...Vivek Bhargava; Mukesh Chaudhry; Daniel Konku Purpose This study investigates the relationship between return volatility and the trading volume for DJIA and the S&P 500 indices using intraday, overnight and daily volatility measures. Design/methodology/approach This paper uses several...

...Iman Mohammadi; Hamzeh Mohammadi Khoshouei; Arezoo Aghaei Chadegani Purpose In this study, to maximize returns and minimize investment risk, an attempt was made to form an optimal portfolio under conditions where the capital market has a price bubble. According to the purpose, the research...

... Using data for 26 annual periods, 1991–2016, the paper examines the top 5, 10, 25, 50 and all 100 stocks on a return-risk basis, including an application of Modern Portfolio Theory. To generate portfolio performance metrics, the study uses conventional mean-variance analysis, which includes...

... a higher return and a lower standard deviation. However, returns for these funds and ETFs perform poorly in a very volatile market. ETF returns increased with the passing of the Obamacare. Healthcare sector funds and ETFs declined with the recent criticism from Donald Trump since he became the apparent GOP...

.... Design/methodology/approach – Ordinary least square regression analysis is used to examine the presence of DOW and January effect to test the efficiency of the Indian currency market. The sample period is later divided into two sub-periods, that is, pre- and post-2008 to capture the behavior of returns...

... the characteristics of cash flow guidance and how this type of guidance relates to the value of the issuing firms. Financial forecasting Disclosure Returns Cash flow While US GAAP does not require firms to disclose free cash flow (FCF) information, some firms voluntarily report and emphasize FCF...

...Keming Li; Mohammad Riaz Uddin; J. David Diltz Purpose – Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only...

... expected stock returns. The paper also explores whether investors respond differently to stocks that co-vary with declining market than to those of co-vary with rising market. Design/methodology/approach – The paper uses monthly data of closing prices of stocks listed at the Karachi Stock Exchange...

...Garrett C.C. Smith Purpose – The purpose of this paper is to examine the effects of financial flexibility as represented by excess cash holdings and debt capacity upon firm returns after periods of high market uncertainty. Design/methodology/approach – Days of high uncertainty...

... information (PSOS) and information asymmetry (ADJPIN) on REIT excess returns by estimating panel data regressions controlling for both firm- and time-fixed effects. Findings – The results confirm that heterogeneous information (PSOS) is significantly and positively associated with REIT excess returns...

...Thomas H. Thompson Purpose The purpose of this paper is to provide a comprehensive initial evaluation of divestiture gains for reacquired carve‐out parent and subsidiary second event and three‐year returns for the period 1980‐2010. Design/methodology/approach Using several variables, we...

... requirement‐based option portfolio returns that realistically represent the returns realized by investors, and to demonstrate the effects of this methodology on analyses of option returns. Design/methodology/approach A methodology is developed for calculating margin requirement‐based short option...

.... Findings The empirical results show the existence of a small sample bias in the bootstrap method with replacement, and that the time‐series relations of stock returns are the main source of momentum profits. Originality/value To ensure the random effect of the draws, the authors develop a new...

...George W. Blazenko; Yufen Fu Purpose The value‐premium is the empirical observation that “value” stocks (low market/book) have higher returns than “growth” stocks (high market/book). The purpose of this paper is to propose a new explanation for the value‐premium that the authors call the limits...

...Hao Li; John S. Jahera, Jr; Keven Yost Purpose The purpose of this paper is to investigate the effect of corporate governance strength as measured by the Gompers governance index (gindex) and other related factors on corporate risk as measured by implied volatility of returns. Design...

...Lee Siew Peng; Mansor Isa Purpose The purpose of this paper is to examine the long‐term post‐acquisition share performance of Malaysian acquiring firms over the period 2000‐2004. Design/methodology/approach The authors use the event‐type methodology to analyse acquirer returns in relation...

... to the literature on the information transmission mechanism for dually‐listed securities. Originality/value The paper uses the co‐integration tests and the error correction model (ECM) to test the long‐run relationship between returns on domestic exchange trade funds (ETFs) and the returns on the underlying...

..., and Goyal's hypothesized that asymmetric volatility, defined as the negative relationship between daily volatility and lagged unexpected return, is governed by the trading dynamics of informed traders and uninformed traders. However, the hypothesis has not been directly tested due to lack of a measure...

... the differences in returns between stock indices. Additionally, ANOVA and median test statistics were conducted to test differences in size premiums over years. Finally, t‐tests as well as Mann‐Whitney U test statistics were conducted to examine the differences in size premiums by market conditions...

...Monzurul Hoque; Jamshid Mehran; Alex Meisami; John R. Busenbark Purpose The purpose of this paper is to investigate the impact of Jewish holidays on US stock market returns. Design/methodology/approach The authors use event study and regression methodology to determine abnormal returns...