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This study examines the momentum effect in the returns of factor premia representing a broad set of stock market strategies. Using cross-sectional and time-series tests, we investigate the performance persistence of market, value, size, momentum, low-risk, and quality premia within a sample of...
Persistent link: https://www.econbiz.de/10012893036
other stocks that remain in continuous trading. This ‘spillover' effect is estimated by calculating the effect of a trading … halt on the market quality of stocks that remain in continuous trading and comparing this with the effect of a stock whose … in the liquidity, and reduction in the volatility, of stocks that remain in continuous trading. This might suggest that …
Persistent link: https://www.econbiz.de/10012897004
This paper investigates the impact of Twitter attention, measured by abnormal number of tweets on stock trading activities. We find that Twitter attention has predictive power for future stock volatility and trading volume. A heightened number of tweets is followed by high volatility and trading...
Persistent link: https://www.econbiz.de/10012914135
after the recommendation. Second, the value of analyst recommendations is larger for smaller stocks and for the initial …
Persistent link: https://www.econbiz.de/10012914411
We show that Chinese actively managed stock mutual funds persistently exhibit a preference for growth stocks over value … stocks, despite the fact that value stocks outperform growth stocks on average. Moreover, funds with a growth tilt do not … growth stocks over value stocks. Specifically, mutual fund ownership of growth stocks positively forecast returns, especially …
Persistent link: https://www.econbiz.de/10012915752
Warren Buffett suggested that the ratio of the market value of all publicly traded stocks to the Gross National Product …
Persistent link: https://www.econbiz.de/10012971424
We investigate the daily short-selling by foreign investors and their impact on stock price, liquidity, and volatility in the Korean stock market. From January 1, 2006 to May 31, 2010, we find that the majority of short-selling is performed by foreign, rather than by domestic, investors and that...
Persistent link: https://www.econbiz.de/10012973322
This paper examines the price discovery processes before and during the 2007-09 subprime and financial crisis, as well as the subsequent European sovereign crisis, for the stock, bond, and U.S. dollar/euro FX markets in the U.S. and Germany in a high-frequency setting. Based on five-second...
Persistent link: https://www.econbiz.de/10012975585
We document the changes in dynamic stochastic structure of the various industrial sectors of the Chinese A, B share markets and the Hong Kong share markets. We utilize a robustly estimated VECM-MV-GARCH model to test for possible co-integrating vectors between the market segmentations pre and...
Persistent link: https://www.econbiz.de/10012976754
This study aims to examine regularities of price limit hits for stocks listed in the TSE. Regularities of limit hits …
Persistent link: https://www.econbiz.de/10012976789