Momentum is one of the largest and most pervasive market anomalies. However, despite a high mean and Sharpe ratio, momentum suffers from large negative skewness that comes from momentum crash periods. These crashes occur in times of both market stress and market rebound and thus variables that...

The present study is conducted is to measure the change in share prices after the merger announcement date by using event study methodology and is based on a database consisting 515 sample companies taken from CMIE-Prowess for the period of five years i.e. 2005 to 2013. The standard event...

Corporate risk-taking behavior and investment is a crucial factor in order to seek higher profits and a better trading strategy. Competitive advantage and innovation, while maintaining profitability and state ownership, are considered as crucial resources. Furthermore, it is essential to connect...

The authors test the weak-form efficiency in cryptocurrency markets using the most recent and comprehensive data as of 2021. The authors apply various technical indicators to take a long or short position on 99 cryptocurrencies and compare the 10-day returns based on the technical trading...

Market efficiency varies across individual stock according to stock attributes. This paper finds prices are closer to random walk benchmarks for stocks with better liquidity provision, frequent trading, greater return volatility, higher prices, larger market capitalizations, and smaller trade...

The study examines how stock market prices the stocks of socially ambiguous “Grey” firms, who are socially responsible in certain corporate social responsibility (CSR) dimensions while being socially irresponsible in other dimensions. Using firm data from 1992 to 2011, we find that the...

Previous research finds correlation between sentiment and future economic growth, but disagrees on the mechanism that explains this result. In this paper, we shed new light on this issue by exploiting cross-country variation in sentiment and market efficiency. We find that sentiment shocks in G7...

The recent Ninth Circuit decision in Miller v. Thane International, Inc. is a significant innovation that brings legal precedent regarding market efficiency more in line with current thinking in financial economics. Prior to Thane there was a tendency for courts to view financial markets as...

Management in the conditions of financial crisis demands an exact estimation of target criteria of productivity of the company. Early diagnostics of weak signals of arising problems gives time for adaptation and protective reaction. It is important to find exact indicators of management the...

The flow of information between futures and spot prices may vary over time, in particular during periods of stress. This article analyses the information content of the Bund Future and German government bonds during 1998 and test whether it is constant over time. The use of high-frequency data...