Showing 1 - 10 of 33
Persistent link: https://www.econbiz.de/10005540423
This paper documents a stark periodicity in intraday volume and in the number of trades. We find activity in both variables spikes by about 20% at regular intervals of 5 or 10min throughout the trading day. We speculate this activity is either the result of algorithmic trading influenced by...
Persistent link: https://www.econbiz.de/10010789909
We estimate the impact of chief executive officer (CEO) incentives on the sensitivity of investment to cash flow during a period of strong economic growth. Our measure of the alignment of managers’ and shareholders’ interests, pay-performance sensitivity (PPS), incorporates both stock and...
Persistent link: https://www.econbiz.de/10005572118
Persistent link: https://www.econbiz.de/10005284234
Futures market officials are confronted with the difficult task of setting appropriate margin levels that must balance the costs of trader default and the benefits of increased market liquidity. One way to guard against default is prudent margin setting practices designed to protect futures...
Persistent link: https://www.econbiz.de/10009191188
The paper explores issues related to time-varying global equity market integration from a Finnish perspective. Finland is an interesting market since profound economic changes and financial deregulation have taken place since the mid-1980s. Using Finnish firm size ranked portfolios and a...
Persistent link: https://www.econbiz.de/10005471982
In this paper we study international asset pricing models and pricing of global and local sources of risk in the Russian stock market using weekly data from 1999 to 2006. In our empirical specification, we utilize and extend the multivariate GARCH-M framework of De Santis and Gérard (1998), by...
Persistent link: https://www.econbiz.de/10011107724
In this paper we analyze the results from a survey among all publicly listed Nordic firms on their dividend payout policy. The results show that 72% of the Nordic companies have a specified dividend policy. Larger and more profitable companies are more likely to have a defined dividend policy in...
Persistent link: https://www.econbiz.de/10011120377
This paper continues the data collection procedure and analysis set forth in Nyberg and Vaihekoski (2009). A number of new time series that are commonly used in finance literature are collected, created, and analyzed for the first time. These series include, among others, monthly dividend yields...
Persistent link: https://www.econbiz.de/10010818973
Using new monthly series collected together for the first time for Finland, this paper analyses the performance and development of the Finnish equity and money markets as well as the equity premium and inflation from 1912 to 2009. The series are analyzed and compared to similar series from...
Persistent link: https://www.econbiz.de/10010765490