We introduce the notion of a patience premium, which is based on the concept of ambiguity aversion and is an ambiguity premium. We identify three reasons for the existence of the patience premium: Certainty preferences: perceived confidence in the expected performance; Comparison with peers:...

Using the introduction of Arrowhead low latency trading platform by Tokyo Stock Exchange as a natural experiment, I analyze the impact of high frequency trading on market quality of J-REITs, in terms of liquidity, volatility, and systemic risks. I also analyze the impact of the 2008 financial...

The purpose of this study is to examine patterns of price limit hits for stocks listed on the Tokyo Stock Exchange. Explanations are provided for the empirical findings and the extent to which the price limit hit patterns are related to existing stock returns patterns. We argue that if patterns...

We exploit detailed transaction and position data for a sample of long-short equity hedge funds to document new facts about the trading activity of sophisticated investors. We find that the initiation of both long and short positions is associated with significant abnormal returns, suggesting...

This paper aims to examine the industry effect of limit hits of Tokyo Stock Exchange. The results show evidence of industry effect where information technology companies have the highest limit hits per company and utility companies have the lowest limit hits per company. High limit hit...

The term "carry" has been primarily studied and explored within currency markets where, contrary to the uncovered interest rate parity, borrowing from a low interest rate country and investing in a high interest rate country has historically delivered positive and statistically significant...

Recent studies suggest that momentum returns are conditioned by market states, but we find that China is different. First, we find that momentum returns in China exclusively follow DOWN markets contrary to the U.S. evidence. Second, the absence of momentum returns following UP markets in China...

Among diverse social media uses covered by researchers one has thus far captured surprisingly scant attention: social media as an investment class per se. Despite the fluctuating fortunes of numerous social media initial public offerings (IPOs) and their aftermarket trading, social media stocks...

The momentum effect is a systematic inefficiency in the market that can be exploited by a trading strategy. This conclusion is supported by theoretical and empirical evidence. But the academic research that tries to quantify the performance of this kind of strategy often relies on a methodology...

The study has investigated the impact of trading costs and short sale constraints on the performance of 70 stock market anomalies in Emerging Europe. While over 30 of the replicated strategies – mostly related to value, momentum, technical analysis, profitability, and issuance effects –...