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Soybean futures crush spread arbitrage : trading strategies and market efficiency

Mitchell, John B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 63-96

This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits. The lengths of winning and losing trades are found to differ systematically, with...

Persistent link: https://www.econbiz.de/10011556002

The profitability, costs and systematic risk of the post-earnings-announcement-drift trading strategy

Zhang, Qi; Cai, Charlie X.; Keasey, Kevin - In: Review of quantitative finance and accounting 43 (2014) 3, pp. 605-625

Persistent link: https://www.econbiz.de/10010490369

Short-term residual reversal

Blitz, David; Huij, Joop; Lansdorp, Simon D.; Verbeek, Marno - In: Journal of financial markets 16 (2013) 3, pp. 477-504

Persistent link: https://www.econbiz.de/10010348522

The persistence of mutual funds performance : evidence from the UK stock market

Kenourgios, Dimitrios F.; Petropoulos, Ioannis - In: Ekonomia : the journal of the Cyprus Economic Society 7 (2004) 2, pp. 121-138

Persistent link: https://www.econbiz.de/10003267508

Picking up the pennies in front of the bulldozer : the profitability of gilt based trading strategies

Quinn, Barry; Hanna, Alan; MacDonald, Fred - In: Finance research letters 27 (2018), pp. 214-222

Persistent link: https://www.econbiz.de/10012006864

Evaluating the robustness of market anomaly evidence

Brown, William D.; Moore, Erin A.; Pfeiffer, Ray J. - In: Advances in quantitative analysis of finance and … 6 (2008), pp. 27-47

Persistent link: https://www.econbiz.de/10003733843

The impact of managerial ownership, monitoring and accounting standard choice on accrual mispricing

Gegenfurtner, Bernhard; Ampenberger, Markus; Kaserer, … - 2009

We analyse to what extent the accrual anomaly is related to the choice of the accounting system as well as firm … first corroborate former results indicating that the accrual anomaly is also present in Germany. However, this anomaly seems … reduce the accrual anomaly, shareholder monitoring is not. Apart from offering evidence related to the cross …

Persistent link: https://www.econbiz.de/10003850495

Stock performance and the mispricing of accruals

Jiang, Guohua - In: The international journal of accounting : TIJA 42 (2007) 2, pp. 153-170

Persistent link: https://www.econbiz.de/10003500260

Investors’ Expectation of Loss Reversal and Test of Accruals Mispricing

Kim, Jung Hoon - 2013

This study reconciles the findings in recent studies regarding the disappearing accruals anomaly and the sustained cash flows anomaly. We attribute the contrasting results to the firms having both highly negative accruals and cash flows. They exhibit highly negative future stock returns although...

Persistent link: https://www.econbiz.de/10013086490

Mispricing or Q-Theory : Testing the Accruals Anomaly Based on the Speed of Price Adjustment

Choy, Siu Kai - 2020

Extant research on the accruals anomaly is based on returns starting a few months after fiscal year ends, not when accruals are publicly known. We explore the nature of the accruals anomaly by analyzing the speed of price adjustment to accruals information from the date when accruals first...

Persistent link: https://www.econbiz.de/10012847639