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Jan 22

Friday reading list 22/01/2010

Posted by abiao at 09:56 | Others | Comments(0) | Reads(3116)
1, Time-Varying Momentum Profitability, "In this paper, we present a comprehensive examination of the time-series predictability of momentum profits. We uncover a list of intriguing features of the time-variation in momentum profits: (1) market volatility has significant power to forecast momentum payoffs, which is even more robust than that of market state or business cycle variables; (2) the time-series predictability is centered on loser stocks; and (3) the time-series patterns appear to be at odds with the cross-sectional results." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1534325

2, Econometric Modeling for Transaction Cost-Adjusted Put-Call Parity: Evidence from the Currency Options Market, "this study developed a transaction cost-adjusted put-call parity (TC-Adj-PCP) econometric model to examine the efficiency of options markets. The fundamental analysis of the proposed model concludes that transaction costs represent an omitted variable for the PCP model, where the uniqueness of this variable is demonstrated under PCP in the context of options market efficiency. The novelty of the TC-Adj-PCP model resolves controversial transaction costs issues for traders and researchers." http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1537834

3, Short-Selling Bans Around the World: Evidence from the 2007-09 Crisis, "find that bans (i) were detrimental for liquidity, especially for stocks with small market capitalization and high volatility; (ii) slowed down price discovery, especially in bear market phases, and (iii) failed to support stock prices. " http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1533163

4, On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements


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