En este artículo investigamos empíricamente el desempeño de los mercados accionarios desarrollados (de acuerdo a la clasificación de MSCI) durante la reciente crisis griega, cuyo inicio data desde comienzos de Octubre de 2009. El desempeño se mide a través del alfa de Jensen. Como modelo...

In this paper we examine the price movements of contracts that represent bets on NBA games and find that the disposition effect causes significant deviations between contract prices and values. The contracts under examination are listed on Tradesports, a prediction market which provides an ideal...

This paper explores the characteristics associated with the formation of bubbles that occurred in the Hong Kong stock market in 1997 and 2007, as well as the 2000 dot-com bubble of Nasdaq. It examines the profitability of Technical Analysis (TA) strategies generating buy and sell signals with...

We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and significant predictive power for the appreciation rates of twenty-two currencies with respect to the U.S. dollar, especially at the four-month and one-month horizons, respectively....

This paper examines anonymity effects on liquidity migration of cross-listed stocks using a natural experiment created by the staggered move to anonymity regime undertaken by ASX and NZX. The 2SLS instrumental variable estimation shows two interesting trends. When considering liquidity impact on...

This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...

Using unique data about capital flows to private pension funds in Poland, we find that their impact, as a group of large institutional investors, on stock returns is statistically significant in short-term but no such effect exists in the long-run. We analyze the capital transfers, in form of...

This paper presents evidence for a significantly positive link between the dynamic conditional beta and the cross-section of daily stock returns. An investment strategy that takes a long position in stocks in the highest conditional beta decile and a short position in stocks in the lowest...