Purpose – Prior research on additions to the S & P 500 and the smaller MidCap 400 and SmallCap 600 indexes reach different conclusions regarding the key variables that explain the cross-section of announcement period abnormal returns. Most notable in this regard is that liquidity measures,...

Purpose: We extend empirical evidence on the profitability of momentum trading to the realm of plain-equity ETFs. Design/methodology/approach: We employ several ranking measures used in prior research, and for each we apply a traditional ranking based on total return, and a variation based only...

Purpose -The purpose of this paper is to extend the literature on the effects of stock splits from mutual funds splits and the QQQ split to 20 exchange traded funds (ETFs) that span a wide variety of indexes. The split sample is compared to a non-split control sample with similar characteristics...

Purpose – The purpose of this paper is to reexamine the value, momentum and size factors employed in the trading strategy originally proposed by Reinganum. Also to enhance our understanding of the impact of these factors over time; to evaluate the effectiveness of these factors; to develop new...

Purpose – The purpose of this paper is to reexamine the value, momentum and size factors employed in the trading strategy originally proposed by Reinganum. Also to enhance our understanding of the impact of these factors over time; to evaluate the effectiveness of these factors; to develop new...

Purpose – The purpose of this paper is to extend the literature on the effects of stock splits from mutual funds splits and the QQQ split to 20 exchange traded funds (ETFs) that span a wide variety of indexes. The split sample is compared to a non‐split control sample with similar...

Purpose – The purpose of this paper is to examine intra‐industry contagion and the following apparent violations of the efficient market hypothesis around large one‐day price decline events in individual stocks. Design/methodology/approach – The paper examines daily stock returns around...

Purpose – The purpose of this paper is to theoretically examine under what circumstances economic cycles advance or deter corporate defaults. Design/methodology/approach – The theoretical inferences are authenticated through Monte Carlo simulations. Findings – It is found that an ongoing...

Purpose – The purpose of this paper is to study performance and market timing ability of equity real estate investment trusts (REITs). Design/methodology/approach – The authors use classical regression‐based framework and their multi‐index, multifactor, and conditional extensions to...

Purpose – The purpose of this paper is to examine the ability of hedge funds and funds of hedge funds to generate absolute returns using fund level data. Design/methodology/approach – The absolute return profiles are identified using properties of the empirical distributions of fund returns....