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A Cognitive Theory of Corporate Disclosures Academic Article
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A Protocol for Factor Identification Working Paper
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A Theory of Trading in Stock Index Futures Academic Article
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A bootstrap test for predictability of asset returns Academic Article
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A case study on Incitec Pivot's acquisition strategy of dyno nobel Academic Article
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A closed-form solution to American options under general diffusion processes Academic Article
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A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests Academic Article
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A survey of Islamic banking and finance literature: Issues, challenges and future directions Academic Article
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A test of the Samuelson Hypothesis using realized range Academic Article
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Accounting quality in the pre-/post-IFRS adoption periods and the impact on audit committee effectiveness - evidence from Australia Academic Article
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Adverse selection and the market for consumer credit Academic Article
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Agency costs, ownership structure and corporate governance compliance: A private contracting perspective Academic Article
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Algorithmic and high frequency trading in Asia-Pacific, now and the future Academic Article
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Algorithmic trading in turbulent markets Academic Article
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Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 Academic Article
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An Efficient Algorithm for Solving Large-Scale Portfolio Problems Academic Article
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An Empirical Analysis of Stock and Bond Market Liquidity Academic Article
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An Exploratory Econometric Model of Financial Markets Academic Article
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An analysis of asymmetry in foreign currency exposure of the Australian equities market Academic Article
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An international market model and exchange rate risk: Australian evidence Academic Article
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Analysis of price reactions to interim dividend reductions — a note Academic Article
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Annals of Finance Journal
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Announcements of bonus share options: Signalling of the quality of firms Academic Article
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Anonymity and order submissions Academic Article
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Anonymity and the Information Content of the Limit Order Book Academic Article
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Applied Economics Letters Journal
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Applied Financial Economics Journal
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Are Asian stock markets efficient? Evidence from new multiple variance ratio tests Academic Article
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Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation Working Paper
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Are Islamic stock returns predictable? A global perspective Academic Article
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Are price limits really bad for equity markets? Academic Article
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Asia-Pacific Financial Markets Journal
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Asset price bubbles and economic welfare Academic Article
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Asymmetric Information and News Disclosure Rules Academic Article
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Automatic variance ratio test under conditional heteroskedasticity Academic Article
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Bank governance and crisis-period efficiency: a multinational study on Islamic and conventional banks Academic Article
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Bank modelling methodologies: A comparative non-parametric analysis of efficiency in the Japanese banking sector Academic Article
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Bank performance and risk-taking - does directors' busyness matter? Academic Article
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Behavioural Finance: A Review and Synthesis Academic Article
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Board independence, investment opportunity set and performance of South African firms Academic Article
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Board quality and the cost of debt capital: the case of bank loans Academic Article
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Brand perceptions and the market for common stock Academic Article
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CORPORATE FINANCIAL STRATEGIES AND MARKET MEASURES OF RISK AND RETURN Academic Article
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COVID-19 lockdowns, stimulus packages, travel bans, and stock returns Academic Article
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Can economic policy uncertainty predict stock returns? Global evidence Academic Article
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Can financial innovation succeed by catering to behavioral preferences? Evidence from a callable options market Working Paper
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Capital Market Efficiency and Arbitrage Efficacy Academic Article
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Capital structure effects on the prices of equity call options Academic Article
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Circuit Breakers and Market Volatility: A Theoretical Perspective Academic Article
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Classroom Simulation as a Pedagogical Device in Teaching Money and Banking Academic Article
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Co-Movements in Bid-Ask Spreads and Market Depth Academic Article
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Cognitive dissonance, sentiment, and momentum Academic Article
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Common liquidity shocks and market collapse: Lessons from the market for perps Academic Article
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Commonality in liquidity Academic Article
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Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam Academic Article
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Corporate Governance Structure and the Valuation of Australian Firms: Is There Value in Ticking the Boxes? Academic Article
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Corporate boards and performance pricing in private debt contracts Academic Article
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Corporate governance and liquidity creation nexus in Islamic banks—Is managerial ability a channel? Academic Article
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Corporate governance and ownership structure of target companies and the outcome of takeovers Academic Article
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Corporate governance reform and family firms: Evidence from an emerging economy Academic Article
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Corporate governance, firm value and risk: Past, present, and future Academic Article
