This study examines abnormal stock return around the announcement of the Lifetime Capital Gains Exemption (LCGE) in the Canadian federal tax system. The revised code, adopted May 23, 1985 provided individual taxpayers with a cumulative tax exemption for capital gains, up to a lifetime limit of...

This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive...

This paper investigates the dynamic linkages between trading volume and investors sentiments for the S&P500 stock exchange. Two sentiment indicators are considered, the overconfidence and the net optimism-pessimism indicator. Non-linear dynamic approach, namely the asymmetric autoregressive...

This study examines the empirical relationship between unusual trading volume and earnings surprises in China´s A-share market. We provide evidence that an unusually low trading volume can signify negative information about firm fundamentals. Moreover, unusual trading volumes could predict...