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David Michayluk

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Carolin Plewa & Jillian C. Sweeney & David Michayluk, 2015. "Determining value in a complex service setting," Published Paper Series 2015-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Nicole Bulawa & Frank Jacob, 2022. "More than a snapshot: dynamic value-in-use emergence in e-services," Electronic Markets, Springer;IIM University of St. Gallen, vol. 32(4), pages 2471-2489, December.
    2. Roy, Sanjit Kumar & Shekhar, Vaibhav & Lassar, Walfried M. & Chen, Tom, 2018. "Customer engagement behaviors: The role of service convenience, fairness and quality," Journal of Retailing and Consumer Services, Elsevier, vol. 44(C), pages 293-304.
    3. Carlson, Jamie & Rahman, Mohammad M. & Taylor, Alexander & Voola, Ranjit, 2019. "Feel the VIBE: Examining value-in-the-brand-page-experience and its impact on satisfaction and customer engagement behaviours in mobile social media," Journal of Retailing and Consumer Services, Elsevier, vol. 46(C), pages 149-162.
    4. Benkenstein, Martin & Bruhn, Manfred & Büttgen, Marion & Hipp, Christiane & Matzner, Martin & Nerdinger, Friedemann W., 2017. "Topics for Service Management Research - A European Perspective," SMR - Journal of Service Management Research, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 1(1), pages 4-21.
    5. Kolomoyets, Yuliya & Dickinger, Astrid, 2023. "Understanding value perceptions and propositions: A machine learning approach," Journal of Business Research, Elsevier, vol. 154(C).

  2. Guojie Ma & David Michayluk, 2015. "Takeovers and the Market for Corporate Control in Japanese REITs," Published Paper Series 2015-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Yu Cheng Lin & Chyi Lin Lee & Graeme Newell, 2019. "The significance of residential REITs in Japan as an institutionalised property sector," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 37(4), pages 363-379, May.
    2. Martin Hoesli & Graeme Newell & Muhammad Jufri Bin Marzuki & Rose Neng Lai, 2022. "The Performance and Diversification Potential of Non-Listed Value-Add Real Estate Funds in Japan," JRFM, MDPI, vol. 15(5), pages 1-16, April.
    3. Robbie Lin & Chyi Lin Lee & Graeme Newell, 2019. "The significance of Residential REITs in Japan as an Institutionalized property sector," ERES eres2019_122, European Real Estate Society (ERES).

