ABSTRACT This paper empirically examines the intraday price relationship between S&P 500 futures and index using minute‐to‐minute data. Three‐stage least‐squares regression is used to estimate lead lag relationships with estimates for expiration days of compared prior expiration. The results suggest that movements consistently by twenty forty‐five minutes while in rarely affect beyond one minute.

Abstract We find a strong tendency for positive returns during the overnight period followed by reversals trading day. This behavior is driven an opening price that high relative to intraday prices. It concentrated among stocks have recently attracted attention of retail investors, it more pronounced are difficult value and costly arbitrage, greater periods overall investor sentiment. The additional implicit transaction costs traders who buy high-attention near open frequently exceed...

ABSTRACT This study shows that the guardians behind underaged accounts are successful at picking stocks. Moreover, they tend to channel their best trades through of children, especially when trade just before major earnings announcements, large price changes, and takeover announcements. Building on these results, we argue proportion total trading activity (labeled BABYPIN ) should serve as an effective proxy for probability information in a stock. Consistent with this claim, show investors...

ABSTRACT We examine the relation between insiders’ investment horizon and information content of their trades with respect to future stock returns. conjecture that an insider's establishes a benchmark for expected patterns continued trading behavior thus helps identify unexpected insider trades, which should be more informative in efficient markets. Consistent this conjecture, short‐horizon insiders are both informed, on average, than those long‐horizon insiders. Short‐horizon firms also...

ABSTRACT This study shows that the recent trajectory of a firm's profits predicts future profitability and stock returns. The predictive information contained in trend is not subsumed by level profitability, earnings momentum, or other well-known determinants profit also surprise one quarter later, analyst forecast errors over following 12 months, suggesting sophisticated investors underreact to trend. On hand, we find no evidence investor overreaction, our results cannot be explained risk...

We reexamine signaling and agency theories argue that the free-cashflow hypothesis implies a stronger information effect for both over- underinvesting firms than value-maximizing firms. Our results indicate dividend capital structure policies interact to provide significant predictive about future cash flow. also find U-shaped relation between amount of Tobin’s q. The minimum this occurs near q value one. This outcome

Abstract We examine whether investor reactions are sensitive to the recent direction or volatility of underlying market movements. find that dividend change announcements elicit a greater in stock price when nature news (good bad) goes against grain during volatile times. For example, lower dividends significantly decrease returns have been up and more volatile. Similarly, raise tends increase normal down volatile, although this latter tendency lacks statistical significance. suggest an...

This study compares two alternative regression specifications for sizing hedge positions and measuring effectiveness: a simple on price changes an error correction model (ECM). We show that, when the prices of hedged item hedging instrument are cointegrated, both yield similar results which depend horizon (i.e., time frame changes). In particular, estimated ratio R 2 will be small measured over short intervals, but as is lengthened measures converge toward one. These imply longer optimal...

In recent years physiologically based pharmacokinetic models have come to play an increasingly important role in risk assessment for carcinogens. The hope is that they can help open the black box between external exposure and carcinogenic effects experimental observations, improve both high‐dose low‐dose interspecies projections of risk. However, date, there been only relatively preliminary efforts assess uncertainties current modeling results. this paper we compare (and model predictions...

Abstract The Haugh (1976) test for independence employs the univariate residual cross-correlation function. However, it ignores information about a possible pattern in successive coefficients. An asymptotic is developed that incorporates this and includes as special case. A Monte Carlo study indicates proposed more powerful than s regression F tests certain models. Two empirical examples are presented showing simplicity of applying its ability to recognize relationships may fail detect.

Abstract In this study we empirically examine the intraday lead/lag relation between S&P 500 futures prices and index, whether daily market characteristics are associated with changes in relation. We estimate Geweke measures of feedback regress time series these on price volatility volume characteristics. Results indicate that contemporaneous is substantive positively range price. The primary implication cash becomes stronger as increases. As increases, information being impounded at a...

Bivariate time series models are built that describe the empirical relationships between industrial production and components of Composite Index Leading Indicators (CLI). This reveals indicators' average lead times at all points business cycle, forms distributed lags involved, their ability to explain later movements in economic activity. The relationship CLI is also examined used test contribution toward improving model forecasts 1980 1981 recessions.

Abstract Insiders must disclose indirect trades made through accounts they control, including family, trust, retirement, and foundation accounts. Indirect these are more profitable than direct in the insider’s own account. They also likely to be by “opportunistic” insiders who make nonroutine trades, or trade profitably before earnings announcements, have a short investment horizon. These contain predictive information about surprises large price changes, tend at firms with high asymmetry....

Using 13 years of intraday data for U.S. stocks, we find a strong tendency positive returns during the overnight period followed by reversals trading day. This behavior is driven an opening price that high relative to prices. We this temporary inflation at open concentrated among stocks have recently attracted attention retail investors, and these levels net buying start In addition, document sensitivity prices investor more pronounced are difficult value costly arbitrage, greater periods...

On the day that dividends are paid, we find a significant positive mean abnormal return is completely reversed over following days. This dividend pay date effect has strengthened since 1970s and consistent with temporary price pressure hypothesis. The concentrated among stocks reinvestment plans (DRIPs) larger for higher yield, greater DRIP participation, limits to arbitrage. Over time, profits from trading strategy exploits this behavior positively related yield spread negatively associated...

Abstract When brokers, analysts, and fund managers buy or sell stocks for their own accounts, these “access employees” of financial institutions outperform retail investors over short windows up to a month. They earn particularly high abnormal returns when they trade before earnings announcements, revisions analyst recommendations, large stock price changes. We also find evidence consistent with profitable front-running information leakage around the execution corporate insider trades block...