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Mythbusters : the Counter-Cyclical Nature of Gold Prices & January as a Predictor of Market Performance for the Year

Hines, Zach; Nohelty, Eric; Porwoll, Matt; Buxton, Lauren - 2011

Color poster with graphs and tables.

Persistent link: https://www.econbiz.de/10009460858

Sufar, Saiful Bahri - 2000

-market conditions.Test of the APT entails the detennination on the number of factors, estimating thesensitivities or risks of stocks to …-periods. APCA on any sample of stocks cou1l produce a first factor that is common amongstocks, while other factors are more sample … toproduce a significant risk premium. The sensitivities of the stocks to the factors werefound to differ across sub-periods, but …

Persistent link: https://www.econbiz.de/10009461178

Explanation for market response to seasoned equity offerings

Hull, Robert M. - 2010

This paper uses a multivariate framework to extend the recent univariate seasoned equity offering (SEO) research by Hull, Kwak and Walker (2010) that investigates the valuation impact of inside ownership. Our multivariate findings add to the univariate findings as we show that the inside...

Persistent link: https://www.econbiz.de/10009462240

The Impact of Hedge Funds on the Volatility of Seasoned Equity Offerings

Hull, Robert M.; Kwak, Sungkyu; Walker, Rosemary - 2010

To what extent can hedge funds influence stock price volatility surrounding theannouncements of major corporate events? To answer this question, this paper examinesone of the more common major corporate events: seasoned equity offerings (SEOs). Wetest the impact of hedge fund variables on...

Persistent link: https://www.econbiz.de/10009462241

Estimation of Stock Price Distress Costs Associated with Downgrades using Regime-Switching Models

Milidonis, Andreas - 2006

, I find that stocks switch from a low-volatility regime (1.92%) to a high-volatility regime (6.10%) on the day of the … portfolio of stocks. I derive the frequency and severity implications of such exogenous shocks on regime switching models. …

Persistent link: https://www.econbiz.de/10009463408

The impact of voluntary disclosures on sell-side analyst stock recommendations : Australian evidence /

Laohapolwatana, Worrawan Toogjit.

Thesis (PhDBusinessandManagement)--University of South Australia, 2004.

Persistent link: https://www.econbiz.de/10009480548

The paradox of securities markets efficiency : where to next?

Sappideen, Razeen - 2009

This article examines the claim of securities markets efficiency based on the efficient markets hypothesis (EMH), which Fama proclaimed to be a well substantiated truth in 1978. Behavioural theory shows that individuals do not act to maximise their utility as asserted by neoclassical economists,...

Persistent link: https://www.econbiz.de/10009481896

The information content of cross-sectional volatility for future market volatility : evidence from Australian equity returns

Rahman, Md. Arifur; Daly, Kevin James; Valentine, T. J.; … - University of Western Sydney; University of Western Sydney; … - 2005

This paper examines whether the firm-level and the industry-level cross-sectional volatility (CSV) contains any incremental information about the future market-level volatility in Australia. We analyze daily equity returns data from 2 January 1992 to 31 May 2004. Using a conditional volatility...

Persistent link: https://www.econbiz.de/10009482038

On the information content of idiosyncratic equity return variation

Rahman, Md. Arifur - University of Western Sydney; College of Business; … - 2007

Research in this thesis deals with some unexplored, or only partially explored, issues relating to the information content of volatility of the idiosyncratic component of asset returns at the firm and industry-level, both in the context of developed and emerging stock markets. Specific issues we...

Persistent link: https://www.econbiz.de/10009482095

The empirical relationship between intraday volatility and trading volume : evidence from Chinese Stocks

Tian, Gary G.; Guo, Mingyuan; Daly, Kevin James; … - University of Western Sydney; University of Western Sydney; … - 2005

thirty-nine stocks from the Shanghai Stock Exchange 180 Index. Taking in consideration the excess kurtosis in high …

Persistent link: https://www.econbiz.de/10009482105