Purpose – This paper aims to test the finite sample properties of the automatic variance ratio (AVR) test and suggest suitable measure to improve its small sample properties under conditional heteroskedasticity and apply it to test the martingale hypothesis in the stock prices of the Portugal,...

Purpose This paper aims to investigate the informational content of earnings surprises and accounting information in credit default swap (CDS) markets. Design/methodology/approach This paper analyzes a sample of 444 US firms and 6,907 earnings announcements. By means of parametric and...

Purpose – The purpose of this paper is to examine the order strategies of investors, in particular their use of intermarket sweep orders (ISOs), in response to a short‐lived information event. Design/methodology/approach – This paper uses a natural experiment on September 8, 2008, in which...

Purpose – The purpose of this paper is to compare recent performance of small firms with that of large firms in developed and emerging stock markets. Design/methodology/approach – T‐tests as well as Wilcoxon Signed Rank test statistics are utilized to test the differences in returns...

Purpose – The aim of this paper is to examine the informational efficiency of prices of all exchange traded funds (ETFs) that are actively traded on the NYSE Arca, based on methodology developed by Chordia et al. Design/methodology/approach – The authors estimate the speed of convergence to...

Purpose – In a setting with local bias in investors’ portfolios, the purpose of this paper is to study the stockholder wealth impact of negative earnings surprises for local firms as reported in a local newspaper. Design/methodology/approach – In the sample of earnings announcements, the...

Purpose – The purpose of this paper is to investigate the relationship between option’s implied volatility smirk (IVS) and excess returns in the Germany’s leading stock index Deutscher-Aktien Index (DAX) 30. Design/methodology/approach – The study defines the IVS as the difference in...

Purpose The purpose of this paper is to examine whether abnormal returns to a fundamental signal (FS) strategy disappear after the publication of Abarbanell and Bushee (1998). Design/methodology/approach Using data on NYSE/AMEX firms from 1974 to 2012, this research estimates annual Fama and...

Purpose Conventional wisdom says that the price reduction stocks experience at expiration of the initial public offering (IPO) lockup period is due to relaxation of selling constraints. Findings from more recent literature question this explanation. The purpose of this paper is to examine a...

Purpose – The purpose of this paper is to determine the extent to which outliers have persisted in augmenting the Halloween effect over time and to offer an econometric test of seasonality in return skewness that might provide a partial explanation for the Halloween effect....