Limits to arbitrage and the MAX anomaly in advanced emerging markets
Sign Up to like & getrecommendations! Published in 2018 at "Emerging Markets Review"
DOI: 10.1016/j.ememar.2018.03.004
Abstract: Abstract Evidence of a negative relationship between extreme positive returns and future returns has been reported in developed markets (Bali, Cakici, & Whitelaw, 2011; Zhong & Gray, 2016). This study examines this “MAX anomaly” across… read more here.
Keywords: limits arbitrage; emerging markets; advanced emerging; max anomaly ... See more keywords
Monetary policy uncertainty and stock market returns: influence of limits to arbitrage and the economic cycle
Sign Up to like & getrecommendations! Published in 2020 at "Studies in Economics and Finance"
DOI: 10.1108/sef-04-2020-0102
Abstract: This paper aims to examine the impact that monetary policy uncertainty (MPU) has on stock market returns by taking into account limits to arbitrage and the economic cycle.,Using four news-based MPU measures, regression models have… read more here.
Keywords: stock market; limits arbitrage; stock; economic cycle ... See more keywords