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A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature … psychological time threshold, most factors typically influencing price changes cease to apply. This paper analyzes several … trading time above a certain psychological threshold, the volumes exchanged are not integral agents for VSTPC. Currently …

Persistent link: https://www.econbiz.de/10013272630

Linkages among commodity futures prices in the recent financial crisis : an application of cointegration tests with a structural break

Tsuchiya, Yoichi - In: Cogent economics & finance 3 (2015) 1, pp. 1-13

. We use a cointegration test, which accounts for the presence of a structural break. We show that while there is a long …

Persistent link: https://www.econbiz.de/10010492392

The Scrutinized-Firm Effect, Portfolio Rebalancing, Stock Return Seasonality, and the Pervasiveness of the January Effect in Canada

Athanassakos, George - 2016

This article examines whether seasonality is present in the excess returns of low risk Canadian firms in safe industries for a sample of firms that are highly scrutinized and visible and uses such tests as the foundation to empirically testcompeting explanations of stock market seasonality,...

Persistent link: https://www.econbiz.de/10013004316

The Impact of NASD Rule 2711 and NYSE Rule 472 on Analyst Behavior - The Strategic Timing of Recommendations on Weekends

Dong, Yi - 2016

Amendments to NASD Rule 2711 and NYSE Rule 472, enacted in May 2002, mandate that sell-side analysts disclose the distribution of their security recommendations by category of buy, hold, and sell. This regulation enhances the transparency of analysts' information and mitigates the...

Persistent link: https://www.econbiz.de/10013005326

Anomalies and News

Engelberg, Joseph - 2017

Using a sample of 97 stock return anomalies, we find that anomaly returns are 50% higher on corporate news days and are 6 times higher on earnings announcement days. These results could be explained by dynamic risk, mispricing via biased expectations, and data mining. We develop and conduct...

Persistent link: https://www.econbiz.de/10012971410

It Takes Two To Misprice : Investor Horizons and Earnings Announcements

Parsa, Sahar - 2017

I study how investor horizons affect the price reaction of the stocks to earnings announcements. In the theory, short-run investors trade frequently, while long-run traders hold and trade on fundamentals. The model predicts that the reaction to an earnings announcement is shifted downward for...

Persistent link: https://www.econbiz.de/10012946248

Market Reaction to News and Investor Attention in Real Time

Erdemlioglu, Deniz - 2017

This paper develops a new framework to study investor attention in real time at high frequency. Using information …

Persistent link: https://www.econbiz.de/10012950891

Timing the Stock Market : Does it Really Make No Sense?

Dichtl, Hubert - 2015

Many private and institutional investors attempt to time the market and generate abnormal returns by periodically …

Persistent link: https://www.econbiz.de/10013035296

A Survey of Day of the Month Effect in World Stock Markets

Desai, Dr.Jay - 2012

A curious seasonal anomaly found in finance is the turn of the month effect, where the daily mean return of stock market at the end of a month and beginning of a month is significantly higher than the average daily return of all the days of a month. There have been evidences that certain months...

Persistent link: https://www.econbiz.de/10013098346

Turn - of - the - Month Effect on the Bucharest Stock Exchange

Stefanescu, Razvan - 2012

This paper explores the presence of the turn – of – the – month effect on Bucharest Stock Exchange. We employ daily values from 2002 to 2011 of the two important indices of the Romanian capital market: BET – C and RAQ – C, composed on the stock prices of some of the biggest Romanian...

Persistent link: https://www.econbiz.de/10013100307