37 research outputs found
Recommended from our members
Reexamination of the link between insider trading and price efficiency
This paper investigates insider trading patterns around quarterly earnings announcements of the companies listed on the Warsaw Stock Exchange. The results are generally consistent with the notion that insiders exploit their foreknowledge of accounting disclosures but cease trading aggressively immediately before the publication date. Their informed trading is shifted to an earlier period in order to make it less explicit and minimize the danger of possible legal action. Furthermore, insider dealing has been shown to have a negligible net effect on stock price efficiency, as the benefits of information transmission are likely to be counterbalanced by the reduction in information acquisition by outsiders. In particular, it has been shown that the market professionals are reluctant to follow companies in which insiders trade actively
The gold price in times of crisis
Motivated by the recent gold price boom, this paper examines whether an asset bubble exists in the gold market. We approximate gold's fundamental value using several econometric models and apply a Markov regime-switching Augmented DickeyâFuller (ADF) test which has substantial power for detecting explosive behavior. Although our results are sensitive to the specification of the fundamental value, we show that a model accounting for the current European sovereign debt crisis accurately tracks the gold price observed in the market. We also note that inflation in a general commodity price index and gold ETF demand have a potential to explain the price trajectory
Stock market returns and the content of annual report narratives
This paper uses the tools of computational linguistics to analyze the qualitative part of annual reports of UK listed companies. More specifically, the frequency of words associated with different language indicators is used to forecast future stock returns. We find that two of these indicators, capturing âactivityâ and ârealismâ, predict subsequent price increases, even after controlling for a wide range of factors. Elevated values of these two linguistic variables, however, are not symptomatic of exacerbated risk. Consequently, investors are advised to peruse annual report narratives, as they contain valuable information that may not yet have been discounted in the prices
When EU Leaders Speak, the Markets Listen
We use content analysis software to examine certain characteristics of communications arising from European Council meetings. These characteristics appear to explain a large proportion of variation in stock returns around the meeting dates. More specifically, stock market investors react favourably when the conclusions and declarations issued by heads of states convey a positive sentiment and demonstrate a stance of moral rectitude. On the other hand, the returns tend to be negative when the communications are obfuscated by an excessive use of abstract words and fixated on regional rather than global issues
Political environment and foreign direct investment: Evidence from OECD countries
This paper examines the role that political factors play in the investment location decisions of multinational enterprises. It has been found that foreign direct investors shy away from countries with excessive government spending, especially when this spending is directed towards the military. They also seem to have a slight preference for leftist executives and be negatively predisposed toward situations in which the ruling party has held power for prolonged periods of time. Ceteris paribus, more FDI flows to countries that have presidential systems, established political parties and where the party of the executive controls all houses with lawmaking powers
Do mutual fund managers exploit the Ramadan anomaly? Evidence from Turkey
Recent literature shows that the holy month of Ramadan exerts a positive influence on investor sentiment in predominantly Muslim countries. This anomaly has been found to be particularly pronounced in Turkey. We therefore examine whether mutual fund managers investing in Turkish stocks are able to benefit from the Ramadan effect. We find that risk-adjusted performance of domestic institutional funds, hybrid funds and foreign Turkish equity funds is substantially higher during Ramadan compared to the rest of the year. By contrast, domestic index funds fail to deliver higher abnormal returns as they are adversely affected by increased money inflows during Ramadan
A Political Menace or Commercial Opportunity? Chinese Sovereign Wealth Fundss Investments in the European Union
Price Fluctuations and the Use of Bitcoin: An Empirical Inquiry
Over recent years, interest has been growing in Bitcoin, an innovation that has the potential to play an important role in e-commerce and beyond. The aim of our paper is to provide a comprehensive empirical study of the payment and investment features of Bitcoin, and their implications for the conduct of e-commerce. Since network externality theory suggests that the value of a network and its take-up are interlinked, we investigate both adoption and price formation. We discover that its returns are driven primarily by Bitcoinâs popularity, the sentiment expressed in newspaper reports on cryptocurrency, and total number of transactions. The paper also reports on the first global survey of merchants who have adopted this technology, and we model the share of sales paid for with this alternative currency, using both ordinary and Tobit regressions. Our analysis examines how country-, customer-, and company-specific characteristics interact with the proportion of sales attributed to Bitcoin. We find that company features, use of other payment methods, customersâ knowledge about Bitcoin, and the size of both the official and unofficial economy are significant determinants. The results will be of interest to traders who seek to understand factors driving prices and will help to inform vendors as to the most favorable circumstances for adopting the currency for online transactions