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....

Purpose – The purpose of this paper is to examine the stock return impact of “lucky” numbered days in markets dominated by Chinese participants. The existence of such patterns might present arbitrage opportunities for investors who do not share a belief in the Chinese system of “lucky”...

Purpose The purpose of this paper is to examine the dividend initiation announcements made by firms in the information technology sector as defined in a modern system of industrial classification. Design/methodology/approach On the basis of a modern classification of the information technology...

Purpose – The purpose of this paper is to present an alternative approach to equity trading that is based on cointegration. If there are long-run equilibria among financial assets, a cointegration-based trading strategy can exploit profitable opportunities by capturing mean-reverting short-run...

Purpose This paper tests the information efficiency of the Chinese stock market to judge if it contravenes the efficient market hypothesis. Following China’s stock market reforms the market has grown in international importance, however many find information difficult to obtain and interpret....