94 research outputs found
Transaction Costs, Liquidity and Expected Returns at the Berlin Stock Exchange, 1892-1913
We estimate effective spreads and round-trip transaction costs at the Berlin Stock Exchange for the period 1892-1913 using daily stock market returns for a sample of 27 stocks. Our results show that transaction costs at the main stock exchange in a bank-based financial system at the turn of the 20th century were quite low and about comparable to transaction costs in modern markets. Nonetheless, transaction costs varied substantially over time and across securities, whereby the cross-sectional variation could be substantially explained by firm size and time variation by crises. Furthermore, we find surprising evidence that transaction costs decrease the expected excess returns. Thereby size and momentum premia are of expected signs while market beta has no significant influence on the cross-sectional return variation
International equity portfolio investment and enforcement of insider trading laws: a cross-country analysis
In this study, we examine the effects of stringent insider trading laws’ enforcement, institutions and stock market development on international equity portfolio allocation using data from 44 countries over the period 2001-2015. Our results suggest that stringent insider trading laws and their enforcement exert a positive and significant impact on international portfolio investment allocation. Further analysis indicates that the interaction between a country’s institutional quality, stock market development and enforcement of insider trading laws have a positive and significant effect on international equity portfolio allocation. The findings of this study have implications for the design of portfolio investment trading strategies and contribute to the literature on foreign equity investment decisions
001 Taking Matters Into Their Own Hands: Men Seeking Pornography Addiction Advice From a Nontraditional Online Therapy Source
Block Shareholders and Stock Liquidity in the Indian Stock Market: Lack of Trading or Information Asymmetry?
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