This paper examines the effect of the past price information on the two major futures contracts traded on the Tokyo Stock Exchange: the TOPIX futures and the 10-year JGB futures. The unique 90-minute lunch break on the exchange creates two mini-sessions in each calendar-trading day. This paper...

This paper assesses the intraday price reversal patterns of seven major currency futures contracts traded on the Chicago Mercantile Exchange over 1988-2003 after one-day returns and opening gaps. We observe significant intraday price reversal patterns in five of the seven currency futures...

This paper analyzes the impact of value estimation errors on portfolios' growth rates and relative growth rates (i.e. long-term returns and long-term relative returns) for several portfolio weighting methods. The portfolio weighting methods include capitalization weights, estimation error...

This article assesses the intraday price‐reversal patterns of seven major currency futures contracts traded on the Chicago Mercantile Exchange over 1988–2003 after 1‐day returns and opening gaps. Significant intraday price‐reversal patterns are observed in five of the seven currency...

A few security analysts engaged in quantitative analysis long before computers became readily available. This study presents an example dating from 1972. An analyst examined the fixed cost-variable cost structure of General Motors by creating a nonlinear algebraic model, transforming the model...

On examination of three long-short investment strategies used by investment managers indicates that only the relative return and relative earnings surprise strategies provide significant risk-adjusted in a Fama and French three-factor model. None of the three strategies is size- and BE/ME-...