High-frequency trading has become a dominant force in the U.S. capital market, accounting for over 70% of dollar trading volume. This study examines the implication of high-frequency trading for stock price volatility and price discovery. I find that high-frequency trading is positively...

This paper studies the well known day of the week effect in stock returns. Specifically, fifty five stock market indices from fifty one countries are examined with asymmetric GARCH models. The results are mixed, as the Monday effect is reported in nine indices, while in other ten indices Friday...

The main objective of this paper is to quantify the effect of expectation changes about discount rate and dividend growth rate over the Chilean market portfolio returns. The model applied was taken from the works of Campbell and Shiller (1988, 1988a), Campbell (1991) and Campbell and Vuolteenaho...

This paper examines whether illiquidity is a determinant of monthly stock returns in the German market. Estimating time-series and cross-sectional models, we investigate the impact of illiquidity both on market returns and on individual stock returns. Illiquidity is approximated by five measures...

By means of Event Study, Panel Data Regression and Feasible Generalized Least Squares, we discuss the influence of uncertainty of information on the Post-Earnings Announcement Drift. We find that there are not significant differences between the H-share financial statements and the A-share...

This paper investigates whether investor sentiment can explain stock returns on the German stock market. Based on a principal component analysis, we construct a sentiment indicator that condenses information of several well-known sentiment proxies. We show that this indicator explains the return...

This paper examines the impact of illiquidity on equity returns on the German stock market. Since illiquidity has many facets, we cover the whole spectrum of illiquidity measures: trading speed, trading costs, trading quantity, and price impact. Based on these illiquidity measures we construct...

The objective of this study is to analyze return differences between family and non-family firms quoted on the Spanish stock market over the 1999-2008 period. Furthermore, we compare risk exposure for these kinds of firms; the abnormal profits that may be obtained with a zero cost trading...

This paper proposes a novel approach to extracting option-implied equity premia, and empirically examines the information content of these risk premia for forecasting the stock market return. Our approach does not require specifying the functional form of the pricing kernel, and does not impose...

The sensitivity of stock valuations to expected earnings growth, termed as the growth premium, fluctuates substantially over time. This study empirically investigates whether these fluctuations can be explained by investor sentiment. The testable prediction is that investor sentiment affects the...