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In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...
Persistent link: https://www.econbiz.de/10013105856
The Securities and Exchange Commission's September 2008 emergency order introduced a near complete shorting ban of some 800 financials traded in the US. This paper provides an empirical analysis of the equity options market during the three months that include the duration of the ban. Using...
Persistent link: https://www.econbiz.de/10013138822