This paper studies how the influence of the fundamental factors on the Russian stock market changes retrospectively. We empirically test the impact of daily values of fundamental factors (indexes of foreign stock markets, oil price, exchange rate and interest rates in Russia and the USA) on the...

This study revisits the issue of REITs market efficiency for the US having discovered two notable gaps. Noting the complexities, structural changes and nonlinearities in modern financial markets, we employ the fractional integration technique which performs better than other commonly used...

We examine the price behavior of 56 major markets over the last 16 years applying a set of univariate and multivariate robust statistical tests across different time frequencies. Our results can be considered as an augmented true out-of-sample test of all previous research testing for...

We use the framework developed in Richardson et al. (2004) to identify country, firm and analyst characteristics that we expect to be associated with the prevalence of the analyst walk-down forecast pattern. Based on a large sample of 50,649 analysts covering 33,645 firms from 46 countries...

This paper studies intraday time-series momentum (ITSM) in an international setting by employing high-frequency data of 16 developed markets. We show that ITSM is economically sizable and statistically significant both in- and out-of-sample in most countries. Based on existing theories of...

Time series momentum (TSM) refers to the predictability of the past 12-month return on the next one-month return and is the focus of several recent influential studies. This paper shows that asset-by-asset time series regressions reveal little evidence of TSM, both in- and out-of-sample. While...

This study assess the nonlinear behavior of U.K. construction and real estate indices. Standard unit root tests show that both time series are I(1) processes. However, the empirical results show that the returns series for both indices deviate from the null hypothesis of white noise. Moreover,...

This paper investigates how media coverage in°uences macroeconomic informationprocessing at the bond market. I provide evidence that a high media coverage of aneconomic topic increases investor attention prior to the release of the corresponding economic indicator: High media coverage of the...

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...

It is well known that information arrival has an impact on prices volatility, and trading volume in financial markets (see e.g., Goodhart and O'Hara 1997). Scheduled macroeconomic announcements, such as monthly employment figures, consumer prices, or building permits, stand out from the steady...