We examine the efficacy of exchange queries in assisting to explain anomalous trading behaviour in a timely manner. Most equity markets rely on continuous disclosure rules to motivate corporations to immediately disclose sensitive information that can affect trading. Queries allow exchanges to...

We examine the relative forecast accuracy of expected returns for individual stocks sourced from analyst target prices, earnings per share estimates, management forecasts, earnings yields, stock yields, historical averages and the random walk model. In doing so, we avoid the use of predictive...

A theoretical model proposed by Cornelli and Li (2002) suggests that informed traders transact in shares of the target firm following the announcement of a takeover. In such cases, takeover traders are incentivised to become large shareholders in the target and, in doing so, influence the...

This paper applies a disaggregated approach to examine stock volatility at the firm, industry and market level in Australia. We employ the models advanced by Campbell, Lettau, Malkiel and Xu (2001) to carry out this disaggregation, and extend their methodology to incorporate: formal tests of...

This study presents the first empirical evidence on the existence of the asset growth effect in the Australian equity market. Specifically, we analyse all Australian listed firms over the period from 1998 to 2008, inclusive, to investigate whether the rate of growth in total assets has...

We provide the first empirical investigation into the impact of Internet Stock Message Board takeover rumors on the price discovery process in the United States equity market. Our investigation involves using an innovative five-stage filtering process, that employs computational linguistics...

It is generally accepted within the extant literature that a size effect exists, whereby smaller firms tend to experience higher rates of return than those of large firms. This small size effect is identified in a number of studies over a variety of equity markets. Despite this, however, no...