The ongoing hype of China Pakistan Economic Corridor (CPEC) as a game-changer for the economy of Pakistan has induced a lot of expectations among all the countrymen. In this paper, we have tried to investigate whether the CPEC driven economic expectations reflect in stock market returns. We, use...

Romanian Abstract: Această lucrare abordează câteva metode simple de identificare a anomaliilor calendaristice. Luând ca exemplu Efectul TOY, vom arăta cum pot fi aplicate testele t sau regresiile OLS pentru a detecta o componentă sezonieră a evoluţiei randamentelor activelor financiare

The present study explains both capital-structure and debt-maturity choices for small and medium-size Italian firms in terms of institutional differences at the local level, taking into consideration local financial development, the effectiveness of the local enforcement system, and other...

Stochastic models play an important role in the analysis of data in many different fields, including finance and insurance. Many models are estimated by procedures that lose their good statistical properties when the underlying model slightly deviates from the assumed one. Robust statistical...

This paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed...

Using daily advertising data, we analyze the short-term effects of advertising on investor attention and on financial market outcomes. Based on various investor attention proxies, we show that advertising positively affects attention. However, it has only little impact on turnover and liquidity....

The formation period return difference between past winners and losers, which I call the momentum gap, negatively predicts momentum profits. I document this for the U.S. stock market and find consistent results across 21 major international markets. A one standard deviation increase in the...

The passing from quiet to turbulent periods could generate significant changes on some calendar anomalies of the capital markets. This paper approaches the persistence in time on Bucharest Stock Exchange of a seasonality associated to winter days. We investigate this calendar effect for three...

Very often, the holiday effects are studied only for the first day before and for the first day after any public holiday. Beside these traditional forms of the holiday effects it was revealed an extended one, which refers to the abnormal stocks returns occurring in intervals, containing some...

Romanian Abstract: Această lucrare abordează unele dintre principalele caracteristici ale anomaliilor calendaristice precum cauzele acestora, persistenţa lor în timp sau posibilităţile de a le utiliza in elaborarea strategiilor de investiţii. Sunt prezentate, totodată, câteva dintre...