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Abnormal Returns in Gold and Silver Exchange-Traded Funds
The Journal of Index Investing, 2011Exchange-traded funds (ETFs) are one of the fastest growing areas of financial markets and have significantly changed how investors construct their portfolios. We investigate the price efficiency of six commodity ETFs. Our most significant finding is that GLD (gold) and SLV (silver) have a small, but significant, risk-adjusted return at the 3% and 5 ...
Michael J. Naylor +2 more
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Dividend yields and stock returns: Implications of abnormal January returns
Journal of Financial Economics, 1985Abstract This study examines the empirical relation between stock returns and (long-run) dividend yields. The findings show that much of the phenomenon is due to a nonlinear relation between dividend yields and returns in January. Regression coefficients on dividend yields, which some models predict should be non-zero due to differential taxation of ...
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The Abnormal Performance of Bond Returns [PDF]
, 2000 This article studies the link between the predictability of futures returns and the business cycle. Modelling the relationship between the variation through time in expected futures returns and economic activity should give us some insight as to whether the predictable movements in futures returns result from rational variation in the returns required ...
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Evolution of price effects after one-day abnormal returns in the US stock market
North American Journal of Economics and Finance, 2021, Alex Plastun, Mark Wohar
exaly
Improved Methods for Tests of Long-Run Abnormal Stock Returns
, 1999J. Lyon, B. Barber, Chih-Ling Tsai
semanticscholar +1 more source
Gold and oil prices: abnormal returns, momentum and contrarian effects
Financial Markets and Portfolio Management, 2021Alex Plastun +2 more
exaly
Reputation and stock abnormal returns
2016A relação entre reputação organizacional e desempenho nanceiro das empresas tem sido alvo de estudo ao longo dos últimos anos. Empresas com elevados padrões de reputação apresentam maior probabilidade de manter um elevado e sustentado desempenho ao longo do tempo.
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The frequency of one-day abnormal returns and price fluctuations in the forex
Journal of Applied Economics, 2021Viktor Oliinyk +2 more
exaly