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, Pulvino, and Stafford 2004; Asquith, Bruner, and Mullins 1987). Another approach, the computation of long - run abnormal returns , may be biased due to unobserved differences between the firms that merge ...
delay in the correction to mispricing, we develop our third hypothesis as follows. Hypothesis 3 (Presence of limits to arbitrage). The predictive power of NAT for future stock returns should be “ long ...
. [28] assessed the predictive power of trading volume for short‐term reversals in stock returns on the US and South Korean markets. [29] examined the role of trading volume and volatility in the Russian ...
and control variables. The results are significant for both value-weighted and equal-weighted returns , when micro-cap stocks are excluded, and for a sample of large cap stocks . The premium is particularly ...
long -short portfolio. Such a course of action ignores any information on the covariance matrix of stock returns . Historically, it has been difficult to estimate the covariance matrix for a large universe ...
are followed by abnormally low stock returns for the next five years. At this point a generally accepted explanation for these findings does not exist. Though Loughran and Ritter (1995) argue that these results ...
be undervalued. We find that firms’ innovative originality strongly predicts higher, more persistent, and less volatile profitability and higher abnormal stock returns , findings that are robust to extensive ...
across different time-periods encompassed by our sample. To illustrate our empirical approach and broader findings, we first characterize the return behavior of the profitability and investment factors ...
) and the subsequent literature on the size anomaly documented two important empirical regularities. First, it showed that the logarithm of a stock’s market value is an inverse predictor of its return . Second, when risk ...
uncertainty during the crisis that caused the cointegration fluctuation between the stock markets and also a contribution focused on the financial crisis of 1997–98, 2008–9, and COVID-19 on the short- and long ...
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