Search
Now showing items 1-4 of 4
Mastershares: market prices divorced from fundamentals
(2010-03-31)
The shares of a closed-end Mutual Fund may be regarded as derived
securities because their value depends entirely on the prices of
securities that comprise the fund portfolio. Therefore, the Net
Asset Value (NAV) of ...
Estimation errors and time varying betas in event studies a new approach
(2010-03-25)
The event study is one of the most powerful techniques for studying market efficiency. Over a period of time, researchers have made several modifications to the original methodology of Fama, Fisher, Jensen and Roll (1969). ...
Impact of the Introduction of Call Auction on price discovery: Evidence from the Indian Stock Market Using High-Frequency Data
(2010)
Call markets are claimed to aggregate information and facilitate price discovery
where continuous markets may fail. Its advantage, however, comes at the cost of imme-
diacy. Possibly due to faulty design or due to \thick ...
Stock return seasonality in the emerging Malaysian market
(2010-01-16)
This study investigates the existence of seasonality in Malaysia's stock market. The study uses the monthly return data of the Kula Lumpur Stock Exchange's two indices - Composite Index and EMAS Index. After examining the ...