نتایج جستجو برای: tehran stock exchange jel classification g14

تعداد نتایج: 780816  

2005
Andreas Charitou Nikos Vafeas Charis Zachariades

In the backdrop of the creation and collapse of the Cyprus stock market bubble, we document substantial positive abnormal returns around the announcement and execution of stock splits in Cyprus. Split-induced returns cannot be explained by variables proxying for conventional liquidity and signalling hypotheses for stock split activity, and are largely reversed in the post-split months. Post-spl...

The main purpose of this paper is to propose an approach for performance measurement, classification and ranking the investment companies (ICs) by considering internal structure and uncertainty. In order to reach this goal, the interval network data envelopment analysis (INDEA) models are extended. This model is capable to model two-stage efficiency with intermediate measures i...

2016
Hao Jiang Sophia Zhengzi Li Hao Wang

This paper combines a comprehensive sample of intraday firm-level news arrivals with high-frequency price movements of individual stocks, thereby decomposing daily stock returns into news-driven and non-news driven components. Consistent with prior literature, we find that non-news driven return precedes a reversal. For news-driven return, however, we find strong evidence of return continuation...

2002
Pu Shen

In this paper, we present a few simple market-timing strategies that appear to outperform the “buy-and-hold” strategy, with real-time data from 1970 to 2000. Our focus is on spreads between the E/P ratio of the S&P 500 index and interest rates. Extremely low spreads, as compared to their historical ranges, appear to predict higher frequencies of subsequent market downturns in monthly data. We c...

2012
David Hirshleifer Jianfeng Yu

Introducing extrapolation bias into a standard one-sector production-based real business cycle model with recursive preferences reconciles salient stylized facts about business cycles (low consumption volatility and high investment volatility relative to output) and financial markets (high equity premium, volatile stock returns, and a low and smooth riskfree rate) with low relative risk aversio...

2005
Viral V. Acharya Timothy C. Johnson

Insider trading in the credit derivatives market has become a significant concern for regulators and participants. This paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we find significant incremental information revelation in the credit default swap market under circumstances consistent with the use of non-public informatio...

Journal: :اقتصاد پولی مالی 0
محمّد حسین مهدوی عادلی رضا فهیمی دوآب

this paper investigates the effect of formal information and rumors on the real buyers’ choice in tehran stock exchange. following this study, the question is what kind of information has an effect on buyers’ choice of shares? the purpose of this study is to identify information affecting buyers selected stocks, in order to offer some solutions to enhance stock exchange performance. in this stu...

قالیباف اصل , حسن, کمالی, هاجر,

The profitability of momentum and contrarian strategies indicates the predictability of stock returns, so these strategies contradict the concept of market efficiency. This paper investigates the profitability of intermediate and short-term horizon trading strategies in Tehran Stock Exchange. To do this, a sample of 50 companies accepted in Tehran Stock Exchange for the period of 2002 to 2007 w...

The lack of sufficient information about the past and present performance of newly accepted companies at Tehran Stock Exchange, uncertainty in future perspective of these new companies, lack of precedent transactions for the stocks of these companies and also existence of information asymmetry between the suppliers of new stock and external investors have caused confusion in the process of pric...

2009
Paulo Horta Carlos Mendes Isabel Vieira

This paper presents three tests of contagion of the US subprime crisis to the European markets of the NYSE-Euronext group. Copula models are used to analyse dependence structures between the US’s and the other markets in the sample, in the pre-crisis and in the subprime crisis periods. The first test assesses the existence of contagion on the relevant markets’ indices, the second checks the hom...

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