This paper examines the relative performance of small-caps vs. large caps surrounding periods of peaks and troughs of economic activity, and reexamines the relationship between the small firm anomaly and the business cycle. Small-cap firms outperform large caps over the year subsequent to an...

Morck et al. (2000) argue that lack of private property protection discourages informed traders from capitalizing on firm private information which incorporates more market risk in stock returns. This paper extends Morck et al. (2000) investigations and suggests alternatively that firm corporate...

In 1994, Josef Lakonishok, Andrei Shleifer, and Robert Vishny published a landmark study investigating the performance of value stocks relative to glamour securities in the United States over a 26-year period. Their research concluded that value stocks tended to outperform glamour stocks by wide...

We estimate tracking errors from 26 exchange-traded funds (ETFs) utilizing three different methods and test their relative performance using Jensen's model. We find that tracking errors are significantly different from zero and display persistence. Based on Jensen's alpha, risk adjusted returns...

Using well known US stock portfolios that are formed on B/M, long term reversals, momentum, and size, a long sample period (1965-2007), and the comprehensive sentiment index of Baker and Wurgler (2006), which captures the common variation of six commonly used proxies for sentiment, this paper...

Call markets are claimed to aggregate information and facilitate price discovery where continuous markets may fail. Its advantage, however, comes at the cost of immediacy. The impact of the introduction of call auction has not been found uniformly beneficial, possibly due to poor design or due...

Using high-frequency stock price data, we investigate the effect of various stock-specific and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the effect of – cross-listing, weekends and holidays,...

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

In this article the relationship between market return and volatility is examined by applying out-of-sample methodology and ARCH (M) class models in the Tehran Stock Exchange (TSE) and international stock exchanges. The results are inconsistent with portfolio theory implications in NASDAQ, ISE...

In our model, cross-currency basis, which captures the deviations from covered interest rate parity (CIP), reflects the relative value of the scarcer currency (US dollar) as collateral in funding constraints. Our empirical evidence shows that measures of dollar shortage derived from ECB tenders,...