This paper tests risk and overreaction explanations of the book-to-market equity (BE/ME) premium in returns by focusing on the joint relationship between distress and BE/ME. Within the most distressed firms, the difference in returns between high and low book-to-market securities is more than twice as large as that in non-distressed firms, and is largely driven by extremely low returns on firms...

Markowitz model is the first modern formulation of portfolio optimization problem. Relyingon historical return of stocks as basic information and using variance as a risk measure aretow drawbacks of this model. Since Markowitz model has been presented, many effortshave been done to remove theses drawbacks. On one hand several better risk measures havebeen introduced and proper models have been ...

The Anatomy of Fluctuations in Book/Market Ratios We analyze trading activity accompanying equities' year-to-year switches from " growth " (low book-to-market ratios) to " value " (high book-to-market ratios), and vice versa. We find that a large book/market ratio increase, i.e., a shift from growth to value, is accompanied by a strongly negative small-trade order imbalance. Large-trade imbalan...

Although a lot of the empirical research have studied the relationship between changes of oil price and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the Greater China region (China, Hong Kong, and Taiwan). Therefore, the main goal of this paper is to apply a detail monthly data from 1997/7 to 2008/9 to fill up this ...

The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...

Existing literature has found no evidence of market-timing ability by mutual funds using tests based on fund returns. This paper proposes alternative market-timing tests based on observed fund holdings. The holdings-based measures are shown to be more powerful than the return-based measures, and are not subject to “artificial timing” bias. Applying the holdings-based tests, we find strong evide...

Coordination of market decisions with other aspects of operations management such as production and inventory decisions has long been a meticulous research issue in supply chain management. Generally, changes to the original lot-sizing policy stimulated by market prices may impose remarkable deviation revenue throughout the supply and demand chain system. This paper examines how to set the chan...

We use a standard single-agent model to conduct a simple consumption growth accounting exercise. Consumption growth is driven by news about current and expected future returns on the market portfolio. The market portfolio includes financial and human wealth. We impute the residual of consumption growth innovations that cannot be attributed to either news about financial asset returns or future ...

We examine the investment behavior of market participants within di€erent international markets (i.e., US, Hong Kong, Japan, South Korea, and Taiwan), speci®cally with regard to their tendency to exhibit herd behavior. We ®nd no evidence of herding on the part of market participants in the US and Hong Kong and partial evidence of herding in Japan. However, for South Korea and Taiwan, the two em...