We investigate whether return volatility, trading volume, return asymmetry, business cycles, and day-of-the-week are potential determinants of conditional autocorrelation in stock returns. Our primary focus is on the role of feedback trading and the interplay of return volatility. We present...

We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in...

In this article, we investigate the impact of the introduction of stock index futures trading on the daily returns seasonality of the underlying index for seven national markets. It has been previously argued that the introduction of futures trading should lead to reduced seasonality of mean...