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Previous research in finance has found evidences of both overreaction and underreaction to unanticipated events, but has yet to explain why investors overreact to certain events while underreacting to others. In this paper, we hypothesize that while market participants generally underreact to...
Persistent link: https://www.econbiz.de/10013066560
An avalanche of empirical studies has addressed the validity of the rank-size rule (or Zipf's law) in a multi-city context in many countries. City size in most countries seems to obey Zipf's law, but the question under which conditions (e.g. sample size, spatial scale) this 'law' holds remained...
Persistent link: https://www.econbiz.de/10011734266
This paper examines how gambling-motivated trading affects aggregate financial market outcomes. Using a unique global … gambling data set covering 39 countries, we show that the dollar volume of stock market gambling is at least 3.5 times the … combined volume of “traditional” gambling outlets such as casinos and lotteries. The two forms of gambling are positively …
Persistent link: https://www.econbiz.de/10012823949
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The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10001717556
The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...
Persistent link: https://www.econbiz.de/10011431780
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...
Persistent link: https://www.econbiz.de/10013059967
Persistent link: https://www.econbiz.de/10011716194
This paper addresses findings from previous asset pricing research that reveal lottery-like stocks are mispriced. This conclusion, however, relies on asset pricing models which might suffer from the joint hypothesis problem: That is, abnormal returns can reflect market inefficiencies, a bad...
Persistent link: https://www.econbiz.de/10012903265