Trading Activities and Cross-Sectional Variation in Stock Expected Return: Evidence from Kuala Lumpur Stock Exchange

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Processing of Kuala Lumpur Stock Exchange Resident on Hadoop MapReduce

The Kuala Lumpur Stock Exchange (KLSE) is the big data that need to be stored, processed and analyzed as it trade day-to-day. Analyzing and finding similar components (stock market price) may assist investor. However, it is not easy to find the similar components in the KLSE. This is because the components in the KLSE are changing everyday in the market. This paper focus is on using the Hadoop ...

متن کامل

Trading Turnover and Expected Stock Returns: The Trading Frequency Hypothesis and Evidence from the Tokyo Stock Exchange

This paper tries to find a widely accessible measure of liquidity and studies its impact on asset pricing. Using trading turnover as a measure of liquidity and the 19761993 Tokyo Stock Exchange data, I find that, cross-sectionally, stocks with higher turnover tend to have a lower expected return. This evidence is consistent with predictions derived from an Amihud-Mendelson type of transaction c...

متن کامل

An Examination of the Relationship between Values at Risk and Expected Stock Return in Tehran’s Stock Exchange

Abstract The main objective of this study was to examine the relationship between Value at Risk (VaR) and expected returns from 2002 to 2013 in Tehran’s Stock Exchange. In this study parametric value at risk, which considers the distribution of returns as normal and the historical value at risk as abnormal, was used to test the presence of the volatility anomaly in the companies listed i...

متن کامل

Insider trading restrictions and the stock market: Evidence from the Amsterdam Stock Exchange

This paper examines the effect of introducing insider tratlin~; restrictions on the behaviour of the Amsterdam Stock Exchange. From 198'7 on, insiders are no longer allowed to trade two months before an annual earnings announcement. The results indicate that stocks became less liquid (when liquidity is measured by trading volume) when insiders were not allowed to trade. We also find some eviden...

متن کامل

Petrochemical Products Market and Stock Market Returns: Empirical Evidence from Tehran Stock Exchange

While the relationship between stock market return and oil price is of great interest to researchers, previous studies do not investigate stock market return with petrochemical products market. In this paper, we analyzed the relationship between prices of main petrochemical products and stock returns of petrochemical companies in Tehran stock exchange. Using a panel data model and GLS estimatio...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: International Business Research

سال: 2009

ISSN: 1913-9012,1913-9004

DOI: 10.5539/ibr.v2n2p29