  3. Ryan Gibson & David Michayluk & Gerhard Van de Venter, 2013. "Financial risk tolerance: An analysis of unexplored factors," Published Paper Series 2013-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Saibal Ghosh, 2023. "Stability versus soundness: what matters for women central bank governors?," Economic Change and Restructuring, Springer, vol. 56(4), pages 2315-2338, August.
    2. Muna Sharma & Swarn Chatterjee, 2021. "Cognitive Functioning: An Underlying Mechanism of Age and Gender Differences in Self-Assessed Risk Tolerance among an Aging Population," Sustainability, MDPI, vol. 13(4), pages 1-9, February.
    3. Brooks, Chris & Williams, Louis, 2022. "When it comes to the crunch: Retail investor decision-making during periods of market volatility," International Review of Financial Analysis, Elsevier, vol. 80(C).
    4. Katarzyna Kochaniak & Paweł Ulman, 2020. "Risk-Intolerant but Risk-Taking—Towards a Better Understanding of Inconsistent Survey Responses of the Euro Area Households," Sustainability, MDPI, vol. 12(17), pages 1-26, August.
    5. Pragati Hemrajani & Rajni & Rahul Dhiman, 2024. "Retail Investors’ Financial Risk Tolerance and Risk-taking Behaviour: The Role of Psychological Factors," FIIB Business Review, , vol. 13(1), pages 87-105, January.
    6. John Grable & Dee Warmath & Eun Jin Kwak, 2022. "An Assessment of the Association between Political Orientation and Financial Risk Tolerance," JRFM, MDPI, vol. 15(5), pages 1-16, April.
    7. Anbar, Adem & Eker, Melek, 2019. "The Effect of Sociodemographic Variables and Love of Money on Financial Risk Tolerance of Bankers," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 10(4), pages 855-866, July.
    8. Antonios Evangelou & Sune Ferreira-Schenk & Lorainne Ferreira & Elizabeth Bothma, 2022. "Investment Risk Tolerance amongst South African University Students in the Vaal Triangle Area," International Journal of Economics and Financial Issues, Econjournals, vol. 12(1), pages 13-23.
    9. J. Lawrenson & Z. Dickason-Koekemoer & David McMillan, 2020. "A model for female South African investors’ financial risk tolerance," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1794493-179, January.
    10. Zandri Dickason-Koekemoer & Suné Ferreira, 2018. "Subjective Risk Tolerance of South African Investors," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 286-294.
    11. Kumar Saurabh & Tanuj Nandan, 2019. "Role of financial knowledge, financial socialisation and financial risk attitude in financial satisfaction of Indian individuals," International Journal of Indian Culture and Business Management, Inderscience Enterprises Ltd, vol. 18(1), pages 104-122.
    12. D. Kellerman & Z. Dickason-Koekemoer & S. Ferreira & David McMillan, 2020. "Analysing investment product choice in South Africa under the investor lifecycle," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1848972-184, January.
    13. Sarah Asebedo & Patrick Payne, 2019. "Market Volatility and Financial Satisfaction: The Role of Financial Self-Efficacy," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 20(1), pages 42-52, January.
    14. John Grable & Eun Jin Kwak & Martha Fulk & Aditi Routh, 2022. "A Simplified Measure of Investor Risk Aversion," Journal of Interdisciplinary Economics, , vol. 34(1), pages 7-34, January.
    15. Charles Godfred Ackah & Enoch Randy Aikins & Thomas Twene Sarpong & Derek Asuman, 2019. "Gender Differences In Attitudes Toward Risk: Evidence From Entreprenuers In Ghana And Uganda," Journal of Developmental Entrepreneurship (JDE), World Scientific Publishing Co. Pte. Ltd., vol. 24(01), pages 1-19, March.
    16. Zandri Dickason-Koekemoer & Sune Ferreira-Schenk, 2022. "Constructing a Model for Domain-specific Risk-taking, Life Satisfaction and Risk Tolerance of Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 12(4), pages 84-90, July.
    17. Ali, Muhammad Arsalan & Rehman, Khalil ur & Maqbool, Adnan & Hussain, Shahid, 2021. "The Impact of Behavioral Finance Factors and the Mediating Effect of Investment Behavior on Individual’s Financial Well-being: Empirical Evidence from Pakistan," Journal of Accounting and Finance in Emerging Economies, CSRC Publishing, Center for Sustainability Research and Consultancy Pakistan, vol. 7(2), pages 325-336, June.
    18. Prabarani Palma Pramita & Tuning Rahayu & Chindira Kusvirgianie Diono & Evelyn Hendriana, 2023. "Effect of Psychological Factors on Investment Decisions of Millennial Investors in an Emerging Country," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(11), pages 1-83, November.
    19. Fisher, Patti J. & Yao, Rui, 2017. "Gender differences in financial risk tolerance," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 191-202.
    20. Linh Thi My Nguyen & Phong Thanh Nguyen & Quynh Nguyen Nhu Tran & Thi Tuong Giang Trinh, 2021. "Why does subjective financial literacy hinder retirement saving? The mediating roles of risk tolerance and risk perception," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 14(5), pages 627-645, April.
    21. Anu Sahi, 2022. "Demographics and financial risk tolerance among investors of Punjab: an empirical analysis," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 15(2/3/4), pages 153-163.
    22. Linh Nguyen & Gerry Gallery & Cameron Newton, 2019. "The joint influence of financial risk perception and risk tolerance on individual investment decision‐making," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 747-771, April.
    23. Sune Ferreira & Zandri Dickason-Koekemoer, 2019. "The Relationship Between Depositor Behaviour and Risk Tolerance in a South African Context," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(3), pages 36-55, September.
    24. Katarzyna Kochaniak & Paweł Ulman, 2021. "Diversified Risky Financial Assets in Portfolios of Risk-Averse Households: What Determines Their Occurrence?," Springer Proceedings in Business and Economics, in: Krzysztof Jajuga & Hermann Locarek-Junge & Lucjan T. Orlowski & Karsten Staehr (ed.), Contemporary Trends and Challenges in Finance, pages 229-240, Springer.
    25. Manxiang Qu & Yuexin Li, 2021. "Financial Risk Early-Warning Model Based on Kernel Principal Component Analysis in Public Hospitals," Mathematical Problems in Engineering, Hindawi, vol. 2021, pages 1-7, March.
    26. Zhu, Alex Yue Feng, 2019. "Financial risk tolerance of Hong Kong adolescents: A hierarchical model," Children and Youth Services Review, Elsevier, vol. 102(C), pages 193-200.
    27. Zandri Koekemoer, 2019. "The influence of the level of education on investors risk tolerance level," Proceedings of Economics and Finance Conferences 9511449, International Institute of Social and Economic Sciences.
    28. Katina Kulow & Thomas Kramer & Kara Bentley, 2021. "Lady Luck: Anthropomorphized Luck Creates Perceptions of Risk-Sharing and Drives Pursuit of Risky Alternatives," Journal of the Association for Consumer Research, University of Chicago Press, vol. 6(3), pages 383-393.
    29. Yılmaz Bayar & H. Funda Sezgin & Ömer Faruk Öztürk & Mahmut Ünsal Şaşmaz, 2020. "Financial Literacy and Financial Risk Tolerance of Individual Investors: Multinomial Logistic Regression Approach," SAGE Open, , vol. 10(3), pages 21582440209, July.

  4. David Michayluk & Ralf Zurbruegg, 2013. "Do Lead Articles Signal Higher Quality in the Digital Age? Evidence from Finance Journals," Working Paper Series 177, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Rüdiger Mutz & Tobias Wolbring & Hans-Dieter Daniel, 2017. "The effect of the “very important paper” (VIP) designation in Angewandte Chemie International Edition on citation impact: A propensity score matching analysis," Journal of the Association for Information Science & Technology, Association for Information Science & Technology, vol. 68(9), pages 2139-2153, September.
    2. Jacques Wainer & Michael Eckmann & Anderson Rocha, 2015. "Peer-Selected “Best Papers”—Are They Really That “Good”?," PLOS ONE, Public Library of Science, vol. 10(3), pages 1-12, March.
    3. Chongyu Dang & Zhichuan (Frank) Li, 2020. "Drivers of research impact: evidence from the top three finance journals," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2759-2809, September.
    4. Elena Veretennik & Maria Yudkevich, 2023. "Inconsistent quality signals: evidence from the regional journals," Scientometrics, Springer;Akadémiai Kiadó, vol. 128(6), pages 3675-3701, June.

  5. David Lam & Bing-Xuan Lin & David Michayluk, 2011. "Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float," Published Paper Series 2011-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Ernest N. Biktimirov & Yuanbin Xu, 2019. "Market reactions to changes in the Dow Jones industrial average index," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 15(5), pages 792-812, May.
    2. Ding, Xiaoya (Sara) & Ni, Yang & Zhong, Ligang, 2016. "Free float and market liquidity around the world," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 236-257.
    3. Huong Le & Andros Gregoriou, 2020. "How Do You Capture Liquidity? A Review Of The Literature On Low‐Frequency Stock Liquidity," Journal of Economic Surveys, Wiley Blackwell, vol. 34(5), pages 1170-1186, December.
    4. Pauline Shum & Walid Hejazi & Edgar Haryanto & Arthur Rodier, 2016. "Intraday Share Price Volatility and Leveraged ETF Rebalancing," Review of Finance, European Finance Association, vol. 20(6), pages 2379-2409.
    5. Pattaragit Netiniyom, 2016. "Does Free Float Affect Shareholder Wealth? New Evidence from the Stock Exchange of Thailand," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 8(2), pages 043-053, December.

