We analyse stock price behaviour around the disclosure of corporate insider transactions after the introduction of the Market Abuse Directive (MAD). Ranking according to our Insider Trading Enforcement (ITE) index highlights significant differences in the MAD enforcement between French and...

This paper examines whether textual management forecast commonalities that arise in a global crisis setting relate to ex post forecast accuracy, and whether subsequent analyst revisions confirm the credibility relevance of these commonalities. This approach is motivated by two conclusions....

This paper investigates the effect of economic policy uncertainty in the United States on stock market performance in the European Union, Croatia, Norway, Russia, Switzerland, Turkey and Ukraine. The analyses of monthly returns on the major stock market indices in these countries from 1985:2 to...

We have found that for net income and earnings before interest and tax the average expected rate of profitability mean reversion (exactly rate of abnormal profitability deterioration) differs significantly from approx. 10 % to 80 % (depending on the estimation method used). Overally results can...

This paper analyzes momentum patterns in the European corporate bond market. We study a broad sample of Euro-denominated investment grade and noninvestment grade bonds covering the period January 2004 to October 2016. Our empirical findings reveal that momentum is mainly concentrated among...

Pairs trading strategy's return depends on the divergence/convergence movements of a selected pair of stocks' prices. However, if the stable long term relationship of the stocks changes, price will not converge and the trade opened after divergence will close with losses. We propose a new model...