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Coskewness risk decomposition, covariation risk, and intertemporal asset pricing Academic Article
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Credit quality implied momentum profits for Islamic stocks Academic Article
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Cross-country determinants of ownership choices in cross-border acquisitions: Evidence from emerging markets Academic Article
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Currency option pricing: Mean reversion and multi-scale stochastic volatility Academic Article
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Directors’ Recommendations in Takeovers: An Agency and Governance Analysis Academic Article
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Divergence of US and Local Returns in the After-market for Equity Issuing ADRs Academic Article
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Diversification evidence from international equity markets using extreme values and stochastic copulas Academic Article
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Dividend reductions, the timing of dividend payments and information content Academic Article
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Do constraints on financial and operating leverage affect the performance of Islamic equity portfolios? Academic Article
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Do different types of political connections affect corporate investments? Evidence from Malaysia Academic Article
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Do financial technology firms influence bank performance? Academic Article
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Do wealthy investors have an informational advantage? Evidence based on account classifications of individual investors Working Paper
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Does Carbon Risk Matter in Firm Dividend Policy? Evidence from a Quasi-Natural Experiment in an Imputation Environment Academic Article
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Does Islamic stock sensitivity to oil prices have economic significance? Academic Article
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Does average skewness matter? Evidence from the Taiwanese stock market Academic Article
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Does exposure to foreign competition affect stock liquidity? Evidence from industry-level import data Academic Article
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Does program trading contribute to excess comovement of stock returns? Academic Article
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Does takeover activity affect stock price crash risk? Evidence from international M&A laws Academic Article
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Dual-class premium, corporate governance, and the mandatory bid rule: Evidence from the Brazilian stock market Academic Article
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Economic Notes Journal
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Economic Significance of Predictable Variations in Stock Index Returns Academic Article
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Economies of scale and scope in UK building societies: an application of the translog multiproduct cost function Academic Article
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Economies of scale in UK building societies: A re-appraisal using an entry/exit model Academic Article
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Effective Governance, Financial Markets, Financial Institutions & Crises Academic Article
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Efficiency and productivity change in UK banking Academic Article
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Efficiency in Japanese banking: An empirical analysis Academic Article
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Emerging Markets Review Journal
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Empirical tests on the liquidity-adjusted capital asset pricing model Academic Article
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Employee treatment and bank default risk during the credit crisis Academic Article
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Equity market momentum: A synthesis of the literature and suggestions for future work Academic Article
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Ethical investing and capital structure Academic Article
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European Financial Management Journal
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Evidence on the speed of convergence to market efficiency Academic Article
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Exchange rate effects of US government shutdowns: Evidence from both developed and emerging markets Academic Article
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Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates Academic Article
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Factor reversal in the euro zone stock returns: Evidence from the crisis period Academic Article
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Feedback and the success of irrational investors☆ Academic Article
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Feedback from Stock Prices to Cash Flows Academic Article
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Finance Research Letters Journal
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Financial Analysts Journal Journal
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Financial Management Journal
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Financial crisis and stock market efficiency: Empirical evidence from Asian countries Academic Article
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Financial deregulation and economies of scale and scope: Evidence from the major Australian banks Academic Article
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Financial market shocks and the macroeconomy Academic Article
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Flexible price limits: The case of Tokyo Stock Exchange Academic Article
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Foreign versus local investors: Who knows more? Who makes more? Academic Article
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Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration Academic Article
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Further evidence on the announcement effect of bonus shares in an imputation tax setting Academic Article
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Global Finance Journal Journal
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High-Frequency Measures of Informed Trading and Corporate Announcements Working Paper
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Homogeneous Risk Measures and the Construction of Composite Assets Academic Article
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Impact of Oil Price on Australian Stock Market Returns Academic Article
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Improving mental health inequality? Some initial evidence from Australia Academic Article
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Information and the intermediary: Are market intermediaries informed traders in electronic markets? Academic Article
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Information or noise: What does algorithmic trading incorporate into the stock prices? Academic Article
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Information, Expected Utility, and Portfolio Choice Academic Article
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Information-based trading and information propagation: Evidence from the exchange traded fund market Academic Article
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Informed Speculation and Hedging in a Noncompetitive Securities Market Academic Article
