage and high-frequency trading as hedge fund … investment activity based on statistical arbitrage tends to produce a vulnerability; more funds using the strategy helps to …

Persistent link: https://www.econbiz.de/10014701968

Cointegration-based trading: evidence on index tracking & market-neutral strategies

Papantonis, Ioannis - In: Managerial Finance 42 (2016) 5, pp. 449-471

construction. Several statistical-arbitrage tests are also carried out in order to examine whether the profitability of the … implementing market-neutral strategies with consistent profitability. By testing for statistical arbitrage, the author also …

Persistent link: https://www.econbiz.de/10014941961

Momentum strategies on the stock exchange of Mauritius

Subadar Agathee, Ushad - In: African Journal of Economic and Management Studies 3 (2012) 2, pp. 227-239

Purpose – The purpose of this paper is to assess the presence of the momentum effect on the Stock Exchange of Mauritius … to 12 months. In addition, the Capital Asset Pricing Model is used to estimate the risk adjusted returns for momentum …) periods. Findings – The results show the existence/presence of the momentum effects on the SEM. However, the outcomes of the …

Persistent link: https://www.econbiz.de/10014668505

Firm characteristics, distress risk and average stock returns

Simlai, Prodosh - In: Accounting Research Journal 27 (2014) 2, pp. 101-123

of the average portfolio returns of distressed firms. The cross-sectional role of momentum in the market mispricing of …. Also, contrary to the existing empirical evidence, momentum does not proxy for distress risk. Furthermore, in the cross …-sectional analysis, momentum subsumes the effect of size risk, and book-to-market acts as an independent state variable. Research …

Persistent link: https://www.econbiz.de/10014676750

Dynamics of external fit and internal fit: case of electronics industry

Lin, Chin-Shien; Peng, Tzu-Ju Ann; Chang, Ruei-Yuan; … - In: Chinese Management Studies 10 (2016) 1, pp. 184-203

between internal fit and external fit, and the momentum of internal fit was found as well. Moreover, the impact of the … such as trade-off, momentum and synergy between the two types of strategic fit, which may be helpful for making decision on …

Persistent link: https://www.econbiz.de/10014697734