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This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels associated with exchange listing and the...
Persistent link: https://www.econbiz.de/10011198317
Persistent link: https://www.econbiz.de/10008348710
This paper addresses a number of important market microstructure issues associated with exchange traded equity options having significant research implications for studies investigating clustering on option strike prices. Price threshold levels are examined associated with exchange listing and...
Persistent link: https://www.econbiz.de/10012764782
Bouman and Jacobsen (2002) examine monthly stock returns for 37 world stock markets for the period January 1970-August 1998. They report that returns are significantly higher during the November-April periods versus the May-October periods in 36 of 37 markets examined and label this phenomenon...
Persistent link: https://www.econbiz.de/10012785125
Mongenstern's mantra quot;scrutinize your dataquot; is as relevant today as when he wrote it over a half century ago. This paper documents discrepancies across data sources in quot;closingquot; prices for Nasdaq stocks, which at times are economically meaningful. However, this discrepancy does...
Persistent link: https://www.econbiz.de/10012732091
Examining the years 1970 to 1998, Bouman and Jacobsen (2002) document unusually high monthly returns during the November-April periods for both United States (U.S.) and foreign stock markets and label this phenomenon the Halloween effect. Their research suggests that the Halloween effect...
Persistent link: https://www.econbiz.de/10008484260
This paper examines all citations and self-citations to a list of 94 finance journals appearing in the Journal of Finance, Journal of Financial Economics and Review of Financial Studies from 1995 through 2005. Additionally, the publication profile of 100 prolific authors in top-tier finance...
Persistent link: https://www.econbiz.de/10012714334
Institutional Investor (II) Journals include the following nine finance/investment journals: (1) lt;igt;The Journal of Portfolio Managementlt;/igt; (JPM), (2) lt;igt;The Journal of Alternative Investmentslt;/igt; (JAI) (3) lt;igt;The Journal of Fixed Incomelt;/igt; (JFINC) (4) lt;igt;The Journal...
Persistent link: https://www.econbiz.de/10012719160
Prior research documents unusually high returns on the last trading day of the month and over the next three consecutive trading days. This phenomenon is known as the turn-of-the-month (TOTM) effect. According to Siegel (1998), why these anomalies occur is not well understood, and whether they...
Persistent link: https://www.econbiz.de/10012710514
This paper examines a unique data set consisting of Japanese equity returns for the Friday, Monday, and Tuesday surrounding U.S. Monday holiday closures. The objective is to neutralize the impact of spillover effects from New York to Tokyo. Prior studies find that Japanese returns are negative...
Persistent link: https://www.econbiz.de/10012710530