This study examines the short and long-run price relationship between mutual funds (Jordinvest First Trust Fund, Growth Fund, Horizon Fund, and Jordan Securities Fund) and Amman Stock Exchange Index over the time period from March, 2005 till the end of November, 2009. The study findings are...

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns e.g. calendar effect, behavioural effect, and Religious festival effect....

This article aimed to analyse the factors that influence the level of underpricing of an initial public offering (IPO) on the Warsaw Stock Exchange (WSE), based on the example of 101 companies debuting on the main market between 2010 and 2019. We discuss the theories that explain IPO...

A predictable pattern of stock market return is the violation of the efficient market hypothesis (EMH). It is well studied and evident in financial literature that stock markets around the world have predictable patterns, e.g. calendar effect, behavioural effect, and Religious festival effect....

This paper investigates the existence of stock returns seasonality on the Nigerian Stock Exchange (NSE). Regression-based approach was used to analyse the monthly stock return data for seasonal pattern from January 1985 to March 2011. The full sample was divided into three sub-sample periods...

Investors in stock markets are concerned about the inflation effect on their returns. However, the impact varies based on investment horizons. Since investors have different attitudes and diverse investment horizons, studying the relationship between inflation and stock returns in different time...

Abstract: The amount of literature on factors that explain the cross-sectional variation in average returns is vast, however, the majority of these papers attempt to explain the variation of returns in developed and emerging markets. In that sense, the literature lacks sufficient evidence...

In this paper we compare the explanatory power of a single index model with the multifactor asset-pricing model of Fama and French (1996) for Dhaka stock exchange for the period of January 1, 2010 to December 31, 2012. We find that all the three factors have significant determining impact on...

Prior return effect – momentum and contrarian, is a well documented phenomenon in developed stock markets. This paper examines if there is any prior return effect in Indian stock market, an advanced emerging market in the world. We use daily price data available for stocks forming part of S&P...

In this paper we propose a new cross-sectional asset pricing model employing a Young-minus-Old (OMY) factor, which accounts for long-run post-IPO underperformance. The OMY factor might be also seen as a measure of market sentiment. We test the model using stock returns from the Warsaw Stock...