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Purpose – Empirical researchers should recognize that opening and closing prices are not simple reflections of underlying fundamental values, as studies of stock price behavior have documented a U‐shaped intra‐day volatility pattern that is a manifestation of noise. While implicit transaction...
Purpose – The purpose of this paper is to determine if macroeconomic announcements affect the Fama‐French market, size, book‐to‐market risk factors and momentum factor. Design/methodology/approach – Using unexpected announcements of major macroeconomic indicators, a study is made of how daily...
Purpose – Market‐timing skills of fund managers are an important issue for both mutual fund investors and researchers. The purpose of this paper is to analyze the market‐timing skills and determinants of performance of sector funds across business cycles to see whether sector fund managers...
Purpose – The purpose of this paper is to study the role of corporate governance in abnormal returns around announcements of seasoned equity offerings (SEOs) by publicly traded US firms from 2001 to 2004. Design/methodology/approach – Cross‐sectional regression analysis was used to determine...
Purpose – The purpose of this paper is to examine the association between earnings management and the gender of the firm's executives. Design/methodology/approach – Panel regressions of discretionary accruals on a set of female executive dummies and firm‐specific controls. Findings – The results...
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