1# Library to Find Best eBook for Read
Author : Ali Shakil Khan
Release : 2020
Genre :
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays in Intraday Momentum, Market Efficiency and Market Liquidity by : Ali Shakil Khan
Download or read book Three Essays in Intraday Momentum, Market Efficiency and Market Liquidity written by Ali Shakil Khan. This book was released on 2020. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jun Wang
Release : 2010
Genre : Electronic dissertations
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Three Essays on Momentum by : Jun Wang
Download or read book Three Essays on Momentum written by Jun Wang. This book was released on 2010. Available in PDF, EPUB and Kindle. Book excerpt: Essay 1, Growth/Value, Market-Cap, and Momentum, examines the profitability of style momentum strategies on portfolios based on firm growth/value characteristics and market capitalization. We use monthly total returns of nine S & P style indices to avoid concerns about firm size, liquidity, credit risk, short-sale constraints, and transaction costs. We find that historically buying a past best performing style index and short-selling a past worst performing style index generates economically and statistically significant profit of 0.8% per month over the period June 1995 to March 2009. This profitability remains economically plausible after adjusting for systematic risk, short-sale costs, and transaction costs. Investors may actually implement style momentum strategies on exchange traded funds linked to the S & P style indices. Essay 2, Sector Momentum, examines monthly returns of nine Select Sector SPDRs and finds historically buying past outperforming sectors and selling past underperforming sectors produces economically and statistically significant profits. Investors may be able to not only benefit from SPDRs' low fees, tax efficiency, and trading flexibility, but also exploit SPDRs as asset allocation tools to earn excess returns on sector momentum. For robustness checks, I test sector momentum investing strategies on CRSP listed individual stocks between January 1963 and December 2008 using Global Industry Classifications Standard (GICS) and also find statistically significant payoffs. Essay 3, Momentum Strategies on Global ETFs, examines the price momentum on 15 well-diversified iShares MSCI Country Index ETFs from April 1996 to December 2006. I find statistically and economically significant profits for some momentum strategies: long past winners and short past losers. The results are robust to trading costs and excessive risks.
Author : Wenjin Kang
Release : 2004
Genre : Capital market
Kind : eBook
Book Rating : /5 ( reviews)
Book Synopsis Towards a Better Understanding of Liquidity, Trading Behavior, and Stock Returns by : Wenjin Kang
Download or read book Towards a Better Understanding of Liquidity, Trading Behavior, and Stock Returns written by Wenjin Kang. This book was released on 2004. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thierry Foucault
Release : 2023
Genre : Capital market
Kind : eBook
Book Rating : 069/5 ( reviews)
Book Synopsis Market Liquidity by : Thierry Foucault
Download or read book Market Liquidity written by Thierry Foucault. This book was released on 2023. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--
Author : Wing-Keung Wong
Release : 2022-02-17
Genre : Business & Economics
Kind : eBook
Book Rating : 802/5 ( reviews)
Book Synopsis Efficiency and Anomalies in Stock Markets by : Wing-Keung Wong
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong. This book was released on 2022-02-17. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
