Abstract Amihud’s stock (il)liquidity measure averages daily ratios of the absolute close-to-close return to dollar volume, including overnight returns. Our modified uses open-to-close returns matching and trading volume measurement windows. It is more strongly correlated with trading-cost measures (by 8%–37%) better explains cross-sections returns, doubling estimated liquidity premiums. Using ...

Wheat Triticum aestivum L. is one of the most important agricultural products, and meets highest nutritional needs humans in various countries. This study aims to evaluate compatibility stability 25 wheat genotypes for two crop years five regions (Karaj, Qazvin, Isfahan, Varamin Damavand) a randomized complete block design with three replications. The results variance analysis additive main eff...

36 month buy-and-hold returns are calculated for a recent sample of initial public offerings (IPOs) on UK stock markets in order to test the robustness of earlier results which suggest that IPOs deliver abnormally low long-run returns. A bootstrapped and skew-adjusted t statistic is employed. Overall, there is little evidence of significant abnormal long-run performance. Further tests reveal th...

Nous utilisons le modèle de Grossman & Stiglitz (1980) pour construire un portefeuille référence les investisseurs non informés et nous ce évaluer la performance des fonds communs placement en actions, gérés activement. proposons une méthodologie empirique utilisant informations sur prix actions l’offre titres. montrons alors que fournissent, moyenne, alpha significatif 23 points base par a...

Abstract Marketing capability refers to a firm’s ability optimally deploy and integrate different marketing inputs achieve high sales at low cost. This paper examines whether the value of is incorporated into stock returns. High-level predicts better future operating performance A capability-based long-short portfolio strategy earns an average annual return 5.16%, substantial portion which earn...

Abstract This paper highlights the adverse consequences of sluggish credit rating updates in creating information efficiency distortions and investment anomalies. We first document significant default swap (CDS) return momentum yielding 7.1% per year. further show that cross-market strategies based on past CDS performance generates an alpha 10.3% year stocks 7.3% bonds. These effects are strong...

Abstract This paper explores the impact of product market competition on positive relation between labor mobility (LM) and future returns. We develop a production-based model formalize intuition that low exposure to systematic risk in concentrated industry limits LM’s amplifying effect operating leverage. Therefore, predicts stronger LM expected returns for firms competitive industries. Consist...

Using 5-year credit default swap (CDS) contracts on 1,247 U.S. firms from 2003 2011, we show a 3-month formation and 1-month holding period CDS momentum strategy yields 52 bps per month. By incorporating past CDS return signals, we further show traditional stock momentum strategies avoid abrupt losses during the crisis period and improve their performance by net 104 bps per month. Both within C...

We test the no-trade theorem in a laboratory financial market where subjects can trade an asset whose value is unknown. Subjects receive clues on the asset value and then set a bid and an ask at which they are willing to buy or to sell from the other participants. In treatments with no gains from trade, we should observe no trading activity, whereas, in treatments with gains, trade becomes theo...