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Past price changes, trading volume and prediction of portfolio returns : evidence from select emerging markets

Sehgal, Sanjay; Vasishth, Vibhuti - In: Journal of advances in management research : JAMR 12 (2015) 3, pp. 330-356

Persistent link: https://www.econbiz.de/10011507420

Time variation in systematic risk, returns and trading volume : evidence from precious metals mining stocks

Ciner, Cetin - In: International review of financial analysis 41 (2015), pp. 277-283

Persistent link: https://www.econbiz.de/10011508966

Daily data is bad for beta : opacity and frequency-dependent betas

Gilbert, Thomas; Hrdlicka, Christopher; Kalodimos, Jonathan - In: Review of asset pricing studies 4 (2014) 1, pp. 78-117

Persistent link: https://www.econbiz.de/10010399878

Do stock market anomalies disappear?: The example of small size and market-to-book premia at the London stock exchange

Becchetti, Leonardo; Cavallo, Laura - In: Financial modelling : with 74 tables : [a selection of …, (pp. 13-29). 2000

Persistent link: https://www.econbiz.de/10001484936

Der Size-Effekt am deutschen Aktienmarkt

Stehle, Richard - 1995

Persistent link: https://www.econbiz.de/10000989929

Preise und Handelsvolumina auf Finanzmärkten : eine empirische Überprüfung d. Mischungsverteilungshypothese

Liesenfeld, Roman - 1998

Persistent link: https://www.econbiz.de/10000982152

Does Public Financial News Resolve Asymmetric Information?

Tetlock, Paul C. - 2011

I use uniquely comprehensive data on financial news events to test four predictions from an asymmetric information model of a firm's stock price. Certain investors trade on information before it becomes public; then, public news levels the playing field for other investors, increasing their...

Persistent link: https://www.econbiz.de/10013119177

Nexus between stock returns, funding liquidity and COVID-19

Marozva, Godfrey; Magwedere, Margaret Rutendo - In: Spoudai : journal of economics and business 71 (2021) 3/4, pp. 86-100

Using a panel of stock indices of the BRICS countries from 31 December 2019 to 17 October 2020, the nexus between funding liquidity, stock returns and COVID-19 pandemic is examined using the fixed effects model. Results show that funding liquidity and the COVID-19 pandemic interacts positively...

Persistent link: https://www.econbiz.de/10013169366

Costly interpretation of asset prices

Mondria, Jordi; Vives, Xavier; Yang, Liyan - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 52-74

Persistent link: https://www.econbiz.de/10012821032

A price dynamic equilibrium model with trading volume weights based on a price-volume probability wave differential equation

Shi, Leilei; Wang, Binghong; Guo, Xinshuai; Li, Honggang - In: International review of financial analysis 74 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012803796