We study the stock price reaction to news about tax aggressiveness. We find that, on average, a company’s stock price declines when there is news about its involvement in tax shelters. The stock price decline is smaller for companies with relatively high effective tax rates, possibly because news about tax aggressiveness is more favorably viewed for those firms where public information would su...

Confluence occurs when different trading filters generate signals that point to the same directional move. Using regression analysis, this paper investigates confluence trading signals associated with number preference and price exhaustion, for a sample of Australian stocks. The results show that certain price levels tend to act as psychological barriers, and that price exhaustion signals are a...

We study the behavior of the critical price of an American put option near maturity in the jump diffusion model when the underlying stock pays dividends at a continuous rate and the limit of the critical price is smaller than the stock price. In particular, we prove that, unlike the case where the limit is equal to the strike price, jumps can influence the convergence rate.

Prior research has shown that information security breaches are beneficial to the stock price of information security firms, around the time that these security breaches are announced. We, however, show that the overall trend in the market value of information security firms has actually been stagnating, despite an increasing number of security threats that exploit vulnerabilities in informatio...

During recent years, examining the performance of contrarian strategies has been taken into consideration by scholars and stock market's activists, though several evidences are available based on profitability of this type of strategies, much of them have been referred to American and European's stock markets. In current study, the act of these strategies will be examined in Tehran's stock exch...

During recent years, examining the performance of contrarian strategies has been taken into consideration by scholars and stock market's activists, though several evidences are available based on profitability of this type of strategies, much of them have been referred to American and European's stock markets. In current study, the act of these strategies will be examined in Tehran's stock exch...

The support vector machine (SVM) is a fast, and reliable machine learning mechanism. In this paper, we evaluated the stock price predictability of SVM, which is a kind of fundamental analysis that predicts the stock price from corporate intrinsic value. Corporate financial statements are used as input into SVM. Based on the results, we predicted the rise or drop of the stock. In addition, we ev...

In many practical situations, one needs to construct a model for an input/output process. For example, one is interested in the price of a stock five years from now. The rating industry description for the stock typically lists such indicators as the increase in the price over the last year, the last 5 years, 10 years, life of the stock, P/E ratio, and alpha and beta risk factors. The buyer is ...

By influencing the size and bargaining power of private insurers, public subsidization of private health insurance may project effects beyond the subsidized population. We test for such spillovers by analyzing how increases in insurer size resulting from the implementation of Medicare Part D affected drug prices negotiated in the non-Medicare commercial market. On average, Part D lowered prices...