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Mean reversions in major developed stock markets : recent evidence from unit root, spectral and abnormal return studies
Nguyen, James; Li, Wei-Xuan; Chen, Clara Chia Sheng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-20
We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...
Persistent link: https://www.econbiz.de/10013272993
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Country factors in earnings management of ADR firms
Chen, Clara Chia Sheng; Chou, Yan-Yu; Wei, Peihwang - In: Finance research letters 32 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012430773
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Mean reversions in major developed stock markets: Recent evidence from unit root, spectral and abnormal return studies
Nguyen, James; Li, Wei-Xuan; Chen, Clara Chia Sheng - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-20
We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...
Persistent link: https://www.econbiz.de/10014332363
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The effects of corporate governance on credit ratings : the role of corporate social responsibility
Lin, Cho-Min; Chen, Clara Chia Sheng; Yang, Sheng-Yung; … - In: Emerging markets, finance & trade : a journal of the … 56 (2020) 5, pp. 1093-1112
Persistent link: https://www.econbiz.de/10012211523
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The efficient market hypothesis : is it applicable to the foreign exchange market?
Nguyen, James (contributor) - 2004
Persistent link: https://www.econbiz.de/10002564934
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The relationship between net interest margin and noninterest income using a system estimation approach
Nguyen, James - In: Journal of banking & finance 36 (2012) 9, pp. 2429-2437
Persistent link: https://www.econbiz.de/10009656189
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The limitations of the Arrovian consistency of domains with a fixed preference
Nguyen, James - In: Theory and decision : an international journal for … 87 (2019) 2, pp. 183-199
Persistent link: https://www.econbiz.de/10012133701
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transact...
Li, Wei-Xuan - 2008
In the first essay, I examine the impact of the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P...
Persistent link: https://www.econbiz.de/10009468618
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Two Essays on Liquidity Essay I: Information Related Trading on Two Nearly Identical Options Essay II: The Importance of the Liquidity Premium in the Presence of Declining Transact...
Li, Wei-Xuan - 2008
In the first essay, I examine the impact of the introduction of exchange traded funds (ETFs) options on the information related trading of index options. Two option pairs, NASDAQ 100 index (NDX) and ETF (QQQ, currently QQQQ ) options, and Standard and Poor's 500 index (SPX) options and S & P...
Persistent link: https://www.econbiz.de/10009451105
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Toward an early warning system of financial crises : what can index futures and options tell us?
Li, Wei-Xuan; Chen, Clara Chia-Sheng; French, Joseph J. - In: The quarterly review of economics and finance : journal … 55 (2015), pp. 87-99
Persistent link: https://www.econbiz.de/10011334020