Showing 51 - 60 of 114
Persistent link: https://www.econbiz.de/10001136363
Using 13 years of intraday data for U.S. stocks, we find a strong tendency for positive returns during the overnight period followed by reversals during the trading day. This behavior is driven by an opening price that is high relative to intraday prices. We find this temporary price inflation...
Persistent link: https://www.econbiz.de/10013133410
This study argues that a high proportion of trading through underaged accounts is likely to be controlled by informed guardians seeking to share the benefits of their information advantage with young children, or camouflaging their potentially illegal trades. Consistent with this conjecture, we...
Persistent link: https://www.econbiz.de/10013090860
Consistent with theoretical models of speculative trading, we show that abnormal trading activity increases before earnings announcements, especially for stocks with high dispersion of opinions. Moreover, consistent with Miller's (1977) theory and other disagreement models, for stocks that are...
Persistent link: https://www.econbiz.de/10012723510
Using nine years of data for the largest 3,000 U.S. stocks, we find a tendency for positive returns during the overnight non-trading period followed by reversals during the subsequent trading day session. This pattern is driven by an opening price that is high relative to intraday prices, rather...
Persistent link: https://www.econbiz.de/10012729922
In the days before earnings announcements we find an average price increase of almost 1 percent for stocks that are likely to be overpriced already - stocks with low institutional ownership combined with high market-to-book ratios, turnover, volatility, or analyst forecast dispersion. However,...
Persistent link: https://www.econbiz.de/10012733163
We examine whether investor reactions are sensitive to the recent direction or volatility of underlying market movements. We find that dividend-change announcements elicit a greater change in stock price when the nature of the news (good or bad) goes against the grain of the recent market...
Persistent link: https://www.econbiz.de/10012785744
The purpose of this study is to investigate how Artificial Neural Network forecasts, specifically Adaptive Logic Network (ALN) forecasts, compare to those of linear regression (LR) and ARIMA models when analyzing international stock market movements during the crash of October 1987. The results...
Persistent link: https://www.econbiz.de/10012790073
When investors anticipate the Fed increasing margin requirements, they bid up the riskier stocks in the long legs of hedge portfolios associated with the market, HML, and SMB factors relative to the less risky stocks in the short legs. Following such a policy change, the returns on these hedge...
Persistent link: https://www.econbiz.de/10012897377
This study shows that the recent trajectory of a firm's profits predicts future profitability and stock returns. The predictive information contained in the trend of profitability is not subsumed by the level of profitability, earnings momentum, or other well-known determinants of stock returns....
Persistent link: https://www.econbiz.de/10012937596