For almost a century, we document a significant January effect on the French equity market. We find strong evidences in favor of the tax-loss selling explanation for this phenomenon. Indeed, the January effect was insignificant before the introduction of a “confiscatory tax” on capital gains...

In investment, particularly in the portfolio management, the risk and returns are two crucial measures in making investment decisions. This paper attempts to provide a brief theoretical explanation with examples on determining the returns and associated risk of shares, and of the portfolio of...

Due to the overwhelming international evidence that stock prices drop by less than the dividend paid on ex-dividend days, the ex-dividend day anomaly is considered a stylized fact. Two main approaches have emerged to explain this empirical regularity: the tax-clientele hypothesis and the...

This article investigates the effects of governmental activity (turnover and color) on stock returns in France which suffered 150 different governments between 1871 and 2008. An appointment ends an uncertainty: when a government is appointed the average monthly stock price return is three times...

We establish a robust link between momentum and accruals. Momentum profitability is mostly concentrated in firms with high accruals. Cross-sectional characteristics of momentum previously documented do not subsume the effect of accruals on momentum. Loser stocks with high accruals experience...

Asymmetric volatility in equity markets has been widely documented in finance, where two competing explanations, as considered in Bekaert and Wu (2000), are the financial leverage and the volatility feedback hypothesis. We explicitly test for the role of both hypotheses in explaining extreme...

This study aimed to assess the relationship between market anomalies and investors' decisions. To this end, using correlation and regression analyses, the impact of market anomalies indices in a prevailing approach, the stock price to earnings (P/E) ratio, operating cash flow to price ratio and...

This study examines the performance and determining variables of IPOs of Nepalese stock market. Subscription rate, issue size, firm size, reputation of issue manager and market condition are selected as IPO factors and these are the independent variables. Initial return is dependent variable....

A conjecture in the literature holds that a large and diversified investor base leads to lower volatility by improving the quality of the price signal. In this paper this hypothesis is examined using unique Swedish ownership data. The data does not support the conjecture. Instead, volatility...

We consider an extension of the Roll model where the trade direction, i.e. whether the trade is buyer or seller initiated, is multiplied by the dynamic quoted half-spread. Employing tick-by-tick maximum likelihood estimation on S&P 500 constituents, we find that the efficient price is quite...