Institutional trading and the turn-of-the-year effect

Article Abstract:

The turn-of-the-year or January effect is a phenomenon that refers to the unusual large returns exhibited by small stocks in the beginning days of January. The direct relation between institutional trading behavior in the United States equity market and anomalous turn-of-the-year return patterns of small stocks is examined. The empirical results of the study on this relation utilizing data from CDA Investment Technologies, Inc. and the Center for Research in Security Prices are presented.

Market information - general, Forecasts, trends, outlooks, Stocks, Forecasts and trends, Supply and demand, Market trend/market analysis, Financial institutions, Institutional investments, Stock markets, Stock market

---

The conditional CAPM does not explain asset-pricing anomalies

Article Abstract:

The feasibility of capital asset pricing model in explaining the irregularities related to pricing of assets is analyzed.

Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Capital funds & cash flow, Asset Valuation & Distribution, Usage, Abnormalities, Valuation, Capital assets pricing model, Capital asset pricing model, Asset valuation, Return on assets

---

Similar abstracts:

• Abstracts: Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices. Trading activity and expected stock returns
• Abstracts: Institutional trades and intraday stock price behavior. The market reaction to international cross-listings: evidence from Depositary Receipts
• Abstracts: Informed trading and the bid-ask spread: evidence from an emerging market. Which enterprises (believe they) have soft budgets? Evidence on the effects of ownership and decentralization in Mongolia
• Abstracts: Retrading in market games. The evolution of exchange. Non-existence of recursive equilibria on compact state spaces when markets are incomplete
• Abstracts: The principle of institutional direction: Coase's regulatory critique of intervention. The future of public pensions in the OECD

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.