This paper examines stock market reaction to the earnings announcements by taking December 2001 quarter earnings announcement as an event. The study is based on 152 companies having minimum 20 percent foreign holdings. The companies are divided into, good news, bad news and overall portfolios....

In this study, we used event study methodology to examine stock price reactions to quarterly earnings announcement. The study is based on a sample of 146 companies listed on Bombay Stock Exchange and December 2000 quarterly earnings announcements are taken event. The abnormal performance is...

Speed of stock price response is important because if response is slow, the informed and alert investors would exploit it to earn abnormal returns by outperforming the market. This implies that market is inefficient in the semi-strong form. The study tests the reaction Indian stock market...

This paper examines semi-strong form of efficient market hypothesis by taking September 2001 quarter earnings announcement as an event. The study is based on 146 companies having minimum 20 percent foreign holdings. We have used event study methodology, t test, Runs test and sign test to test...

The study tests the reaction of Bahrain Bourse to 2014 annual financial results announcement. The study is based on 30 companies. The researcher used event study methodology. The behaviour of average abnormal returns (AARs) and cumulative average abnormal returns (CAARs) are examined for 30 days...

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...

In this paper we present an equilibrium model of commodity spot (St) and future (Ft) prices, with finite elasticity of arbitrage services and convenience yields. By explicitly incorporating and modeling endogenously the convenience yield, our theoretical model is able to capture the existence of...

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...

Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Treasury futures market to the periodically scheduled announcements of prominent U.S. macroeconomic data. Heterogeneous persistence from scheduled news vs. non-scheduled news is revealed. Strong...

We show that the conclusions to be drawn concerning the informational efficiency of illiquid options depend critically on whether one is careful to recognize and appropriately deal with the econometrics of the errors-in-variables problem. This paper examines the information content of options on...