This paper investigates if changes in network connectedness of European sovereign bond markets from 2005 to 2011 was an indicator of the subsequent financial crisis. The unified methodology proposed by Diebold and Yilmaz (2014) is used to overcome weaknesses in alternative methodologies to...

This paper investigates whether long-term contrarian performance on the UK market is driven by low-priced stocks. We find that contrarian performance at low, middle, low price levels is positive. On the Fama-French risk adjusted basis, we find both low-priced and middle-priced losers have...

Inter-dealer trading in US Treasury Securities is almost equally divided between two similar electronic trading platforms. BrokerTec is more active in the trading of 2-, 5-, and 10-year T-notes while eSpeed has more active trading in the 30-year bond. eSpeed provides a more pre-trade transparent...

The impact of trades on price dynamics in the European sovereign debt markets is of significant importance to policy makers and market participants. This paper uses high-frequency quote and transaction data from the MTS European sovereign bond inter-dealer platform to investigate...

The attention-grabbing hypothesis has been offered as a behavioural explanation for post-event abnormal returns for FDA drug approval announcements for NYSE listed firms. We show that when event-day mis-specification is accounted for the market reaction is centred on the event-day and that the...

This study comprehensively evaluates and ranks a large number of competing explanations for the momentum anomaly. As a benchmark for evaluation, firm fundamentals are found to be the most promising among well-known explanations of momentum, followed by prospect theory and mental accounting, and...

Recent studies have shown that most financial market anomalies exhibit a momentum effect. Based on a dataset covering 20 factors, we find that the factor momentum effect is weak in general. Six factors exhibit strong return continuation and dominate the factor momentum portfolio, while the...