The previous literature on momentum investments has only considered the so called unconstrained momentum return. This paper will investigate budget constrained momentum returns by using two different datasets. The conclusion is that unconstrained momentum returns systematically overestimate the...

The purpose of this study is to discuss portfolio theory. More specifically how an investor can maximize a portfolio's expected return while at the same time trying to minimize portfolio risk. This will be done by looking at both international and Kuwaiti stock market data. One important...

This study empirically examined the relationship between stock market performance and taxation in Malaysia over the period 1980 to 2008. The Gregory Hansen methodology was utilized to examine which tax collected by Malaysia's Government most impacted stock market performance in Malaysia. The...

This paper studies Chinese warrant price deviation. By observing “asymmetric price error” phenomena, we propose that the rational hedging and speculation motivation is one important cause for warrant price deviations. Investors do not speculate irrationally under the resale motivation all...

We can only estimate the distribution of stock returns but from option prices we observe the distribution of state prices. State prices are the product of risk aversion – the pricing kernel – and the natural probability distribution. The Recovery Theorem enables us to separate these so as to...

This study examines whether stock market illiquidity forecasts real UK GDP growth using data over the period 1989q1-2012q2. Apart from standard linear model specifications, we also utilize non-linear models, which allow for regime switching behavior in terms of a liquid versus an illiquid market...

Stock market volatility has been omnipresent in the information technology sector. This manuscript compares the stock performance of computer and cellular hardware companies across six different twenty-month periods between the years 1996-2006. The focus periods include the browser era, the Y2K...

We evaluate the importance of “Limits to Arbitrage” to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our...

The most fascinating and exciting place to be in is the stock market. And to understand the movements of the market is even more thrilling. The mystery shrouds the stock market and the euphoria related to it makes it even more enigmatic. The questions that always haunts the policy makers,...

This paper takes a perspective from foreign exchange (FX) to investigate the daily trading behavior and price impact of foreign investors in six Asian emerging equity markets over the past two decades. It exploits the unsolved interrelationship between capital flows and equity returns, and it...