Individual investors’ overall return in stock markets decreases with the increase in trading frequency due to factors such as commission expenses, insider trading, spreads, and institutional investors’ high-frequency algorithms. In this study, the relationship between believing the technical...

News on the stock market contains positive or negative sentiments depending on whether the information provided is favorable or unfavorable to the stock market. This study aims to discover news sentiments and classify news according to its sentiments with the application of PhoBERT, a Natural...

Using a very large data set with more than 9,700 stocks listed on NYSE, AMEX and NASDAQ, we analyze overnight price jumps and report short-term investor overreaction to information shocks and document return reversal and predictability up to five days. For negative and positive overnight jumps,...

The Indian Stock market has witnessed a major transformation and structural change from the 10 to 15 years as a result of the ongoing economic and financial sector reforms initiated by the government of India since 1991.Among these measures, lifting of barriers and opening up the doors for...

Purpose This study delves into the nuanced implications of short-sale constraints on stock prices within the context of stock market efficiency. While existing research has explored this relationship, inconsistencies persist in their findings. The purpose of this study is to conduct a...

The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...

This study presents the results from a comprehensive out-of-sample test of long-run returns following mergers and acquisitions (M&As). Using a unique sample from 23 frontier markets of almost 800 transactions conducted during the years 1992 to 2016, we implement both cross-sectional tests and...

We estimate the relative signal jump variance (RSJV) as the difference between the realized positive half-variance and negative half-variance divided by the realized variance using high-frequency intraday data and investigate its role in the cross-sectional pricing in the Chinese stock market....