This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– and post– corporate earnings announcements. We confirm that algorithms react faster and...

We document economically large momentum profits when sorting ETFs on returns over the past two to four years. A value-weighted, long-short strategy based on ETF momentum delivers Carhart (1997) four-factor alphas of up to 1.20% per month. Neither cross-sectional stock momentum nor co-variation...

Motivated by standard portfolio theory, this paper incorporates ex-ante volatility estimates in the construction of winner-minus-loser stock momentum portfolio. I find that over the 1927-2015 period this leads to an increase in the Sharpe ratio from 0.34 to 1.14 and strongly reduced crash risk....

While investors in the west are generally skeptical about the reliability of the candlestick technical analysis, this technique is commonly used in some Asian equity markets in short-term speculative investments. This paper examines the effectiveness of five different candlestick reversal...

Using 2010-2019 stock-level data in US, we examine whether and how retail investors trade on environmental, social, and government (ESG) information. Although retail investors trade more on ESG disclosed stocks than no-disclosed stocks, ESG disclosure information does not help retail investors...

This paper examines the potential profit of bull flag trading rules in the Shanghai Stock Exchange Composite Index (SSE) using a template matching technique based on price pattern recognition. This paper fills a gap in the literature by applying a template matching technique for the recognition...

Regulatory and media concern has focused heavily on the potentially manipulative distortion of market prices associated with naked short selling. However, naked shorting can also have beneficial effects for liquidity and pricing efficiency. We empirically investigate the impact of naked...

Diether, Lee, and Werner (2009) show that, in general, short sellers are contrarian in both contemporaneous and past returns and able to impressively predict future returns, this study examines these trading characteristics during both the trading day and the after-hours period. Interestingly,...

We investigate the aggregate market quality impact of equity shares that fail to deliver (hereafter “FTDs”). For a sample of 1,492 NYSE stocks over a 42-month period from 2005 to 2008, greater FTDs lead to higher liquidity and pricing efficiency, and their impact is similar to our estimate...

Bearish option strategies and short sales can be used to profit from falling stock prices. Regulators have repeatedly banned the latter, fearing it would artificially drive down stock prices during crises. This paper uses the 2011 European Short Sale Bans as well as the temporary suspension of...