Decomposing the Return Difference for NASDAQ Stocks
The Information Content in Trades of Inactive Nasdaq Stocks
... small Nasdaq stock trades and their impacts on return volatility at the intraday ...traded stocks to assess the differential information content of stock ...traded stocks on ...
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Decomposing Short-Term Return Reversal
... the stocks in our sample represent only one-third of the total number of stocks in the Center for Research in Security Prices (CRSP) database, we cover almost 75% of the US stock universe by market ...of ...
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Misvaluation and Return Anomalies in Distress Stocks
... The difference between returns to small and big firms increases monotonically from ...valued stocks (top left corner portfolio) have alphas that are fairly close to ...big stocks have large and ...
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The Making of a Dealer Market: From Entry to Equilibrium in the Trading of Nasdaq Stocks
... in stocks that are performing better, or are they “stuck” in poorly performing stocks that other dealers shun? We tested for these selection effects by running univariate regressions where the independent ...
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Risk-Return Dynamics of Cross-listed Stocks
... First, the ADF, PP, and KPSS unit root tests are employed to assess the stationarity of the time series data for the opening prices and closing prices of the ADRs and their underlying foreign securities for the Chinese ...
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Crossed Markets: Arbitrage Opportunities in Nasdaq Stocks Ryan Garvey and Anthony Murphy*
... firm stocks and 2½ and 1 second for the other large cap Nasdaq ...cent. Stocks are usually crossed for 1 cent, with a weighted average cross price of ...the difference between the initial best ...
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Value stocks trade at prices below their fundamental values. If prices of stocks. Value versus Glamour Stocks: The Return of Irrational Exuberance?
... the difference in expected growth of earnings between value and expensive stocks increases, because the latter can command a higher ...the difference in expected earnings growth for the expensive ...
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The Importance of Industry-, Country- and Global Factors for the Return on Technology Stocks
... Another study carried out by Brooks and Del Negro (2005) investigates how industry-, country- and global effects impact international stock returns using a latent factor model. The variation in international stock ...
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Institutional Ownership and Return Predictability Across Economically Unrelated Stocks
... of stocks sorted based on predicted cumulative abnormal returns (CARs) from economically unrelated stock ...of stocks, we report the value- weighted excess return above the risk-free rate (ER ) and ...
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Predicting Stock Volatility Using After-Hours Information: Evidence. from the NASDAQ Actively Traded Stocks
... squared return. For the thirty most active NASDAQ stocks, we find that most of the stocks exhibit positive and significant preopen coefficients and that the inclusion of the preopen variance ...
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Is CAPM a Good Predictor Of Stock Return In The Nigerian Food And Beverage Stocks?
... on stocks over a long time period is estimated, and compared to the actual returns earned on a default-free (usually government ...The difference on an annual basis between the two returns is computed and ...
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Do different cultural values affect the excess return of sin stocks?
... market return and Ri_min_Rf stands for the excess sin stock ...market return the respective MSCI per country are ...market return decreased by ...sin stocks are mostly large capitalization ...
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Determinants of Return on Oil and Gas Stocks in Canada and the US: A Micro & Macro Analysis
... of decomposing return on stocks into various factors has been of great interest since the 60’s, when William Sharpe published his seminal paper which introduced the Capital Asset Pricing Model (1964) ...
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Transmission of Shocks from Cross-Listed Markets to the Return and Volatility of Domestic Stocks
... the difference in raising new capital itself is an indication that firms use the ...the return and volatility of the cross-listed stock in its domestic ...
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Is CAPM a Good Predictor Of Stock Return In The Nigerian Leasing And Real Estate Stocks?
... on stocks over a long time period is estimated, and compared to the actual returns earned on a default-free (usually government ...The difference on an annual basis between the two returns is computed and ...
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Fads Models with Markov Switching Hetroskedasticity: decomposing Tehran Stock Exchange return into Permanent and Transitory Components
... There is always a potential probability that prices may be far away from their fundamental values. This deviation from fundamental value exists because of speculative bubbles or Fads. In the stock market, the average of ...
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Market Making and Trading in Nasdaq Stocks. Michael A. Goldstein
... In the model above and the ones that follow, the following abbreviations are used to describe variables: LnNmmkr is the log of the number of market makers in the stock; LnTrdsize is [r] ...
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The initiation and withdrawal of odd-eighth quotes among Nasdaq stocks: an empirical analysis
... 䉳 Fig. 7. The time-series of average daily turnover for the stocks whose market makers in- itiated/withdrew odd-eighth quotes between 1990 and 1994. For each issue, we compute the turnover, de"ned as the ...
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RISK AND RETURN ANALYSIS ON INDIAN BANKING SECTOR STOCKS
... KEY WORDS: Value at Rik, Covariance and Mate Carlo INTRODUCTION Banking is one of the most rapidly growing sectors in India. The percentage of listed banks is also increasing in leading stock exchange, i.e., NSE. CNX ...
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Investing: A Guide to the Top 20 Highest Return Stocks
... HgCapital will retain c. 62% of the equity in JLA going forward, taking advantage of the significant upside we believe remains within the business. The combined return represents an investment multiple of ...
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