Showing 1 - 10 of 464
Givoly (1985) provides formal evidence on the relation between the past history of earnings and their own forecast. Our study uses a new methodology, modified Granger causality tests, to further analyze the information flows between earnings and forecasts. Our application of this widely...
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We apply a new methodology, modified Granger causality tests, to further analyze the information flows between earnings and forecasts. Our application focuses on the dynamic interaction between reported earnings and analysts’ forecasts. Based on long time series of analyst earnings...
Persistent link: https://www.econbiz.de/10011135729
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We investigate the impact of scheduled government announcements relating to six different macroeconomic variables on the risk and return of three major US financial markets. Our results suggest that these markets do not respond in any meaningful way, to the act of releasing information by the...
Persistent link: https://www.econbiz.de/10012785187
Using a matched sample design where companies are matched by size and industry from Australian, Canadian and US capital markets, we investigate whether capital market integration varies across industries. The tests are conducted in the Capital Asset Pricing Model and multi-factor pricing...
Persistent link: https://www.econbiz.de/10012742798
This paper proposes and tests a new hypothesis concerning the price impact of option introductions on the underlying asset. In contrast to earlier research that has failed to explain the flipping of positive excess returns to negative excess returns on the listing date over the past thirty years...
Persistent link: https://www.econbiz.de/10012739558
We investigate the unconditional and conditional gold betas of four country-based gold industry portfolios. First, we document the similarity of unconditional gold betas across countries. Second, we find that the factors affecting conditional gold betas are different in the Australian and South...
Persistent link: https://www.econbiz.de/10012785704
This paper utilizes Frank Russell style portfolios to create useful proxies for the Fama and French (1993) factors. The proxy-mimicking portfolios are shown to represent a pervasive source of exposure across U.S. industry portfolios and to generally possess similar properties to those utilized...
Persistent link: https://www.econbiz.de/10012786638
In this article, we investigate the impact of the introduction of stock index futures trading on the daily returns seasonality of the underlying index for seven national markets. It has been previously argued that the introduction of futures trading should lead to reduced seasonality of mean...
Persistent link: https://www.econbiz.de/10012787405