We find that accruals mispricing is more pronounced for stocks with higher level of probability of informed trading (PIN). We interpret it as the evidence of informed traders using their proprietary information on accruals quality to trade against average investors. The informed traders’ arbitrage generates an annualized size and book-to-market adjusted abnormal return of 19.81% over the 1993-2...

Alternative selection of a portfolio has been a challenging research area in finance and investment decision making. Recent advances in single Decision Support Systems (DSS), soft computing and machine learning models are to solve the problems in selection of alternatives under uncertain market and risk environments. These models have not considered concurrently uncertain values including quant...

We construct term structures for expected earnings growth by indexing analyst forecasts according to their maturity. Growth stocks, large stocks, and past losers have relatively steep convex earnings term structures in comparison to value stocks, small stocks, and past winners respectively. These initial earnings term structures overestimate (underestimate) the expected earnings growth of growt...

The role of abnormal trading volume on Italian Stock Market is here investigated. According to Fama’s definition of Market Efficiency, no relevancy is left for trading volume. Prices fully reflect all the firm information, so that extra trading investor’s activity cannot have any informative power. In this paper, it is supposed that abnormal volumes can be considered as a signal for informed tr...

This study examines trading activities of market makers for 25 FTSE-100 component stocks to assess the competitiveness of the London Stock Exchange (LSE). The results show that market makers can obtain relatively large shares of public order flows through posting competitive prices with significant quote depths. Market share leaders do not rely on preferenced trading in securing public order fl...

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have ...

This paper studies the performance of delta-neutral hedging strategies on meme stocks under Black-Scholes-Model to help investors find possibilities reducing risk caused by high volatility in stock trading. In study, one most followed individual r/wallstreetbets forum-GameStop (GME)-is selected as underlying, and data 10 options with different strike prices short term are collected daily implie...

Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying how news of all possible types (geopolitical, environmental, social, financial, economic, etc.) affect trading and the pricing of firms in organized stock mar...

Two major changes occurred on the Nasdaq Stock Market during 1997: the implementation of the SEC’s Order Handling Rules, and a reduction in the quotation ticksize for many Nasdaq stocks to one-sixteenth from one-eighth. This paper presents a detailed empirical analysis of the impact of these changes on spreads, depth, use of Electronic Communications Networks, and market making positions. Of sp...

This paper documents the tendency of mutual fund managers to follow analyst recommendation revisions when they trade stocks, and the impact of analyst revisioninduced mutual fund “herds” on stock prices. We find that mutual fund herds follow consensus revisions in analyst recommendations, controlling for common investment signals that affect both analyst revisions and mutual fund trading. Conse...