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Halloween Effect in Developed Stock Markets : A US Perspective
Plastun, Oleksiy - 2019
its prevalence since that time, nowadays it is still present in the US stock market and provides opportunities to build a …
Persistent link: https://www.econbiz.de/10012889672
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First to "read" the news : news analytics and algorithmic trading
Von Beschwitz, Bastian; Keim, Donald B.; Massa, Massimo - 2018
Exploiting a unique identification strategy based on inaccurate news analytics, we document a causal effect of news analytics on the market irrespective of the informational content of the news. We show that news analytics speed up the stock price and trading volume response to articles, but...
Persistent link: https://www.econbiz.de/10011917282
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New Avenues in Expected Returns : Investor Overreaction and Overnight Price Jumps in US Stock Markets
Bahcivan, Hulusi; Dam, Lammertjan; Gonenc, Halit - 2023
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,...
Persistent link: https://www.econbiz.de/10014254878
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The Halloween effect in US sectors
Jacobsen, Ben; Visaltanachoti, Nuttawat - In: The financial review : the official publication of the … 44 (2009) 3, pp. 437-459
Persistent link: https://www.econbiz.de/10003879761
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Non-Synchronous Trading and Testing for Market Integration in Central European Emerging Markets
Zalewska, Anna (Ania) - 2007
-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time … time-match problem but leads to significant loss of information. We show that the nature of integration of stock exchanges … markets have declined over time …
Persistent link: https://www.econbiz.de/10012732052
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Time Will Tell : Information in the Timing of Scheduled Earnings News
Johnson, Travis L. - 2017
Using novel earnings calendar data, we show that firms' advanced scheduling of earnings announcement dates foreshadows their earnings news. Firms that schedule later-than-expected announcement dates subsequently announce worse news than those scheduling earlier-than-expected announcement dates....
Persistent link: https://www.econbiz.de/10012972886
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Are Monthly Market Returns Predictable?
Keppo, Jussi - 2020
investors use to successfully time the market …
Persistent link: https://www.econbiz.de/10012856623
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Calendar Rotations : A New Approach for Studying the Impact of Timing using Earnings Announcements
Noh, Suzie - 2020
We develop a novel methodology for studying the causal impact of announcement timing. Our methodology uses firms' earnings announcements and leverages quasi-exogenous variation attributable to the specific day-of-week on which a calendar month begins. We refer to the resulting variation in...
Persistent link: https://www.econbiz.de/10012847141
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Evaluating the Efficiency of 'Smart Beta' Indexes
Hunstad, Michael - 2015
The past several years have witnessed the introduction of hundreds of so-called “smart beta” equity indices. These indices provide exposure to risk factors, such as value or low volatility, in order to seek excess return and/or risk reduction compared to cap-weighted indices. Although the...
Persistent link: https://www.econbiz.de/10013032165
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A Market Microstructure View of the Informational Efficiency of Security Prices
Schwartz, Robert - 2021
Do equity prices efficiently reflect fundamental information as the Efficient Markets Hypothesis suggests? The author challenges a widely held acceptance by financial academicians of the EMH. In a frictionless environment, information acquisition and trading would be costless, transaction prices...
Persistent link: https://www.econbiz.de/10013229395