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Informed trading around earnings announcements in Australia Academic Article
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Insider ownership and dividend policy in an imputation tax environment Academic Article
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Institutional trading before dividend reduction announcements Academic Article
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Integrated Reporting and Earnings Quality: The Moderating Effect of Agency Costs Academic Article
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Integration and interdependence of stock and foreign exchange markets: an Australian perspective Academic Article
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Interim dividend cuts and omissions in the UK Academic Article
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International Review of Financial Analysis Journal
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International cross-listings by Australian firms: A stochastic dominance analysis of equity returns Academic Article
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International stock return predictability: Evidence from new statistical tests Academic Article
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Intraday volatility interaction between the crude oil and equity markets Academic Article
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Intraweek and intraday trade patterns and dynamics Academic Article
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Introduction Chapter
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Investment Opportunity Set and Voluntary Disclosure of Prospective Information: A Simultaneous Equations Approach Academic Article
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Investment analysis and price formation in securities markets Academic Article
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Investor Psychology and Security Market Under- and Overreactions Academic Article
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Investor sentiment, executive compensation, and corporate investment Academic Article
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Is the profitability of Indian stocks compensation for risks? Academic Article
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Is there a financial news risk premium in Islamic stocks? Academic Article
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Islamic banking, costly religiosity, and competition Academic Article
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Islamic spot and index futures markets: Where is the price discovery? Academic Article
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Journal of Banking and Finance Journal
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Journal of Business Finance and Accounting Journal
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Journal of Corporate Finance Journal
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Journal of Economics and Business Journal
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Journal of Empirical Finance Journal
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Journal of Financial Economics Journal
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Journal of Financial Intermediation Journal
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Journal of Financial Markets Journal
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Journal of Financial Research Journal
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Journal of Financial Services Research Journal
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Journal of Financial and Quantitative Analysis Journal
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Journal of Futures Markets Journal
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Journal of International Financial Markets, Institutions and Money Journal
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Journal of International Money and Finance: theoretical and empirical research in international economics and finance Journal
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Journal of Multinational Financial Management Journal
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Jumps, news, and subsequent return dynamics: an intraday study Academic Article
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Lagged order flows and returns: A longer-term perspective Academic Article
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Learning from experience and trading volume Academic Article
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Liquidity Dynamics Across Small and Large Firms Book
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Liquidity Dynamics Across Small and Large Firms Academic Article
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Liquidity Dynamics and Cross-Autocorrelations Academic Article
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Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stocks Academic Article
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Liquidity and market efficiency☆ Academic Article
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Liquidity and the Law of One Price: The Case of the Futures-Cash Basis Academic Article
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Liquidity provision and informed trading by individual investors Academic Article
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Liquidity skewness Academic Article
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Liquidity, Return and Order-Flow Linkages Between REITs and the Stock Market Academic Article
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Local culture and tax avoidance: evidence from gambling preference behavior Academic Article
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Long-Lived Private Information and Imperfect Competition Academic Article
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Long-term reversals in the corporate bond market Working Paper
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Market Liquidity and Trading Activity Academic Article
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Market Making, the Tick Size, and Payment-for-Order Flow: Theory and Evidence Academic Article
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Market microstructure and asset pricing: On the compensation for illiquidity in stock returns Academic Article
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Market volatility, liquidity shocks, and stock returns: Worldwide evidence Academic Article
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Momentum strategies for Islamic stocks Academic Article
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Moving average distance as a predictor of equity returns Academic Article
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Multi-market trading and the informativeness of stock trades: An empirical intraday analysis Academic Article
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New evidence on the impact of fees on mutual fund performance of two types of funds Academic Article
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News Events, Information Acquisition, and Serial Correlation Academic Article
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Nonsecular Regularities in Returns and Volume Academic Article
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O/S: The relative trading activity in options and stock Academic Article
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Oil price and stock returns of consumers and producers of crude oil Academic Article
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On Intraday Risk Premia Academic Article
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On Sharia'a-compliance, positive assortative matching, and return to investment banking Academic Article
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On rules versus discretion in procedures to halt trade Academic Article
