Based on a large dataset of gold ETFs, we find arbitrage opportunities in the gold ETF market which can be exploited by high-frequency traders. To our knowledge, this is the first paper to study pairs trading of gold ETFs using tick data. Able to execute their orders with minimal delay and take...

Finding what causes pricing anomalies is an important step towards improving market efficiency. The favourite-longshot bias is one of the longest-standing pricing anomalies in state-contingent claims markets. However, existing models are unable to capture its full complexity. We develop a...

This paper explores whether price relevant information contained in managerial commentary released concurrently with the earnings announcements are fully reflected in stock prices. Efficient Markets theory predicts that such information should be instantly and fully reflected in the price. We...

This study is the first to combine returns based (RBS) and characteristics based (CBS) style analysis into a single style analysis model. We address the issue of whether RBS and CBS style analysis complementary. Out of sample tests confirmed two things; membership of style groups explain a...

Previous research has identified that investors place more emphasis on technical analysis than fundamental analysis, however the research has largely been confined to daily data and stock market indices. This paper studies whether intraday technical trading rules produce significant payoffs in...