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Big players and the Russian rouble: explaining volatility dynamics

Paul Broussard, John; Koppl, Roger - In: Managerial Finance 25 (1999) 1, pp. 49-63

Outlines previous research attempts to explain the behaviour of second moments of price and return distributions and theories of how Big Players (i.e. those with enough discretionary power to influence the market but little sensitivity to profit/loss consequences) affect the volatility and...

Persistent link: https://www.econbiz.de/10014940365

The euro impact on European financial markets

Holder, Mark - In: Managerial Finance 25 (1999) 11, pp. 27-34

Considers the implications of EMU and the introduction of the euro for European financial institutions and markets. Discusses the likely effects on interest rates, banks, stock/futures exchanges, asset allocation and the markets for bonds, equities and derivatives. Warns that financial markets...

Persistent link: https://www.econbiz.de/10014940408

Determinants of tracking error in German ETFs – the role of market liquidity

Osterhoff, Friedrich; Kaserer, Christoph - In: Managerial Finance 42 (2016) 5, pp. 417-437

Purpose – The purpose of this paper is to contribute to a better understanding of the impact of market liquidity on the daily tracking error of exchange-traded funds (ETFs). It puts a special focus on the liquidity cost of individual underlying stocks as well as the process of...

Persistent link: https://www.econbiz.de/10014941344

IPO valuation and insider manipulation of R&D

Hull, Robert; Walker, Rosemary; Kwak, Sungkyu - In: Managerial Finance 39 (2013) 10, pp. 888-914

reversed when the paper looks at short‐term valuation based on market prices. Only for bubble period IPOs do the paper finds … should note that managers are able to set higher offer prices when they inflate earnings by underinvesting in R&D. Buying at … who buy shares at inflated prices. This raises ethical questions about the behavior of those involved in the issuance …

Persistent link: https://www.econbiz.de/10014941405

Exploring a market curiosity: an examination of the Super Bowl Indicator

Thompson, Thomas H.; Sen, Kabir C. - In: Managerial Finance 43 (2017) 2, pp. 167-177

Purpose The purpose of this paper is to provide a comprehensive initial evaluation of the Super Bowl Indicator (SBI) from 1966 to 2015. Design/methodology/approach The authors evaluate the predictive ability of the SBI over two different time periods on four stock market indexes. Also, the...

Persistent link: https://www.econbiz.de/10014941422

Underlying asset liquidity, heterogeneously informed investors, and REITs excess returns

Lu, Chia-Wu; Chen, Tsung-Kang; Liao, Hsien-Hsing - In: Managerial Finance 40 (2014) 1, pp. 72-96

Purpose – Real estate investment trust (REIT) stocks are well known for limited management discretion in investment, financing, and payout policies, implying little information asymmetry between informed and uninformed investors. Besides, due to the renowned illiquidity and complexity of...

Persistent link: https://www.econbiz.de/10014941485

What drives the premium labour model, beta instability risk or human capital?

Soufian, Mona; McMillan, David; Horsburgh, Stuart - In: Managerial Finance 39 (2013) 12, pp. 1188-1200

Purpose – The paper examines the conditional capital asset pricing model (CCAPM) of Jagannathan and Wang using the UK data and develops a data-driven measure of beta instability risk that is pertinent to the UK stock market. In contrast to the view that the main part of the Jagannathan and...

Persistent link: https://www.econbiz.de/10014941487

Index correlation: implications for asset allocation

Michel, Allen; Oded, Jacob; Shaked, Israel - In: Managerial Finance 41 (2015) 11, pp. 1236-1256

Purpose – The cornerstone of Modern Portfolio Theory with implications for many aspects of corporate finance is that reduced correlation among assets and reduced standard deviation are key elements in portfolio risk reduction. The purpose of this paper is to analyze the conditional correlation...

Persistent link: https://www.econbiz.de/10014941577

Accounting irregularities and failure to deliver

E. Boyd, Naomi; Marie Hibbert, Ann; Pavlova, Ivelina - In: Managerial Finance 40 (2014) 8, pp. 770-786

Purpose – The purpose of this paper is to examine the relationship between naked short selling and accounting irregularities that cause a firm to issue a restatement. Design/methodology/approach – Using the level of abnormal fails-to-deliver as a proxy for naked short selling, the paper...

Persistent link: https://www.econbiz.de/10014941662

Bad news bears

Matthew Holzhauer, Hunter; Lu, Xing; W. McLeod, Robert; … - In: Managerial Finance 39 (2013) 12, pp. 1169-1187

Purpose – This study aims to look into how volatility significantly impacts the tracking error for daily-rebalanced leveraged bull and bear ETFs. Design/methodology/approach – Using Morningstar return data and Chicago Board Options Exchange (CBOE) volatility index (VIX) data, the paper...

Persistent link: https://www.econbiz.de/10014941728