There is existing evidence of equity returns having a mixture distribution with multiple component structures. Following the increasing interest in intraday trading, this article examines determinants of intraday equity return distributions and finds that greater information flow and stock...

The first purpose of this paper is to assess the short-run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM-ACD) model is better than the Asymmetric...

Signaling theories of the pricing of initial public offerings are based on an equilibrium which separates high from low quality companies. In empirically testing these theories one issue which needs addressing is how to identify high and low quality companies. This paper develops a new test of...

"Experts Versus the Evidence: A Practical Guide to Stock Investing brings together the ideas and successes of experts and the potential of data to give readers the opportunity to learn from the best and to put their insights into practice. Readers will learn two important aspects of financial...

Previous literature finds that anomalies are at least as prevalent in developed markets as in emerging markets; namely, the global anomaly puzzle. We show that while market development and information diffusion are linearly related, information diffusion has a nonlinear impact on anomalies. This...

We study the information content of the mutual-fund investor mix at the fund level. Building on the fund-flow determinant literature, we develop a method to attribute the proportion of fund net-in-flow explained by a fund's fundamental characteristics and past performance as smart and dumb money...