  6. Austin Gerig & David Michayluk, 2010. "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers 1007.2352, arXiv.org.

    Cited by:

    1. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    2. Benjamin Myers & Austin Gerig, 2013. "Simulating the Synchronizing Behavior of High-Frequency Trading in Multiple Markets," Papers 1311.4160, arXiv.org.
    3. Ya‐Kai Chang & Robin K. Chou, 2022. "Algorithmic trading and market quality: Evidence from the Taiwan index futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1837-1855, October.
    4. Kin‐Yip Ho & Wai‐Man Liu & Jing Yu, 2018. "Public News Arrival and Cross‐Asset Correlation Breakdown," International Review of Finance, International Review of Finance Ltd., vol. 18(3), pages 411-451, September.
    5. Eun Jung Lee, 2015. "High Frequency Trading in the Korean Index Futures Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(1), pages 31-51, January.
    6. Hee Su Roh & Yinyu Ye, 2015. "Market Making with Model Uncertainty," Papers 1509.07155, arXiv.org, revised Nov 2015.
    7. Robert Litzenberger & Jeff Castura & Richard Gorelick, 2012. "The Impacts of Automation and High Frequency Trading on Market Quality," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 59-98, October.
    8. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
    9. Hasbrouck, Joel & Saar, Gideon, 2013. "Low-latency trading," Journal of Financial Markets, Elsevier, vol. 16(4), pages 646-679.
    10. Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.

  7. David Michayluk & Laurie Prather & Li-Anne E. Woo & Henry Y. K. Yip, 2009. "What Do Options Have to Do With It?: Inclusion of Options Market Indicators in Bid-ask Spread Decomposition," Published Paper Series 2009-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
    2. Doojin Ryu, 2011. "Intraday price formation and bid–ask spread components: A new approach using a cross‐market model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(12), pages 1142-1169, December.

  8. William J. Bertin & David Michayluk & Laurie Prather, 2008. "Liquidity issues surrounding neglected firms," Published Paper Series 2008-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Leonardo Fernandez, 2012. "Price Discovery, Investor Distraction and Analyst Recommendations Under Continuous Disclosure Requirements in Australia," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2012.

  9. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. Thu Phuong Pham, 2015. "Broker ID transparency and price impact of trades: evidence from the Korean Exchange," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 11(1), pages 117-131, February.
    2. Philip Brown, 2011. "International Financial Reporting Standards: what are the benefits?," Accounting and Business Research, Taylor & Francis Journals, vol. 41(3), pages 269-285, August.

  10. Allan Graham & Bing-Xuan Lin & David Michayluk & Pamela Stuerke, 2007. "Sarbannes-Oxley: Some Unintended Consequences," Published Paper Series 2007-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Canada, Joseph & Kuhn, J. Randel & Sutton, Steve G., 2008. "Accidentally in the public interest: The perfect storm that yielded the Sarbanes-Oxley act," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, vol. 19(7), pages 987-1003.

  11. David Michayluk & Gerhard Van de Venter, 2007. "Subjectivity in Judgments: Further Evidence from the Financial Planning Industry," Published Paper Series 2007-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Brooks, Chris & Williams, Louis, 2022. "When it comes to the crunch: Retail investor decision-making during periods of market volatility," International Review of Financial Analysis, Elsevier, vol. 80(C).
    2. Fisher, Patti J. & Yao, Rui, 2017. "Gender differences in financial risk tolerance," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 191-202.

