1 - 6 of 6 articles
Fama and French (1992), in a controversial paper at the time, noted strong associations between cross-sectional equity returns and so-called style variables including size, the price to earnings (P/E) ratio, gearing and the book to market (B/M) ratio. Other researchers have subsequently...
The post-earnings announcement drift anomaly has been widely researched and confirmed for several markets around the world. This paper investigates the relationship between the earnings surprise as reflected by the price change immediately after the earnings announcement and the subsequent price...
This study presents a behavioural explanation of the pre-holiday effect. For the period 1971 to 2011, we first find that the mean pre-holiday return in Taiwan's major stock market index is statistically significantly higher than the mean non-pre-holiday return. Second, the pre-holiday event...
The objective of this study is to analyse the sources of performance in South African domestic equity unit trusts during the period 2002 to 2011. The study was based on Sharpe's (1992) study of the asset allocation of mutual funds in the United State s (US). Five sectors were selected to...
We investigate multi-market price discovery using two year intraday data for Egyptian and Argentinean depository receipts and their underlying stock. The contribution of the local versus international exchange to price discovery is assessed using the Gonzalo and Granger's permanent-transitory...
This paper examines the effects of firm heterogeneity and macroeconomic conditions on the adjustment speed towards the target level of capital structure. The DPF estimator is used to carry out the analysis for a panel of 191 non-financial firms listed on the JSE for the period 2000 to 2010....
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