Results 121 to 130 of about 53,498 (290)
The Economic Consequences of Social Unrest: Evidence from Initial Public Offerings
European Financial Management, EarlyView.ABSTRACT Prior research attributes negative stock market performance following episodes of social unrest to elevated uncertainty. However, social unrest does not solely increase uncertainty but separately acts to decrease investor sentiment. To determine which effect dominates, we study initial public offering (IPO) underpricing, which responds ...
Philip Barrett +2 more
wiley +1 more source
Modelos multifactores macroeconómicos desde la perspectiva del Arbitrage Pricing Theory (APT)
Análisis Económico, 2014 El planteamiento de un modelo multifactor macroeconómico desde la perspectiva del APT requiere de una adecuada selección de los factores de riesgo, éstos deben tener fácil interpretación, ser robustos en el tiempo y explicar tanto como sea posible la ...
Elitania Leyva Rayón
doaj
Time Zone Difference and Equity Market Price Efficiency Post‐Earnings Announcements
European Financial Management, EarlyView.ABSTRACT This study investigates whether differences in investors' time zones affect stocks' price efficiency post‐earnings announcements on the Australian Securities Exchange. We examine how stocks heavily held by investors in a time zone significantly behind the exchange time zone respond to earnings announcements, compared to stocks that are not ...
Anil Gautam, Grace Lepone
wiley +1 more source
On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria [PDF]
The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based ...
Igor V. Evstigneev +2 more
core
Understanding the Performance of Currency Basis‐Momentum
European Financial Management, EarlyView.ABSTRACT We conduct an in‐depth analysis of basis momentum (BM) in currency markets and examine its relationship with key market anomalies. We find that BM strategies generate significant excess returns across various formation periods. These abnormal returns are not fully explained by the closely related carry and momentum factors.
Minyou Fan +3 more
wiley +1 more source
ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION
Economic Review, 2016 Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to ...
Özge SEZGİN ALP +2 more
doaj +2 more sources
Arbitrage Pricing Theory: Evidence From An Emerging Stock Market
Lahore Journal of EconomicsThe development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets.
Javed Iqbal, Aziz Haider
doaj
The Impacts of Macroeconomic Variables on the Iranian Stock Market [PDF]
پژوهشهای اقتصادی, 2009 This paper is an attempt to investigate the impacts of macroeconomic variables on capital market in Iran using quarterly observations for the period 1991Q2 to 2007Q1.
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doaj
Contingent Claim Pricing In A Dual Expected Utility Theory Framework [PDF]
This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets.
Andrea Gheno, Massimiliano Corradini
core
State‐Dependent Relationship Between Cryptocurrency Returns and Credit Spreads
European Financial Management, EarlyView.ABSTRACT This study investigates how overconfident cryptocurrency traders influence the connection between returns and risk premia, proxied by option‐adjusted credit spreads. Using daily data from January 2021 to February 2025, we uncover asymmetry and state dependence: returns decline when spreads widen, particularly during crashes, yet they do not ...
Geul Lee, Doojin Ryu
wiley +1 more source