Purpose -The purpose of this paper is to investigate the impact of individual investor sentiment on the return process and conditional volatility of three main US market indices (Dow Jones Industrial Average, S&P500 and Nasdaq100). Individual investor sentiment is measured by aggregate money...

Purpose – This paper aims to investigate whether completed vs withdrawn equity offerings result in different stock price performance prior to announcement and between announcement and withdrawal or completion. Design/methodology/approach – Investigates stock price performance prior to equity...

Purpose – The purpose of this paper is to investigate the profitability of European Union (EU) firms with the aim of confirming the mean‐reverting pattern documented by earlier research in the USA. In addition, the paper classifies firms by industry sectors across countries to investigate...

In this paper we provide an in‐depth comparative analysis of the shares of listed firms in three Southeast Asian stock markets, namely, Indonesia, Malaysia and Thailand, that had experienced the most violent fluctuations in the 1997 market crash. Our purpose is to present broad lessons from...

This paper looks at one relatively less‐visited issue in market timing: switching investments on common stocks between different stock markets, namely, “intermarket timing”. By employing the stock price data for the period of 1992‐2002 from a developed market, Hong Kong, and two emerging...

Purpose – The purpose of this paper is to estimate New Zealand's country level risk using a time‐varying country beta market model. Country beta is allowed to vary as a function of several macro‐economic variables, including the net government overseas borrowing, 90‐day bill rate,...

Purpose – The purpose of this paper is to investigate the relationship between the Chinese stock market indices and a set of macro‐economic variables, i.e. money supply, industrial production, inflation, exchange rate and interest rates. Design/methodology/approach – The aims of this paper...

Purpose – The purpose of this paper is to examine asset class cross‐autocorrelations at the macro‐level by exploring the return associations among mutual fund asset classes. The low transactions costs of trading mutual funds make this extension important since informed traders can...

Purpose – The purpose of this paper is to examine the tournament hypothesis in the UK mutual fund market. Based on a previous US study, fund managers were expected to alter risk‐taking behaviour in response to their performance relative to competing fund managers. Design/methodology/approach...

Purpose – This paper aims to increase understanding of the (time‐varying) relationship between exchange rates and stock prices at the individual firm level. Rather than analyzing the impact of exchange rate movements on firm value by regressing multinationals’ stock returns on exchange...