In case of herding, investors follow each other, prices move together more than they normally do, and the cross-sectional dispersion of returns decreases. Chang, Cheng, and Khorana (2000) suggest to test for herding by regressing the cross-sectional absolute deviation on the absolute and squared...

Relying on a present value model with time-varying expected returns, and incorporating a quite general class of processes to model bubble like stock price deviations from the long-run equilibrium, we provide empirical evidence on the US log dividend-price ratio over the 1871:1 - 2001:9 period,...

In this paper we analyse the influence of the Bundesbank's inflation targeting policy on the behavior of the spread between long-term and short-term German interest rates. The term spread is considered to be a key indicator of future inflation and economic activity. The application of a momentum...

This paper provides an empirical investigation of cross-listing's implications for companies and stock exchanges in the newly-established capital markets in Central Europe. We find that companies experience a permanent value enhancement, and cumulative abnormal returns reach a strongly...

In this paper, we extend the empirical finance literature on the influence of institutional traders by investigating the impact of Polish pension funds trading on individual stock return autocorrelation. The pension reform in 1999 and the associated increase in institutional traders' investment...

In this paper we analyse the influence of the Bundesbank's inflation targeting policy on the behavior of the spread between long-term and short-term German interest rates. The term spread is considered to be a key indicator of future inflation and economic activity. The application of a momentum...

Relying on a present value model with time-varying expected returns, and incorporating a quite general class of processes to model bubble like stock price deviations from the long-run equilibrium, we provide empirical evidence on the US log dividend-price ratio over the 1871:1 - 2001:9 period,...

The existence of periodically collapsing bubbles in stock markets, applying the Enders-Siklos momentum threshold autoregressive model, is empirically investigated in this paper. Using this non-linear time series technique, we are now able to analyse bubble driven run-ups in stock prices followed...

Relying on the mixture of distributions hypothesis, this paper investigates the relationship between daily returns and trading volume for 20 Polish stocks. Our empirical results show that in the majority of cases volatility persistence tends to disappear when trading volume is included in the...

In this paper, we contribute to the literature on institutional herding and positive feedback trading by analysing the investment behavior of pension funds on the Polish stock market. Since pension funds in Poland operate under more stringent investment regulation than their counterparts in...