Dimson, S. B. (1970). Archives of Disease in Childhood, 45, 232. Carmine as an index of transit time in children with simple constipation. The transit time of carmine through the alimentary canal has been estimated in 65 children with simple chronic constipation but without abdominal pain or faecal incontinence. Comparison was made with matched normal controls and as a result criteria have been...

In this research, overreaction and underreaction have been studied by assessing profitability and excess returns of investment strategies and evaluating price adjustment speed in short and long terms. The results showed that the momentum investment strategies had higher annual returns in comparison to contrarian strategies in all short and long periods which led to confirmation of underreaction...

the present article examines the risk of selecting a financial asset. up to now, many criteria have been proposed to measure the risk. one of the most important criteria in this regard is beta criterion about which many studies have been conducted and consequently it has been criticized severely in this regard. one of the criticisms of capm model is the practical problems involved in estimating...

This study investigates the applicability of the CAPM in explaining the cross section of stock return on the Karachi Stock Exchange for the period September 1992 to April 2006. Unlike earlier studies on emerging markets this study is carried out with a broader scope. Firstly, the tests are conducted on individual stocks as well as size sorted portfolios and industry portfolios. Secondly, the te...

Over the past two decades, endowments have become an increasingly important component of the typical university’s resource base. We examine how U.S. doctoral institutions’ endowment payout policies and spending decisions are affected by financial market shocks to endowments. While most endowments have formal payout policies intended to smooth payouts over time, we find that universities are mor...

Over the past two decades, endowments have become an increasingly important component of the typical university’s resource base. We examine how U.S. doctoral institutions’ endowment payout policies and spending decisions are affected by financial market shocks to endowments. While most endowments have formal payout policies intended to smooth payouts over time, we find that universities are mor...

This paper applies six recently developed nonparametric tests of serial independence to monthly US stock returns. Findings of previous studies based on the BDS test are supported since most of the new tests also reject the random walk hypothesis. Furthermore, power properties of the new tests are compared with those of the BDS test. The latter has much power against ARCH and GARCH alternatives ...

The behavior of US closed-end funds is very different from that of the UK funds studied by Gemmill and Thomas (2002). There is no evidence that their discounts are constrained by arbitrage barriers, no evidence that higher expenses increase discounts and no evidence that replication risk increases discounts—but strong evidence that noise-trader risk is priced. The differences between US and UK ...

The reaction of closed-end fund share prices to changes in portfolio values is on average the same whether funds are trading at discounts or premia and whether the changes in portfolio values are positive or negative. If closed-end fund discounts and premia do correctly measure investor sentiment, then these results suggest that investor sentiment does not affect the market’s reaction to news a...

An extensive literature documents heterogeneity in the delay of stock-price reaction to systematic shocks, implying that relevant asset risk depends on investment horizon. We study pricing of common risk factors across investment horizons. We …nd that liquidity risk is priced over short horizons and market risk is priced over intermediate horizons. Value/growth risk is priced over long horizons...