Purpose–The purpose of this paper is to examine the market reactions and its determinants of the releasing of restricted non-tradable shares and to provide some useful information for the coming releasing peak of IPO-restricted shares in China. Design/methodology/approach–The paper employs...

Purpose–The purpose of this paper is to theoretically and empirically explore the effects of attention levels on individual investors' investment return. Design/methodology/approach–By introducing the heterogeneous attention, the authors first expand the theoretical model of Barber and...

Purpose–The purpose of this paper is to examine the implications of asymmetric information for price evolution and investor behavior under a rational expectations framework. Design/methodology/approach–The author presents a simple asymmetric information-based asset-pricing model to show that...

This study is a theoretical overview on the origin and formation mechanisms of the financial crisis. We first presented a typology of these crises on the basis of specific symptoms and we proposed statistical indicators of instabilities correspondent to each type of crisis. We also evaluated the...

Acest studiu investigheaza rolul capitalului strain, al creditarii bancare si al îndatorarii sectorului privat în formarea dezechilibrelor premergatoare crizei financiare din tarile europene. Mai întâi, am aratat ca atât stocul de credit total, cât si cel privat sunt puternic corelate cu...

Prezentul studiu reprezinta o sinteza teoretica privind originea si mecanismele de formare a crizelor financiare. Am realizat mai întâi o tipologie a acestor crize în functie de simptomele specifice si am propus indicatori statistici ai vulnerabilitatilor reprezentative pentru fiecare tip de...

The research paper studied the evolution of shares market price during the company’s financial result announcement. The research is based on event study methodology. The author paid careful attention to data selection, correct methodology approach and results’ interpretation. 18 listed...

Purpose–The purpose of this study is to discover and model the asymmetry in the price volatility of financial markets, in particular the foreign exchange markets as the first underlying applications. Design/methodology/approach–The volatility of the financial market price is usually defined...

This paper evaluates the time-varying degrees of weak-form efficiency of the crude oil markets using the Modified Shannon Entropy (MSE) and the Symbolic Time Series Analysis (STSA) approach. Using daily data from May 20, 1987 to March 6, 2012 for two worldwide crude oil benchmarks (West Texas...

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...