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Stock weighting and nontrading bias in estimated portfolio returns

Gray, Philip K. - In: Accounting and finance : journal of the Accounting … 54 (2014) 2, pp. 467-503

Persistent link: https://www.econbiz.de/10010373402

Do Scheduled Macroeconomic Announcements Influence Energy Price Jumps?

Chan, Kam Fong - 2016

For six important energy futures markets, this study examines whether large price movements (i.e., jumps) are related to the arrival and information content of scheduled macroeconomic announcements. Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660–671]...

Persistent link: https://www.econbiz.de/10012981311

The MAX effect : an exploration of risk and mispricing explanations

Zhong, Angel; Gray, Philip K. - In: Journal of banking & finance 65 (2016), pp. 76-90

Persistent link: https://www.econbiz.de/10011634328

The profitability of trading NOA and accruals : One effect or two?

Gray, Philip K.; Liao, Iris Siyu; Strydom, Maria - In: International review of financial analysis 58 (2018), pp. 211-224

Persistent link: https://www.econbiz.de/10012006447

Political uncertainty, market anomalies and Presidential honeymoons

Chan, Kam Fong; Gray, Philip K.; Gray, Stephen; Zhong, Angel - In: Journal of banking & finance 113 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012226090

Cao, Viet Nga; Gray, Philip K.; Zhong, Angel - In: International review of financial analysis 61 (2019), pp. 97-109

Persistent link: https://www.econbiz.de/10012206943

Assessing the usefulness of daily and monthly asset-pricing factors for Australian equities

Gray, Philip K.; Zhong, Angel - In: Accounting and finance 62 (2022) 1, pp. 181-211

Persistent link: https://www.econbiz.de/10013166392

Anomalies, risk adjustment and seasonality : Australian evidence

Zhong, Angel; Manapon Limkriangkrai; Gray, Philip K. - In: International review of financial analysis 35 (2014), pp. 207-218

Persistent link: https://www.econbiz.de/10010530242