The effects of scheduled macroeconomic announcements on the real‐time intraday return volatilities, covariances, and correlations between the Eurodollar futures and the U.S. Treasury bond futures markets are studied. These announcements are responsible for most of the observed intraday jumps...

In this paper we investigate the relation of the anomalies on accruals and net stock issues with the value/glamour anomaly. Our findings reveal, that hedge strategies on retained earnings, total accruals, net operating assets (accrual proxies), cash distributions to equity holders (net stock...

In this paper, we investigate the informational content of retained and distributed earnings for future profitability and market mispricing. We find that investors act as if the components of retained earnings (current operating accruals, non current operating accruals and retained cash flows)...

Pairs trading is a popular, market-neutral trading strategy among finance practitioners that has been recently evaluated in a number of papers. Since it is a successful trading strategy, allowing for multiple implementations of solid underlying ideas, it is interesting to further explore the...

In this paper, we find that firms with low (high) accruals experience positive (negative) abnormal returns only when they are characterized by high (low) value/growth measures (book to market ratio and free cash flow yield). The level of accruals of those firms is found to be attributable to...

In this paper, we find that firms with low (high) accruals experience positive (negative) abnormal returns only when they are characterized by high (low) value/growth measures (book to market ratio and free cash flow yield). The level of accruals of those firms is found to be attributable to...

We examine the 'relative optimality' of sign predictions for financial returns, extending the work of Christoffersen and Diebold (2006) on volatility dynamics and sign predictability. We show that there is a more general decomposition of financial returns than that implied by the sign...

This paper reviews the evolution of China''s real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...

This study examines whether firms’ financial fraudulent behavior varies when local firms are led by nonlocal CEOs. Building on the social identity theory, we argue that nonlocal CEOs, due to their different location-based social identities, are perceived as outgroup leaders and face intergroup...