This paper examines the profitability of a pairs trading strategy derived solely from historic price dynamics and contrarian principles. We find that the profitability of the self-financing strategy hinges on a cointegrated relationship, which Engle and Granger (1987) show also implies an...

We analyze return and volatility of Asian iShares traded in the U.S. The difference in trading schedules between the U.S. and Asia offers a unique market setting that allows us to distinguish various return and volatility sources. We find Asian ETFs have higher overnight volatility than daytime...

We analyze return and volatility of Asian iShares traded in the U.S. The difference in trading schedules between the U.S. and Asia offers a unique market setting that allows us to distinguish various return and volatility sources. We find Asian ETFs have higher overnight volatility than daytime...

We examine the impact of Ebola headline news days on media-highlighted stocks. An Ebola news day (negative or positive in nature) is associated with increased trading, higher share volume, higher dollar volume, and increased share turnover. OLS regressions on industry-specific portfolios reveal...

Using only the 200 large-cap securities that make up the NYSE 100 and NASDAQ 100, this study investigates 130 randomly selected, 3-day formation periods from January 2000 through December 2012 (3,269 trading days). During these formation periods, the three worst and three best performing stocks...