Showing 1 - 7 of 7
Since the seminal works of Markowitz (1952), Sharpe (1964), and Lintner (1965), numerous studies on portfolio selection and performance measure have been based upon the mean-variance framework. However, several researchers (e.g., Arditti (1967, and 1971), Samuelson (1970), and Rubinstein (1973))...
Persistent link: https://www.econbiz.de/10009460552
In this paper, we provide the first evidence of liquidity timing ability of mutual funds outside US. We propose a new model to study liquidity timing ability of mutual funds. The model matches the higher moment framework required for emerging market study. We find that on the average the mutual...
Persistent link: https://www.econbiz.de/10012999976
A non-normal stock return distribution is common in emerging markets. We propose a new liquidity timing model in a higher moment. Overall, fund managers are able to time the market-wide liquidity even in a higher moment environment. A co-skewness risk factor is statistically priced. High...
Persistent link: https://www.econbiz.de/10012984924
This study examines the international information transmission among three major gold futures markets namely COMEX, MCX, and TOCOM. Two well documented approaches, which are VECM and information share, are utilized to measure the process of price discovery under this trivariate system. The...
Persistent link: https://www.econbiz.de/10013101835
Binding foreign ownership limits fragment stock trading in Thailand into distinct markets for locals and foreigners. Foreigners (locals) who buy on the local (foreign) board lose dividends and voting rights (pay a price premium). We observe a surprising amount of cross-market activity among...
Persistent link: https://www.econbiz.de/10012709947
We examine market responses to earnings announcements in Singapore and Thailand, where shares restricted to local investors trade alongside otherwise identical shares available to foreigners. Our evidence is consistent with foreigners having superior information processing ability, rather than...
Persistent link: https://www.econbiz.de/10012710463
We examine market responses to earnings announcements in Singapore and Thailand, where shares restricted to local investors trade alongside otherwise identical shares available to foreigners. Our evidence is consistent with foreigners having superior information processing ability, rather than...
Persistent link: https://www.econbiz.de/10012752589