  12. David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Published Paper Series 2006-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Guojie Ma, 2016. "Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2016.
    2. Liow, Kim Hiang & Huang, Yuting, 2018. "The dynamics of volatility connectedness in international real estate investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 195-210.
    3. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence," JRFM, MDPI, vol. 12(1), pages 1-23, January.
    4. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
    5. James Chong & Alexandra Krystalogianni & Simon Stevenson, "undated". "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, University of Reading.
    6. Craig Ellis & Patrick J. Wilson & Ralf Zurbruegg, 2007. "Real Estate ‘Value’ Stocks and International Diversification," Journal of Property Research, Taylor & Francis Journals, vol. 24(3), pages 265-287, September.
    7. Kim Liow & Kim Ho & Muhammad Ibrahim & Ziwei Chen, 2009. "Correlation and Volatility Dynamics in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 39(2), pages 202-223, August.
    8. KimHiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Dynamic interdependence between the US and the securitized real estate markets of the Asian-Pacific economies," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 37(1), pages 92-117, January.
    9. Sherry Zhou & Helen Bao, 2007. "Modelling Price Volatility in the Hong Kong Property Market," ERES eres2007_180, European Real Estate Society (ERES).
    10. Jian Zhou, 2010. "Comovement of international real estate securities returns: a wavelet analysis," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 357-373, August.
    11. Kim Hiang Liow & Qing Ye, 2014. "Switching volatility and cross-market linkages in public property markets," Journal of Property Research, Taylor & Francis Journals, vol. 31(4), pages 287-314, December.
    12. Sherry Zhefang ZHOU & Helen Xiaohui BAO, 2009. "Modelling Price Dynamics In The Hong Kong Property Market," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 4(1S), pages 8-26, April.
    13. Wang, Gang-Jin & Xie, Chi, 2015. "Correlation structure and dynamics of international real estate securities markets: A network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 424(C), pages 176-193.
    14. Hong Miao & Sanjay Ramchander & Marc W. Simpson, 2011. "Return and Volatility Transmission in U.S. Housing Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 39(4), pages 701-741, December.
    15. Chiuling Lu & Yiuman Tse & Michael Williams, 2013. "Returns transmission, value at risk, and diversification benefits in international REITs: evidence from the financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 293-318, February.
    16. Andrey Pavlov & Eva Steiner & Susan Wachter, 2018. "The Consequences of REIT Index Membership for Return Patterns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 46(1), pages 210-250, March.
    17. Martin Hoesli & Kustrim Reka, 2011. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," ERES eres2011_63, European Real Estate Society (ERES).
    18. Lin Mi & Allan Hodgson, 2018. "Real estate's information and volatility links with stock, bond and money markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 465-491, November.
    19. He, Chi-Wei & Chang, Kuang-Liang & Wang, Yung-Jang, 2020. "Does the jump risk in the US market matter for Japan and Hong Kong? An investigation on the REIT market," Finance Research Letters, Elsevier, vol. 34(C).
    20. Liow, Kim Hiang & Newell, Graeme, 2016. "Real estate global beta and spillovers: An international study," Economic Modelling, Elsevier, vol. 59(C), pages 297-313.
    21. Roselyne Joyeux & George Milunovich, 2015. "Speculative bubbles, financial crises and convergence in global real estate investment trusts," Applied Economics, Taylor & Francis Journals, vol. 47(27), pages 2878-2898, June.
    22. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(2), pages 216-232, March.
    23. Walter I. Boudry & Robert A. Connolly & Eva Steiner, 2022. "What happens during flight to safety: Evidence from public and private real estate markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 147-172, March.
    24. Stelios Bekiros & Amanda Dahlström & Gazi Salah Uddin & Oskar Ege & Ranadeva Jayasekera, 2020. "A tale of two shocks: The dynamics of international real estate markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 3-27, January.
    25. Kim Hiang Liow, 2014. "The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 32(6), pages 610-641, August.
    26. Kim Hiang Liow & Shao Yue Angela, 2017. "Return and co-movement of major public real estate markets during global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(5), pages 489-508, August.
    27. Kim Hiang Liow & Felix Schindler, 2014. "An Assessment of the Relationship between Public Real Estate and Stock Markets at the Local, Regional, and Global Levels," International Real Estate Review, Global Social Science Institute, vol. 17(2), pages 157-202.
    28. Nguyen, Thi Thu Ha & Naeem, Muhammad Abubakr & Balli, Faruk & Balli, Hatice Ozer & Syed, Iqbal, 2021. "Information transmission between oil and housing markets," Energy Economics, Elsevier, vol. 95(C).
    29. Kim Liow & Muhammad Ibrahim, 2010. "Volatility Decomposition and Correlation in International Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 40(2), pages 221-243, February.
    30. Kim Hiang Liow & James R. Webb, 2008. "Nonlinear Return Dependence in Major Real Estate Markets," Journal of Property Research, Taylor & Francis Journals, vol. 25(4), pages 285-319, December.
    31. MeiChi Huang & LinYing Yeh, 2015. "Should the Fed take extra action for the recent housing bubble? Evidence from asymmetric transitory shocks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 762-781, October.
    32. Aityan, Sergey K. & Ivanov-Schitz, Alexey K. & Izotov, Sergey S., 2010. "Time-shift asymmetric correlation analysis of global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 590-605, December.
    33. Chyi Lin Lee & Simon Stevenson & Ming‐Long Lee, 2018. "Low‐frequency volatility of real estate securities and macroeconomic risk," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 311-342, November.
    34. Chyi Lin Lee, 2009. "Housing price volatility and its determinants," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 2(3), pages 293-308, August.
    35. Kim Liow & Zhiwei Chen & Jingran Liu, 2011. "Multiple Regimes and Volatility Transmission in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 42(3), pages 295-328, April.
    36. T. Miyazaki & S. Hamori, 2016. "Asymmetric correlations in gold and other financial markets," Applied Economics, Taylor & Francis Journals, vol. 48(46), pages 4419-4425, October.
    37. Kim Liow & Wei Chen, 2013. "Is There Volatility Convergence in Asia-Pacific Securitized Real Estate Markets?," The Journal of Real Estate Finance and Economics, Springer, vol. 47(2), pages 370-390, August.
    38. Kim Hiang Liow, 2012. "Co‐movements and Correlations Across Asian Securitized Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 97-129, March.
    39. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.
    40. Deqing Diane Li & YingChou Lin & John Jin, 2012. "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 41-51.
    41. Jing Liu & Geoffrey Loudon & George Milunovich, 2012. "Linkages between international REITs: the role of economic factors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(5), pages 473-492, August.
    42. Honglin Wang & Fan Yu & Yinggang Zhou, 2013. "Rental Rates under Housing Price Uncertainty: A Real Options Approach," Working Papers 242013, Hong Kong Institute for Monetary Research.
    43. Fan, Ying & Yang, Zan & Yavas, Abdullah, 2019. "Understanding real estate price dynamics: The case of housing prices in five major cities of China✰," Journal of Housing Economics, Elsevier, vol. 43(C), pages 37-55.
    44. Hui, Eddie Chi-Man & Wang, Ziyou, 2015. "Can we predict the property cycle? A study of securitized property market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 426(C), pages 72-87.
    45. Anderson, Randy I. & Chen, Yi-Chi & Wang, Li-Min, 2015. "A range-based volatility approach to measuring volatility contagion in securitized real estate markets," Economic Modelling, Elsevier, vol. 45(C), pages 223-235.
    46. Eva Steiner & Jamie Alcock, 2011. "New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts," ERES eres2011_161, European Real Estate Society (ERES).
    47. Elizabeth Devos & Erik Devos & Seow Eng Ong & Andrew C. Spieler, 2016. "Who Follows REITs?," Journal of Real Estate Research, American Real Estate Society, vol. 38(1), pages 129-164.
    48. Jian Yang & Yinggang Zhou & Wai Leung, 2012. "Asymmetric Correlation and Volatility Dynamics among Stock, Bond, and Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 491-521, August.
    49. Jamie Alcock & Eva Steiner, 2018. "Fundamental Drivers of Dependence in REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 4-42, July.
    50. Kim Hiang Liow, 2010. "Integration among USA, UK, Japanese and Australian securitised real estate markets: an empirical exploration," Journal of Property Research, Taylor & Francis Journals, vol. 27(4), pages 289-308, February.
    51. Kim Hiang Liow & Xiaoxia Zhou & Qing Ye, 2015. "Correlation Dynamics and Determinants in International Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(3), pages 537-585, September.
    52. Esta Lestari, 2010. "Volatility Spillover Effects in East Asian Capital Markets: A Case Study of the Real Estate Sectors," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 58, pages 57-82, April.
    53. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Co-movement between the US and the securitised real estate markets of the Asian-Pacific economies," Journal of Property Research, Taylor & Francis Journals, vol. 36(1), pages 27-58, January.
    54. Chang, Kuang-Liang, 2020. "An investigation on mixed housing-cycle structures and asymmetric tail dependences," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