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On the Stability of the Cross-Section of Expected Stock Returns in the Cross-Section: Understanding the Curious Role of Share Turnover Academic Article
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Optimal financial education Academic Article
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Options trading activity and firm valuation Academic Article
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Order aggressiveness of institutional and individual investors Academic Article
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Order imbalance and individual stock returns: Theory and evidence Academic Article
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Order imbalance, liquidity, and market returns Academic Article
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Order imbalances and market efficiency: Evidence from the Taiwan Stock Exchange Academic Article
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Overconfidence, Arbitrage, and Equilibrium Asset Pricing Academic Article
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Overconfident institutions and their self-attribution bias: evidence from earnings announcements Academic Article
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Ownership and control in a double decision framework for raising capital Academic Article
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Ownership structure and tax-friendly dividends Academic Article
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PORTFOLIO DISTRIBUTIONS AND TESTS OF SECURITY SELECTION MODELS* Academic Article
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Pacific-Basin Finance Journal Journal
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Partial-control versus full-control acquisitions: Does target corporate governance matter? Evidence from eight East and Southeast Asian countries Academic Article
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Pension deficits and the design of private debt contracts Academic Article
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Perspectives: Nonsecular Regularities in Returns and Volume Academic Article
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Political connections, political cycles and stock returns: evidence from Iran Academic Article
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Powerful CEOs and stock price crash risk Academic Article
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Predicting exchange rate returns Academic Article
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Predictive regression: An improved augmented regression method Academic Article
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Price discovery and asset pricing Academic Article
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Price dynamics of individual stocks: Jumps and information Academic Article
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Price limits and volatility Academic Article
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Public disclosure in acquisitions Academic Article
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Public information arrival and volatility of intraday stock returns Academic Article
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Quantile forecasts of daily exchange rate returns from forecasts of realized volatility Academic Article
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Quantitative Finance Journal
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Quarterly Review of Economics and Finance Journal
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Real Estate Economics Journal
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Real earnings management in family firms: Evidence from an emerging economy Academic Article
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Recent trends in trading activity and market quality Academic Article
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Related party transactions, value relevance and informativeness of earnings: Evidence from four economies in East Asia Academic Article
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Reprint of: Stock salience and the asymmetric market effect of consumer sentiment news Academic Article
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Research in International Business and Finance Journal
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Review of Financial Economics Journal
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Review of Pacific Basin Financial Markets and Policies Journal
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Review of Quantitative Finance and Accounting Journal
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Rights Offerings, Subscription Period, Shareholder Takeup, and Liquidity Academic Article
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Rights offerings, takeup, renounceability, and underwriting status Academic Article
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Risk Aversion, Liquidity, and Endogenous Short Horizons Academic Article
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Risk Aversion, Market Liquidity, and Price Efficiency Academic Article
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Risk in Islamic banking and corporate governance Academic Article
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Risk perceptions and international stock market liquidity Academic Article
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Risk-adjusted efficiency and corporate governance: Evidence from Islamic and conventional banks Academic Article
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Sample-Dependent Results Using Accounting and Market Data: Some Evidence Academic Article
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Security Analysis and Trading Patterns When Some Investors Receive Information Before Others Academic Article
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Sell-order liquidity and the cross-section of expected stock returns Academic Article
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Short-Term Reversals: The Effects of Past Returns and Institutional Exits Academic Article
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Short-term contrarian investing—is it profitable? … Yes and No Academic Article
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Significance testing in empirical finance: a critical review and assessment Academic Article
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Skill or Effort? Institutional Ownership and Managerial Efficiency Academic Article
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Smart money, dumb money, and capital market anomalies Academic Article
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Social Networks and Corporate Governance Academic Article
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Some evidence on the countercyclicality of the trade balance Academic Article
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Stock market liquidity and trading activity: Is China different? Academic Article
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Stock return forecasting: Some new evidence Academic Article
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Stock return predictability and the adaptive markets hypothesis: Evidence from century-long U.S. data Academic Article
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Stock returns and investors' mood: Good day sunshine or spurious correlation? Academic Article
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Stock salience and the asymmetric market effect of consumer sentiment news Academic Article
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Substitution between monetary assets and consumer goods: New evidence on the monetary transmission mechanism Academic Article
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Systematic liquidity in the long run Academic Article
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Target CEO age, ownership decisions, and takeover outcomes Academic Article
