An Empirical Investigation of Equity Market Trade Patterns Surrounding Significant Information Releases PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download An Empirical Investigation of Equity Market Trade Patterns Surrounding Significant Information Releases PDF full book. Access full book title An Empirical Investigation of Equity Market Trade Patterns Surrounding Significant Information Releases by H. Charles Sparks. Download full books in PDF and EPUB format.
Author: H. Charles Sparks Publisher: ISBN: Category : Languages : en Pages :
Book Description
In this study we examine the response of equity market participants to a wide variety of significant public announcements. Specifically, we examine total and directional trade patterns across 5 investor groups in the 10 trading days centered on the announcement. We utilize the TORQ database to identify the trades initiated by NYSE members other than specialists, individual traders, institutional traders, specialists, and residual trades. We explore different reactions to good news versus bad news disclosures, and examine the reaction to predictable disclosures, namely earnings and dividend announcements, versus more discretionary and less predictable announcements. We find little evidence of privately informed trade in anticipation of announcements concentrated within any investor group. Trading patterns subsequent to announcements are consistent with diversity of opinion in interpreting the announcement across investor groups. There is some evidence suggesting that discretionary, good news announcements are made in response to institutional investor sell pressure.
Author: H. Charles Sparks Publisher: ISBN: Category : Languages : en Pages :
Book Description
In this study we examine the response of equity market participants to a wide variety of significant public announcements. Specifically, we examine total and directional trade patterns across 5 investor groups in the 10 trading days centered on the announcement. We utilize the TORQ database to identify the trades initiated by NYSE members other than specialists, individual traders, institutional traders, specialists, and residual trades. We explore different reactions to good news versus bad news disclosures, and examine the reaction to predictable disclosures, namely earnings and dividend announcements, versus more discretionary and less predictable announcements. We find little evidence of privately informed trade in anticipation of announcements concentrated within any investor group. Trading patterns subsequent to announcements are consistent with diversity of opinion in interpreting the announcement across investor groups. There is some evidence suggesting that discretionary, good news announcements are made in response to institutional investor sell pressure.
Author: Paul Brockman Publisher: ISBN: Category : Languages : en Pages :
Book Description
The purpose of this study is to analyze inter-temporal trading patterns attributable to informed trading, and distinguish between trading due to asymmetric information and trading due to heterogeneous prior beliefs. Although liquidity and asymmetric information motives for trading are well established in the literature, there is much less consensus about the role played by heterogeneous beliefs. If trading on heterogeneous prior beliefs describes actual order flows, then this motive could be a source of considerable trading volume and may be responsible for previously-documented trading patterns. We apply the econometric procedures of Easley, Kiefer, O'Hara, Paperman (1996 Journal of Finance 51, 1405-1436) to the testable hypotheses of Wang's (1998 Journal of Financial Markets 1, 321-352) informed trader model. The empirical findings confirm the existence of trading on heterogeneous prior beliefs and generally support the inter-temporal patterns proposed by Wang (1998).
Author: Wing-Keung Wong Publisher: Mdpi AG ISBN: 9783036530802 Category : Business & Economics Languages : en Pages : 232
Book Description
The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author: Vijay Singal Publisher: Financial Management Association Survey and Synthesis Series ISBN: 0195304225 Category : Business & Economics Languages : en Pages : 369
Book Description
In an efficient market, all stocks should be valued at a price that is consistent with available information. But as financial expert Singal points out, there are circumstances under which certain stocks sell at a price higher or lower than the right price. Here he discusses ten such anomalous prices and shows how investors might--or might not--be able to exploit these situations for profit.
Author: Wayne Ferson Publisher: MIT Press ISBN: 0262039370 Category : Business & Economics Languages : en Pages : 497
Book Description
An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
Author: Thomas N. Bulkowski Publisher: John Wiley & Sons ISBN: 1118045858 Category : Business & Economics Languages : en Pages : 1145
Book Description
In this revised and expanded second edition of the bestselling Encyclopedia of Chart Patterns, Thomas Bulkowski updates the classic with new performance statistics for both bull and bear markets and 23 new patterns, including a second section devoted to ten event patterns. Bulkowski tells you how to trade the significant events -- such as quarterly earnings announcements, retail sales, stock upgrades and downgrades -- that shape today?s trading and uses statistics to back up his approach. This comprehensive new edition is a must-have reference if you're a technical investor or trader. Place your order today. "The most complete reference to chart patterns available. It goes where no one has gone before. Bulkowski gives hard data on how good and bad the patterns are. A must-read for anyone that's ever looked at a chart and wondered what was happening." -- Larry Williams, trader and author of Long-Term Secrets to Short-Term Trading
Author: Cheng F. Lee Publisher: Center for PBBEFR & Airiti Press ISBN: 9864371290 Category : Business & Economics Languages : en Pages :
Book Description
Advances in Quantitative Analysis of Finance and Accounting (New Series) is an annual publication designed to disseminate developments in the quantitative analysis of finance and accounting. The publication is a forum for statistical and quantitative analyses of issues in finance and accounting as well as applications of quantitative methods to problems in financial management, financial accounting, and business management. The objective is to promote interaction between academic research in finance and accounting and applied research in the financial community and the accounting profession.
Author: Joel Hasbrouck Publisher: Oxford University Press ISBN: 0198041306 Category : Business & Economics Languages : en Pages : 209
Book Description
The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Author: Leonard Zacks Publisher: John Wiley & Sons ISBN: 1118127765 Category : Business & Economics Languages : en Pages : 352
Book Description
Investment pioneer Len Zacks presents the latest academic research on how to beat the market using equity anomalies The Handbook of Equity Market Anomalies organizes and summarizes research carried out by hundreds of finance and accounting professors over the last twenty years to identify and measure equity market inefficiencies and provides self-directed individual investors with a framework for incorporating the results of this research into their own investment processes. Edited by Len Zacks, CEO of Zacks Investment Research, and written by leading professors who have performed groundbreaking research on specific anomalies, this book succinctly summarizes the most important anomalies that savvy investors have used for decades to beat the market. Some of the anomalies addressed include the accrual anomaly, net stock anomalies, fundamental anomalies, estimate revisions, changes in and levels of broker recommendations, earnings-per-share surprises, insider trading, price momentum and technical analysis, value and size anomalies, and several seasonal anomalies. This reliable resource also provides insights on how to best use the various anomalies in both market neutral and in long investor portfolios. A treasure trove of investment research and wisdom, the book will save you literally thousands of hours by distilling the essence of twenty years of academic research into eleven clear chapters and providing the framework and conviction to develop market-beating strategies. Strips the academic jargon from the research and highlights the actual returns generated by the anomalies, and documented in the academic literature Provides a theoretical framework within which to understand the concepts of risk adjusted returns and market inefficiencies Anomalies are selected by Len Zacks, a pioneer in the field of investing As the founder of Zacks Investment Research, Len Zacks pioneered the concept of the earnings-per-share surprise in 1982 and developed the Zacks Rank, one of the first anomaly-based stock selection tools. Today, his firm manages U.S. equities for individual and institutional investors and provides investment software and investment data to all types of investors. Now, with his new book, he shows you what it takes to build a quant process to outperform an index based on academically documented market inefficiencies and anomalies.
Author: H. Charles Sparks
Author: H. Charles Sparks
Author: Paul Brockman
Author: Wing-Keung Wong
Author: Vijay Singal
Author: Wayne Ferson
Author: Thomas N. Bulkowski
Author: Cheng F. Lee
Author: George William Schwert
Author: Joel Hasbrouck
Author: Leonard Zacks