  13. John Paul Broussard & David Michayluk & Walter P. Neely, 2005. "The Role of Growth in Long Term Investment Returns," Published Paper Series 2005-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Lipson, Marc L. & Mortal, Sandra & Schill, Michael J., 2011. "On the Scope and Drivers of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(6), pages 1651-1682, December.
    2. Mortal, Sandra C. & Schill, Michael J., 2018. "The role of firm investment in momentum and reversal," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 255-278.
    3. Michael J. Cooper & Huseyin Gulen & Michael J. Schill, 2008. "Asset Growth and the Cross‐Section of Stock Returns," Journal of Finance, American Finance Association, vol. 63(4), pages 1609-1651, August.
    4. Xuan Vinh Vo & Hong Thu Bui, 2016. "Asset growth and the cross section of stock returns - evidence from Vietnam," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 6(4), pages 289-304.
    5. Halit Gonenc & Silviu Ursu, 2018. "The Asset Growth Effect and Investor Protection in Emerging Markets: The Role of the Global Financial Crisis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(3), pages 491-507, February.
    6. Michael Dempsey & Abeyratna Gunasekarage & Thanh Tan Truong, 2019. "The association between dividend payout and firm growth: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(4), pages 2345-2376, December.
    7. Lin, Qi, 2017. "Noisy prices and the Fama–French five-factor asset pricing model in China," Emerging Markets Review, Elsevier, vol. 31(C), pages 141-163.
    8. Mortal, Sandra & Schill, Michael J., 2015. "The Post-Acquisition Returns of Stock Deals: Evidence of the Pervasiveness of the Asset Growth Effect," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(3), pages 477-507, June.
    9. Tarek Ibrahim Eldomiaty & Mohamed Hashem Rashwan, 2013. "The use of financial data to monitor competing models of firm growth," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 6(1), pages 69-86.
    10. Gray, Philip & Johnson, Jessica, 2011. "The relationship between asset growth and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 670-680, March.
    11. Que, Jiangjing & Zhang, Xueyong, 2019. "Pre-IPO growth, venture capital, and the long-run performance of IPOs," Economic Modelling, Elsevier, vol. 81(C), pages 205-216.

  14. Arman Kosedag & David Michayluk, 2004. "Repeated LBOs: The Case of Multiple LBO Transactions," Published Paper Series 2004-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. James Ang & Carol Boyer, 2009. "Has the 1987 crash changed the psyche of the stock market?," Review of Accounting and Finance, Emerald Group Publishing Limited, vol. 8(2), pages 138-154, May.

  15. Patrick Wilson & Ralf Zurbruegg & David Michayluk, 2004. "Real Estate Markets," ERES eres2004_560, European Real Estate Society (ERES).

    Cited by:

    1. Guojie Ma, 2016. "Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2016.
    2. Kim Hiang Liow & Xiaoxia Zhou & Qiang Li & Yuting Huang, 2019. "Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence," JRFM, MDPI, vol. 12(1), pages 1-23, January.
    3. James Chong & Alexandra Krystalogianni & Simon Stevenson, "undated". "Dynamic Correlations across REIT Sub-Sectors," Real Estate & Planning Working Papers rep-wp2011-07, Henley Business School, University of Reading.
    4. Sherry Zhou & Helen Bao, 2007. "Modelling Price Volatility in the Hong Kong Property Market," ERES eres2007_180, European Real Estate Society (ERES).
    5. Sherry Zhefang ZHOU & Helen Xiaohui BAO, 2009. "Modelling Price Dynamics In The Hong Kong Property Market," Theoretical and Empirical Researches in Urban Management, Research Centre in Public Administration and Public Services, Bucharest, Romania, vol. 4(1S), pages 8-26, April.
    6. Martin Hoesli & Kustrim Reka, 2011. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," ERES eres2011_63, European Real Estate Society (ERES).
    7. Stavros Degiannakis & Apostolos Kiohos, 2014. "Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 41(2), pages 216-232, March.
    8. Sulaiman T. Al-Abduljader, 2019. "Interdependence of Securitized Real Estate in Frontier Markets," International Real Estate Review, Global Social Science Institute, vol. 22(1), pages 83-108.
    9. Kim Hiang Liow, 2014. "The dynamics of return co-movements and volatility spillover effects in Greater China public property markets and international linkages," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 32(6), pages 610-641, August.
    10. Kim Hiang Liow & Shao Yue Angela, 2017. "Return and co-movement of major public real estate markets during global financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(5), pages 489-508, August.
    11. Chyi Lin Lee, 2009. "Housing price volatility and its determinants," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 2(3), pages 293-308, August.
    12. Kim Hiang Liow, 2012. "Co‐movements and Correlations Across Asian Securitized Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 40(1), pages 97-129, March.
    13. Das, Mahamitra & Kundu, Srikanta & Sarkar, Nityananda, 2019. "Mean and Volatility Spillovers between REIT and Stocks Returns A STVAR-BTGARCH-M Model," MPRA Paper 94707, University Library of Munich, Germany.
    14. Deqing Diane Li & YingChou Lin & John Jin, 2012. "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 41-51.
    15. Jing Liu & Geoffrey Loudon & George Milunovich, 2012. "Linkages between international REITs: the role of economic factors," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(5), pages 473-492, August.
    16. Esta Lestari, 2010. "Volatility Spillover Effects in East Asian Capital Markets: A Case Study of the Real Estate Sectors," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 58, pages 57-82, April.