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Target corporate governance, acquirers' location choices, and partial acquisitions Academic Article
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Taxes and dividend clientele: Evidence from trading and ownership structure Academic Article
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Technical and scale efficiency in UK building societies Academic Article
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Technical efficiency of Islamic and conventional banks with undesirable output: evidence from a stochastic meta-frontier directional distance function Academic Article
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Technology-investing countries and stock return predictability Academic Article
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Terrorist attacks and oil prices: Hypothesis and empirical evidence Academic Article
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The Cross Section of Analyst Recommendations Book
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The Cross Section of Analyst Recommendations Academic Article
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The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? Academic Article
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The Cross-Section of Expected Trading Activity Academic Article
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The Determinants of Average Trade Size Academic Article
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The Dynamics of Market Efficiency Working Paper
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The European Journal of Finance Journal
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The Going-Public Decision and the Development of Financial Markets Academic Article
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The Journal of Business (Chicago) Journal
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The Journal of Finance Journal
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The Macroeconomic Uncertainty Premium in the Corporate Bond Market Working Paper
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The Review of Financial Studies Journal
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The Samuelson hypothesis in futures markets: An analysis using intraday data Academic Article
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The affect heuristic and stock ownership: A theoretical perspective Working Paper
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The cross section of expected stock returns in the Chinese A-share market Academic Article
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The cross-section of expected stock returns: What have we learnt from the past twenty-five years of research? Academic Article
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The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market Academic Article
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The determinants of foreign direct investment : an extreme bounds analysis. Academic Article
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The determinants of foreign direct investment: An extreme bounds analysis Academic Article
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The determinants of household risky asset holdings : Australian evidence on background risk and other factors Academic Article
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The determinants of household risky asset holdings: Australian evidence on background risk and other factors Academic Article
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The effect of anonymity on price efficiency: Evidence from the removal of broker identities Academic Article
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The effects of financial distress and capital structure on the work effort of outside directors Academic Article
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The evolution of price discovery in us equity and derivatives markets Academic Article
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The ex ante effects of trade halting rules on informed trading strategies and market liquidity Academic Article
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The ex-date impact of special dividend announcements: A note Academic Article
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The impact of exchange rates on stock market returns: new evidence from seven free-floating currencies Academic Article
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The impact of macroeconomic and regulatory factors on bank efficiency: A non-parametric analysis of Hong Kong’s banking system Academic Article
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The implications of liquidity and order flows for neoclassical finance Academic Article
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The information content of special orders Academic Article
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The intra-industry impact of special dividend announcements: contagion versus competition Academic Article
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The intraday price behaviour of Australian and New Zealand cross-listed stocks Academic Article
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The power of bad: The negativity bias in Australian consumer sentiment announcements on stock returns Academic Article
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The pricing of foreign exchange risk in the Australian equities market Academic Article
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The sidedness and informativeness of ETF trading and the market efficiency of their underlying indexes Academic Article
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The term structure of bond market liquidity and its implications for expected bond returns Academic Article
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The term structure of credit spreads, firm fundamentals, and expected stock returns Academic Article
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The underdog should always fire the first salvo against Brazil Academic Article
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Theory-Based Illiquidity and Asset Pricing Academic Article
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Theory-Based Illiquidity and Asset Pricing Academic Article
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To pay or not pay: Board remuneration and insolvency risk in credit unions Academic Article
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Trading activity and expected stock returns Academic Article
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Trading activity in the equity market and its contingent claims: An empirical investigation Academic Article
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Trading volume, realized volatility and jumps in the Australian stock market Academic Article
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Transaction Taxes and Financial Market Equilibrium Academic Article
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UK interim and final dividend reductions: a note on price reaction Academic Article
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Underpricing, stock allocation, ownership structure and post-listing liquidity of newly listed firms Academic Article
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Using intraday data to test for effects of index futures on the underlying stock markets Academic Article
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Variables in dollar terms versus in rate terms: The case of market feedback on merger negotiations Academic Article
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Venture capitalists' value-enhancing activities under weak protection of law Academic Article
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Who trades in competing firms around earnings announcements Academic Article
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Will precious metals shine? A market efficiency perspective Academic Article