This study examines the January anomaly at the industry level in the emerging Istanbul Stock Exchange (ISE). Analyses of the data from 1986 through 2007 provide evidence for the anomaly. There is also strong evidence that the anomaly has partially shifted to December of the previous year....

This article investigates the order imbalance and price behavior of trades and quotes around isolated informed trades intraday. Different patterns of order flows around informed trades are documented because of the originating stock exchange, the type of informed trader, the size of the order,...

The Granger-causality effects between earnings, cash flow, and capital investment as well as on subsequent annual stock returns are examined for China in an international framework. Overall, there is a Granger causality relationship from earnings to capital investment. Furthermore, there is...

We examine Turkish fund portfolios and identify the role of international investments in their formation. We find that (1) Turkish funds hold a very small fraction of international assets during 1987-2008, (2) the weight of international equity in the funds with an international mandate is...

In this study, insider trading activity is used as part of a managerial compensation structure. The wage structure changes with the tenure duration of the insider. Managers with shorter tenure rely more on insider profits as part of their compensation. On the other hand, managers with longer...

This paper uses the insider trading direction as a signal to design an optimal wage contract, where the principal-agent problem due to moral hazard is resolved. Insider trading provides the corporation important information about the action of the manager. It is a tough challenge for the owners...

Local correlation analysis is used to investigate flight to quality among large financial institutions before, during, and after the financial crisis of 2008-2009. While standard correlation captures general overall linear association, local correlation analysis more accurately captures changes...

The causality relationships and cumulative impacts of the lags of earnings and the lags of capital expenditure on subsequent annual stock returns is examined using 40 different countries. The results suggest that there is a granger causality relationship from earnings to returns. Furthermore,...

In this study business cycle effects are taken into consideration in investigating the relationship between stock returns, earnings and capital expense in different countries. In countries where corporate governance rules and mechanisms are well-established, managers are closely monitored....