  16. David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney.

    Cited by:

    1. José Yagüe & J. Gómez-Sala, 2005. "Price and tick size preferences in trading activity changes around stock split executions," Spanish Economic Review, Springer;Spanish Economic Association, vol. 7(2), pages 111-138, June.
    2. Arie E. Gozluklu & Pietro Perotti & Barbara Rindi & Roberta Fredella, 2013. "Removing the Trade Size Constraint? Evidence from the Italian Market Design," Working Papers 493, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.

  17. Paul Brockman & David Michayluk, 1997. "The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects," Published Paper Series 1997-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.

    Cited by:

    1. Brian Lucey & Edel Tully, 2005. "Are Local or International influences responsible for the pre-holiday behaviour of Irish equities?," The Institute for International Integration Studies Discussion Paper Series iiisdp056, IIIS.
    2. Dimitrios Kourtidis & Željko Šević & Prodromos Chatzoglou, 2016. "Mood and stock returns: evidence from Greece," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(2), pages 242-258, May.
    3. Andrey Kudryavtsev, 2019. "Holiday Effect on Large Stock Price Changes," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 633-660, November.
    4. Oded Galor & Omer Moav, 2005. "Land Inequality and the Origin of Divergence and Overtaking in the Growth Process: Theory and Evidence," 2005 Meeting Papers 24, Society for Economic Dynamics.
    5. Müller, Gernot & Durand, Robert B. & Maller, Ross A., 2011. "The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 306-320, March.
    6. Andrey Kudryavtsev, 2018. "Holiday effect on stock price reactions to analyst recommendation revisions," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 507-521, December.
    7. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Testing the significance of calendar effects," FRB Atlanta Working Paper 2005-02, Federal Reserve Bank of Atlanta.
    8. Stauffer, Dietrich & Sornette, Didier, 1999. "Self-organized percolation model for stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 271(3), pages 496-506.
    9. Andrey Kudryavtsev, 2017. ""I'll Think about it Tomorrow": Price Drifts Following Large Pre-Holiday Stock Price Moves," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 9(2), pages 043-062, December.

Articles

  1. Patel, Vinay & Putniņš, Tālis J. & Michayluk, David & Foley, Sean, 2020. "Price discovery in stock and options markets," Journal of Financial Markets, Elsevier, vol. 47(C).

    Cited by:

    1. Yaping Zhou & Dayong Lv, 2023. "Aggregate Investor Sentiment and Time-Varying Price Discovery: Evidence from the Options Market," Economic Analysis Letters, Anser Press, vol. 2(2), pages 1-6, May.
    2. Hauser, Shmuel & Kedar-Levy, Haim & Milo, Orit, 2022. "Price discovery during parallel stocks and options preopening: Information distortion and hints of manipulation," Journal of Financial Markets, Elsevier, vol. 59(PA).
    3. Chakrabarty, Bidisha & Cox, Justin & Upson, James E., 2022. "Tick Size Pilot Program and price discovery in U.S. stock markets," Journal of Financial Markets, Elsevier, vol. 59(PB).
    4. Marc J. M. Bohmann & David Michayluk & Vinay Patel, 2019. "Price discovery in commodity derivatives: Speculation or hedging?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1107-1121, September.
    5. Wu, Zekun & Borochin, Paul & Golec, Joseph, 2024. "Informed options trading before FDA drug advisory meetings," Journal of Corporate Finance, Elsevier, vol. 84(C).
    6. Xingguo Luo & Yuting Lin & Xiaoli Yu & Feng He, 2021. "How trading in commodity futures option markets impacts commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1333-1347, August.
    7. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," LSE Research Online Documents on Economics 119289, London School of Economics and Political Science, LSE Library.
    8. Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 605-644, April.
    9. Kelley Bergsma & Andy Fodor & Vijay Singal & Jitendra Tayal, 2020. "Option trading after the opening bell and intraday stock return predictability," Financial Management, Financial Management Association International, vol. 49(3), pages 769-804, September.
    10. Edson Kambeu, 2017. "The role of Exchange Traded Funds in the price discovery process of stocks listed on the Botswana Stock Exchange," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 6(1), pages 141-148, January.
    11. Avinash & T. Mallikarjunappa, 2020. "Informational Role of Open Interest and Transaction Volume of Options: A Meta-Analytic Review," FIIB Business Review, , vol. 9(4), pages 275-285, December.
    12. Damien Wallace & Petko S. Kalev & Guanhua Lian, 2019. "The evolution of price discovery in us equity and derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1122-1136, September.
    13. Celina Löwen & Bilal Kchouri & Thorsten Lehnert, 2021. "Is this time really different? Flight-to-safety and the COVID-19 crisis," PLOS ONE, Public Library of Science, vol. 16(5), pages 1-17, May.
    14. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    15. Liwei Jin & Xianghui Yuan & Li Peiran & Hailun Xu & Feng Lian, 2023. "Option features and price discovery in convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 384-403, March.
    16. Lockwood, Jimmy & Lockwood, Larry & Miao, Hong & Ramchander, Sanjay & Yang, Dongxiao, 2022. "The information content of ETF options," Global Finance Journal, Elsevier, vol. 53(C).
    17. Bevilacqua, Mattia & Tunaru, Radu & Vioto, Davide, 2023. "Options-based systemic risk, financial distress, and macroeconomic downturns," Journal of Financial Markets, Elsevier, vol. 65(C).
    18. Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    19. Collings, David & Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Larkin, Charles & Oxley, Les, 2022. "The effects of negative reputational contagion on international airlines: The case of the Boeing 737-MAX disasters," International Review of Financial Analysis, Elsevier, vol. 80(C).
    20. Yangyang Chen & Jeffrey Ng & Xin Yang, 2021. "Talk Less, Learn More: Strategic Disclosure in Response to Managerial Learning from the Options Market," Journal of Accounting Research, Wiley Blackwell, vol. 59(5), pages 1609-1649, December.
    21. Angelo Aspris & Sean Foley & Peter O'Neill, 2020. "Benchmarks in the spotlight: The impact on exchange traded markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1691-1710, November.
    22. Gaurav Gairola & Kushankur Dey, 2023. "Price discovery and risk management in asset class: a bibliometric analysis and research agenda," Applied Economics Letters, Taylor & Francis Journals, vol. 30(17), pages 2320-2331, October.
    23. Marc J. M. Bohmann & Vinay Patel, 2022. "Informed options trading prior to FDA announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1211-1236, July.
    24. Da Dong & Qingfu Liu & Pingping Tao & Zhiliang Ying, 2021. "The pricing mechanism between ETF option and spot markets in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1286-1300, August.
    25. Riccardo De Blasis, 2020. "The price leadership share: a new measure of price discovery in financial markets," Annals of Finance, Springer, vol. 16(3), pages 381-405, September.
    26. Liwei Jin & Xianghui Yuan & Shihao Wang & Peiran Li & Feng Lian, 2022. "Trades or quotes: Which drives price discovery? Evidence from Chinese index futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2235-2247, December.
    27. Zou, Mi & Han, Lin & Yang, Zhini, 2024. "Price discovery of the Chinese crude oil options and futures markets," Finance Research Letters, Elsevier, vol. 60(C).
    28. Liwei Jin & Xianghui Yuan & Jun Long & Xiang Li & Feng Lian, 2022. "Price discovery in the CSI 300 Index derivatives markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1352-1368, July.
    29. Doojin Ryu & Jinyoung Yu, 2021. "Informed options trading around holidays," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 658-685, May.
    30. Chang‐Mo Kang & Donghyun Kim & Junyong Kim & Geul Lee, 2022. "Informed trading of out‐of‐the‐money options and market efficiency," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 45(2), pages 247-279, June.
    31. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    32. Su, Fei & Zhang, Jingjing, 2018. "Global price discovery in the Australian dollar market and its determinants," Pacific-Basin Finance Journal, Elsevier, vol. 48(C), pages 35-55.
    33. Dimpfl, Thomas & Peter, Franziska J., 2021. "Nothing but noise? Price discovery across cryptocurrency exchanges," Journal of Financial Markets, Elsevier, vol. 54(C).
    34. Hao, Jing & He, Feng & Liu-Chen, Baiao & Li, Zihe, 2021. "Price discovery and its determinants for the Chinese soybean options and futures markets," Finance Research Letters, Elsevier, vol. 40(C).
    35. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019. "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 118-131.
    36. Kelley Bergsma & Vivien Csapi & Dean Diavatopoulos & Andy Fodor, 2020. "Show me the money: Option moneyness concentration and future stock returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 761-775, May.

  2. Marc J. M. Bohmann & David Michayluk & Vinay Patel, 2019. "Price discovery in commodity derivatives: Speculation or hedging?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1107-1121, September.

    Cited by:

    1. Wu, Nan & Wen, Fenghua & Gong, Xu, 2022. "Marionettes behind co-movement of commodity prices: Roles of speculative and hedging activities," Energy Economics, Elsevier, vol. 115(C).
    2. Lado-Sestayo, Rubén & De Llano-Paz, Fernando & Vivel-Búa, Milagros & Martínez-Salgueiro, Andrea, 2023. "Commodity exposure in the eurozone: How EU energy security is conditioned by the Euro," Energy, Elsevier, vol. 277(C).
    3. Xingguo Luo & Yuting Lin & Xiaoli Yu & Feng He, 2021. "How trading in commodity futures option markets impacts commodity futures prices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1333-1347, August.
    4. Mathias Schneid Tessmann & Carlos Enrique Carrasco-Gutierrez & Alexandre Vasconcelos Lima, 2023. "Determinants of Corn and Soybean Futures Prices Traded on the Brazilian Stock Exchange: An ARDL Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 15(1), pages 1-65, January.
    5. Yakup Söylemez, 2019. "Cryptocurrency Derivatives: The Case of Bitcoin," Contributions to Economics, in: Umit Hacioglu (ed.), Blockchain Economics and Financial Market Innovation, chapter 0, pages 515-530, Springer.
    6. Algirdas Justinas Staugaitis & Bernardas Vaznonis, 2022. "Financial Speculation Impact on Agricultural and Other Commodity Return Volatility: Implications for Sustainable Development and Food Security," Agriculture, MDPI, vol. 12(11), pages 1-27, November.
    7. A.N. Vijayakumar, 2023. "Declining trade interest in Indian commodity derivatives: a survey-based study on cardamom futures contract," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 28(3), pages 333-346.
    8. Sheunesu Zhou, 2021. "Analyzing the Relationship between Derivative Usage and Systemic Risk in South Africa," Eurasian Journal of Economics and Finance, Eurasian Publications, vol. 9(4), pages 217-234.
    9. Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    10. Fernandez-Perez, Adrian & Miffre, Joëlle & Schoen, Tilman & Scott, Ayesha, 2023. "Do spot market auction data help price discovery?," Journal of Commodity Markets, Elsevier, vol. 31(C).
    11. Sanjay Sehgal & Neharika Sobti & Florent Diesting, 2021. "Who leads in intraday gold price discovery and volatility connectedness: Spot, futures, or exchange‐traded fund?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1092-1123, July.
    12. Marc J. M. Bohmann & Vinay Patel, 2022. "Informed options trading prior to FDA announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1211-1236, July.
    13. Da Dong & Qingfu Liu & Pingping Tao & Zhiliang Ying, 2021. "The pricing mechanism between ETF option and spot markets in China," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1286-1300, August.
    14. Zou, Mi & Han, Lin & Yang, Zhini, 2024. "Price discovery of the Chinese crude oil options and futures markets," Finance Research Letters, Elsevier, vol. 60(C).
    15. Adrian Fernandez-Perez & Joëlle Miffre & Tilman Schoen & Ayesha Scott, 2023. "Do spot market auction data help price discovery?," Post-Print hal-04121327, HAL.
    16. Hao, Jing & He, Feng & Liu-Chen, Baiao & Li, Zihe, 2021. "Price discovery and its determinants for the Chinese soybean options and futures markets," Finance Research Letters, Elsevier, vol. 40(C).
    17. Wang Haoyu & Junpeng Di & Qing Han, 2023. "Adaptive hedging horizon and hedging performance estimation," Papers 2302.00251, arXiv.org.
    18. Edward Curran & Jack Hunt & Vito Mollica, 2020. "Trading protocols and price discovery: Implicit transaction costs in Indian single stock futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(11), pages 1793-1806, November.

