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This article discusses the market manipulation strategy using the ‘cancel if close to market’ order. Specifically, we question whether this type of ‘market spoofing’ is capable of causing a highly volatile event such as the Flash Crash of 2010. We conclude that under normal market conditions the...
We use market-wide implied cost of capital to investigate changes in mutual funds’ risk exposures. Our approach is solely based on market information at the respective time and seems natural, as analysts and fund managers possess similar knowledge and skills. Using a sample of 4147 US equity...
We give a simple explicit algorithm for building multi-factor risk models. It dramatically reduces the number of or altogether eliminates the risk factors for which the factor covariance matrix (FCM) needs to be computed. This is achieved via a nested ‘Russian-doll’ embedding: the FCM itself is...
This article considers stock return predictability and its source using ratios derived from stock prices, dividends, output and consumption. We analyse 29 stock markets (sampled quarterly) and s17 stock markets (sampled annually). One-period ahead predictive regressions provide some support for...
In the classical mean-variance finance model where investors have a relative preference for risk versus return, the authors add a new factor – the average trading volume of shares of the portfolio’s security for a specified period of time measured as a percentage of its total float number of...
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