Capital Markets Lab

Dedicated to Scientific Observations in Financial Markets

Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance

Overconfidence and Investor Size

Forecasting Fund Manager Alphas: The Impossible Just Takes Longer		Is it the weather?
The Stock Market Bubble, Shareholders' Attribution Bias and Excessive Top CEO Pay		Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies

• Strategic trading against retail investors with loss-aversion

• Why Fundamental Indexation Might—or Might Not—Work

• The Behavior of Japanese Individual Investors During Bull and Bear Markets

• The evolution of the January effect
  
• Gold or Pyrite: The Importance of Information to the Professional Investor

• Monitoring the Monitor: Evaluating CalPERS' Activism

• Homemade Sector Hedge Funds: Can Investors Replicate the Returns Without Paying the Fees?

• The speed of adjustment to information: Evidence from the Chinese stock market

• On the Magnet Effect of Price Limits

• Active Currency Hedging Strategies for Global Equity Portfolios

• Japanese vocal intervention and the yen/dollar exchange rate

• Modelling the buy and sell intensity in a limit order book market

• Efficiency of Event-Induced Abnormal Revisions of Analysts' Earnings Forecasts

• Momentum and Credit Rating

• The informative-ness of domestic and foreign investors’ stock trades: Evidence from the perfectly segmented Chinese market  

• Multimarket Trading and Liquidity: Theory and Evidence

• Informative trading or just costly noise? An analysis of Central Bank interventions
  

• Commonality in the time-variation of stock–stock and stock–bond return comovements

• Analyst Incentives and the Financial Characteristics of Wall Street Darlings and Dogs

• Earnings Momentum in International Markets

• The trading behavior of institutions and individuals in Chinese equity markets

• Practical Guidelines for Tactical Asset Allocation Strategy Evaluation

• Corporate Raiders, Performance and Governance in Europe
  

• Can Markets Learn to Avoid Bubbles?

• Blowing Bubbles (Full-Text Version Link)

• Liquidity Premia and Transaction Costs

• Predicting Emerging Market Mutual Fund Performance

• Volatility transmission for cross-listed firms and the role of international exposure

• Risk-Adjusted Performance of Value and Growth Strategies: The Effect of Monetary Policy

• Analyst Disagreement, Mispricing, and Liquidity

• Volatility clustering, leverage effects, and jump dynamics in the US and emerging Asian equity markets

• The Adjusted Earnings Yield

• Day-of-the-week effect in the Taiwan foreign exchange market

• Prior Performance and Risk-Taking of Mutual Fund Managers: A Dynamic Bayesian Network Approach

• Where are the Shareholders' Mansions? CEOs' Home Purchases, Stock Sales, and Subsequent Company Performance

• Motivational and Cognitive Determinants of Buy-Side and Sell-Side Analyst Earnings Forecasts: An Experimental Study

• Short-Sales Constraints and Price Discovery: Evidence from the Hong Kong Market

• Intraday volume and volatility relations with and without public news

• Price Convexity and Skewness

• Efficiency of the Dojima rice futures market in Tokugawa-period Japan
  

• Yes, Wall Street, There Is A January Effect! Evidence from Laboratory Auctions

• Does the choice of performance measure influence the evaluation of hedge funds?

• Mutual fund flows and investor returns: An empirical examination of fund investor timing ability

• Rebalancing Revisited: The Role of Derivatives

• Implied volatility and future portfolio returns
  

• Currency Competition in Switzerland, 1826-1850

• Fractional integration in the equity markets of MENA region

• Does market maker competition affect the response to insider trading?

• Interventions in the Yen–dollar spot market: A story of price, volatility and volume

Latest Abstracts - Categorized by Investment Theme