Prior studies have documented that stock returns are abnormally high during the years following share repurchases and abnormally low following seasoned equity offerings, relative to various benchmarks of expected returns. While we confirm this evidence in the event data as of 2002, we do not find robust long-run abnormal returns following either stock repurchases or issuances after 2002. Instit...

Due to its high productivity at relatively low costs, algorithmic trading has become increasingly popular over the last few years. As news can improve the returns generated by algorithmic trading, there is a growing need to use online news information in algorithmic trading in order to react real-time to market events. The biggest challenge is to automate the recognition of financial events fro...

The information value of stock message boards has often been debated. A main difficulty in assessing the value is the presence of a large number of posts with varying quality. This paper presents an intuitive approach to identify and aggregate information in stock message boards. We weigh each post’s recommendation by its author’s credibility based on accuracy of his past posts. We find that th...

Anomaly is an incident or event that cannot be explained by the dominant theories. Anomalies are situated in confronting with the efficient market theory, so that it provides conditions for stock trading strategies with additional returns in case of existing predetermined returns. Therefore, in this study, the anomaly due to monthly effects on the stock volume trading and the Tehran Stock Excha...

Working capital management is an essential part of the short-term finance of a firm. With an efficient working capital management, a firm can release capital for more strategic objectives, reduce the financial costs, and improve profitability. The present research studies the relationship of working capital management on performance of firms Listed in Tehran Stock Exchange (TSE). Average Collec...

one of the basic assumptions of management accounting illustrate that costschanges has a significance relationship with increasing and decreasing in the levelof activity, recently after being raised of sticky costs issue by anderson and hiscolleagues this assumption was discussed. it means increases in costs by increasingthe more activity level of reduction in costs is exchange for the reductio...

a r t i c l e i n f o We examine the role of liquidity risk, both as a stock characteristic as well as systematic liquidity risk, in UK mutual fund performance for the first time. We find that on average UK mutual funds are tilted towards liquid stocks (except for small stock funds as might be expected) but that, counter-intuitively, liquidity rather than illiquidity, as a stock characteristic ...

Combining data on high frequency trading (HFT) activities of a randomly selected sample of 120 stocks and data on institutional trades, I find that HFT increases the trading costs of traditional institutional investors. One standard deviation increase in the intensity of HFT activities increases institutional execution shortfall costs by a third. Further analysis suggests that HFT represents as...

This paper examines the profitability of technical trading rules in the five Southeast Asian stock markets. The data cover a period of 14 years from January 2000 to December 2013. The instruments investigated are five Southeast Asian stock market indices: SET index (Thailand), FTSE Bursa Malaysia KLC index (Malaysia), FTSE Straits Times index (Singapore), JSX Composite index (Indonesia), and PS...

Stock price prediction is an important and challenging problem for studying financial markets. Existing studies are mainly based on the time series of stock price or the operation performance of listed company. In this paper, we propose to predict stock price based on investors' trading behavior. For each stock, we characterize the daily trading relationship among its investors using a trading ...