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This study provides a comprehensive examination of recent mutual fund performance by analyzing a large set of both mutual funds and fund attributes in an effort to link performance to fund-specific characteristics. The sample of funds used in this regression analysis is free of survivorship...
Persistent link: https://www.econbiz.de/10012770458
This study measures and analyzes the liquidity differences between Real Estate Investment Trusts (REITs) and other common stocks. The intraday variations documented in this study have implications for the appropriate timing of trades to minimize transaction costs and the substitutability of...
Persistent link: https://www.econbiz.de/10012778906
Examination of 871 takeover rumors published in two columns of the Wall Street Journal during 1985 through 1988 reveals that the market reacts differently to reports on the same page of the Journal. Rumors in the quot;Abreast of the Marketquot; column are associated with short-term...
Persistent link: https://www.econbiz.de/10012791213
Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to understand the market for immediacy. Algorithms that assign trade direction...
Persistent link: https://www.econbiz.de/10012770775
The neglected firm effect is the phenomenon where stocks of less widely-known firms have larger returns than that predicted by asset pricing models. Researchers have found mitigating variables, such as the price of the stock, that have partially explained the performance of neglected firms....
Persistent link: https://www.econbiz.de/10009441581
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A rapidly growing mutual fund category is funds of funds (FOFs) which invest in other mutual funds instead of individual securities. This study reports on FOFs' characteristics and performance relative to traditional equity mutual funds and finds that FOFs compare favorably. FOFs with identified...
Persistent link: https://www.econbiz.de/10008521650
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