Stock market anomalies are mispricings based on irrational investor behaviors. Investors can obtain abnormal return based on certain investment strategies in anomaly observed markets. The purpose of this study is to investigate the existence of momentum anomaly in BIST 100 index during the...

A wide range of research has suggested that informed trading in options markets may effectively signal subsequent changes in equity prices. In this paper, we analyze the performance of long/short strategies based on a number of signals from options markets.In addition, we create an easily...

Identifying a suitable benchmark is essential when testing asset pricing models, measuring the performance of active investors, or providing market proxy portfolios for passive investors. Concern that increased domination of capitalization weighted stock indices by a few large firms will lead to...

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI) explains the variation in the weekly excess return of stocks. The study finds that the estimated abnormal return of a portfolio based on search intensity is significantly high...

We show that the performance of a fundamental index with annual rebalancing, as proposed by Arnott, Hsu and Moore (2005), can be highly sensitive to the subjective choice of when to rebalance. For the year 2009, for example, we find that a fundamental index rebalanced every March outperformed...

The adequate evaluation of mutual fund performance and of the fund managers’ ability to add value is an issue to which it has been given special attention in the recent financial literature. One of the traditional evaluation measures most commonly used is Carhart's alpha. However, one of the...

This paper employs Hasbrouck's (2003) information share method to analyze the flow of information in equity markets. In particular we compare trading in Index ETFs with that of their underlying securities. Surprisingly, ETFs seem to play a significant role in the price discovery process, rather...