This paper analyzes how newly introduced transparency requirements for short positions affect investors' behavior and security prices. Employing a unique data set, which contains both public positions above and confidential positions below the regulatory disclosure threshold, we offer several...

In dieser Arbeit wird die Hypothese eines schwach effizienten Kapitalmarktes sowie das Vorliegen des Montagseffektes am deutschen Aktienmarkt untersucht. Weiterhin wird aus der Prüfgöße zum Test auf Autokorrelation erster Ordnung ein Verfahren entwickelt, mit dem die Existenz endlicher...

This paper examines earnings momentum strategies in the U.S. stock universe from an investor's perspective. Specifically, we use the software Stock Investor Pro from the American Association of Individual Investors (AAII) to obtain the composition of the U.S. stock universe from 2005-2015 on a...

Using a threshold vector error correction model approach we find the wheat market of Russia segmented, with the primary grain export region poorly integrated into the domestic market. Results also indicate that trade costs are high, hindering spatial market efficiency of wheat markets in Russia....