Includes bibliographies and index
Includes bibliographies and index
A stock?s market exposure, beta, varies across return frequencies. Sorting stocks on the difference between low- and high-frequency betas (Δβ) yields large systematic mispricings relative to the CAPM at high frequencies, but significantly smaller mispricings at low frequencies. We provide a risk-based explanation for this frequency dependence by introducing uncertainty about the effect of sys…
Includes bibliographies and index
Includes bibliographies and index
This study aims to investigate factors that affect IPO oversubscription on Islamic stocks. Using data of 202 IPOs indexed from Indonesia Sharia Stock Index, this study uses ordinary least squares and quantile regression to test the formulated hypothesis from 2011 to 2020. This study finds that issue price and issue size negatively affect IPO oversubscription. Meanwhile, firm size and raw return…
Includes index
Includes index
Includes bibliographies and index
Overreaction is a phenomenon caused by stock market inefficiencies and also a reaction to certain events. Das and Krishnakumar (2016) explain that some overreaction phenomena violate the theory of capital market efficiency. As experienced by other stocks, Islamic stocks also probably experience market inefficiencies. This study aims to analyse the phenomenon of overreaction in Islamic stocks, …
Although algorithmic trading now dominates financial markets, some exchanges continue to use human floor traders. On March 23, 2020 the NYSE suspended floor trading because of COVID-19. Using a difference-in-differences analysis around the closure of the floor, we find that floor traders are important contributors to market quality. The suspension of floor trading leads to higher spreads and la…
Includes bibliographies, index and tables
One-stop platform transaksi saham memberikan pengaruh positif terhadap perkembangan teknologi dalam dunia saham, namun fitur-fitur yang ditawarkan mampu mengubah perilaku investor dalam melakukan transaksi saham. Penelitian ini menyelidiki pengaruh fitur “stream” sebagai media User Generated Content (UGC) serta hubungan antara fenomena Fear of Missing Out (FoMO) dengan financial literacy in…
.
Includes index
Includes bibliography
Includes bibliographies, index and tables
Salah satu cerita menarik di dunia investasi 'paper asset' adalah kisah Ann Scheiber, seorang pensiunan IRS (Internal Revenue Service). Di usia 50 tahun, ia menginvestasikan seluruh tabungannya sebanyak US$5.000 untuk membeli saham. Sejak itu ia hanya menggunakan uang yang diperoleh dari dividen untuk membeli saham yang lain, tanpa menggunakan uang baru satu dola pun. KETIKA MENINGGAL DUNIA, IA…
The stylized fact that volatility is not priced in individual equity options does not withstand scrutiny. First, we show that the average return of heavily traded deep out-of-the-money call options on stocks is −116 basis points per day. Second, Fama-MacBeth estimates of the volatility risk premium in stock options are similar to those in S&P 500 Index call options. Third, the mean return of …
The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio-driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, p…