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Returns to Buying Winners and Selling Losers Implications for Stock Market Efficiency pdf download

This paper documents that strategies which buy stocks that have performed well in the past and sell stocks that have performed poorly in the past generate significant positive returns over 3- to 12-month holding periods.

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Random Walks in Stock Market Prices pdf download

In general the theory of random walks raises challenging questions for anyone who has more than a passing interest in understanding the be-havior of stock prices. Unfortunately, however, most discussions of the theory have appeared in technical...

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On Stock Market Returns and Monetary Policy pdf download

Boudoukh, Richardson, and Whitelaw (BRW) presented theoretical and empirical evidence explaining the expected inflation/stock return correlation. In concluding they stated that whether monetary policy has real effects is an open question. This paper addresses this question by...

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On Jump Processes in the Foreign Exchange and Stock Markets pdf download

This article investigates the existence of discontin-uities in the sample path of exchange rates and of a stock 1 market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontinuities, even after...

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Oil price shocks and stock markets in the U.S. and 13 European countries pdf download

Oil price shocks have a statistically significant impact on real stock returns contemporaneously and/or within the following month in the U.S. and 13 European countries over 1986:1–2005:12. Norwayas an oil exporter shows a statistically significantly positive response...

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Oil price risk and emerging stock markets pdf download

The purpose of this paper is to contribute to the literature on stock markets and energy prices by studying the impact of oil price changes on a large set of emerging stock market returns. The approach taken...

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Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market pdf download

The purpose of this paper is to demonstrate that a portfolio optimization model using the LI risk (mean absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while maintaining its...

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Local Return Factors and Turnover in Emerging Stock Markets pdf download

I study how growth affects liquidity of global stock exchanges and how liquidity determines cross-sectional returns on those stock exchange index portfolios. I measure portfolio liquidity by turnover ratio computed as value ofshares traded over the market...

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IQ and Stock Market Participation pdf download

An individual’s IQ stanine, measured early in adult life, is monotonically related to his stock market participation decision later in life. The high correlation between IQ and participation,which exists even among the 10% most affluent individuals, controls...

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Financial Development and Economic Growth The Role of Stock Markets pdf download

Utilizing time series methods and data from five developed economies, we examine the relationship between stock market de-velopment and economic growth, controlling for the effects of the banking system and stock market volatility. Our results support the...

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