  3. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019. "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 118-131.

    Cited by:

    1. Aman, Hiroyuki & Beekes, Wendy & Berkman, Henk & Bohmann, Marc & Bradbury, Michael & Chapple, Larelle & Chang, Millicent & Clout, Victoria & Faff, Robert & Han, Jianlei & Hillier, David & Hodgson, All, 2019. "Responsible science: Celebrating the 50-year legacy of Ball and Brown (1968) using a registration-based framework," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 129-150.
    2. Robert W. Faff, 2019. "Adopting a Structured Abstract Design to More Effectively Catch Reader Attention: An Application of the Pitching Research® Framework," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 1-13.
    3. Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Marc J. M. Bohmann & Vinay Patel, 2022. "Informed options trading prior to FDA announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1211-1236, July.
    5. Robert Faff & Tim Kastelle & Micheal Axelsen & Mark Brosnan & Rebecca Michalak & Kathleen Walsh, 2021. "Pitching research for engagement and impact: a simple tool and illustrative examples," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3329-3383, June.
    6. Alexandre Ripamonti & Raphael Videira & Denis Ichimura, 2020. "Asymmetric information and daily stock prices in Brazil," Estudios Gerenciales, Universidad Icesi, vol. 36(157), pages 465-472, December.

  4. David Michayluk & Karyn Neuhauser & Scott Walker, 2019. "Are all dividends created equal? Australian evidence using dividend‐increase track records," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(4), pages 2621-2643, December.

    Cited by:

    1. Michael Dempsey & Abeyratna Gunasekarage & Thanh Tan Truong, 2019. "The association between dividend payout and firm growth: Australian evidence," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(4), pages 2345-2376, December.
    2. Yoonsoo Nam & Scott J Niblock & Elisabeth Sinnewe & Keith Jakob, 2018. "Do corporate directors ‘heap’ dividends? Evidence on dividend rounding and information uncertainty in Australian firms," Australian Journal of Management, Australian School of Business, vol. 43(3), pages 421-438, August.

  5. Aman, Hiroyuki & Beekes, Wendy & Berkman, Henk & Bohmann, Marc & Bradbury, Michael & Chapple, Larelle & Chang, Millicent & Clout, Victoria & Faff, Robert & Han, Jianlei & Hillier, David & Hodgson, All, 2019. "Responsible science: Celebrating the 50-year legacy of Ball and Brown (1968) using a registration-based framework," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 129-150.

    Cited by:

    1. Sakawa, Hideaki & Watanabel, Naoki & Gu, Junjian, 2022. "Internationalization and the reliance of analyst forecasts in stakeholder-oriented corporate governance: Evidence from Japanese MNEs," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    2. Robert W. Faff, 2019. "Adopting a Structured Abstract Design to More Effectively Catch Reader Attention: An Application of the Pitching Research® Framework," Capital Markets Review, Malaysian Finance Association, vol. 27(2), pages 1-13.
    3. Robert Faff & Tim Kastelle & Micheal Axelsen & Mark Brosnan & Rebecca Michalak & Kathleen Walsh, 2021. "Pitching research for engagement and impact: a simple tool and illustrative examples," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3329-3383, June.
    4. Robert W. Faff & Sumit Lodhia, 2021. "… More on the use of research templates," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5003-5023, December.

  6. David Michayluk & Scott Walker & Karyn Neuhauser, 2019. "Dividend Consistency: Rewards, Learning, and Expectations," Journal of Applied Corporate Finance, Morgan Stanley, vol. 31(4), pages 118-128, December.

    Cited by:

    1. Walker, Scott, 2021. "Post-split underreaction: The importance of prior split history," International Review of Financial Analysis, Elsevier, vol. 78(C).

  7. Dang, Viet Anh & Michayluk, David & Pham, Thu Phuong, 2018. "The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ," Journal of Financial Markets, Elsevier, vol. 41(C), pages 17-35.

    Cited by:

    1. Watson, Ethan D. & Woods, Donovan, 2022. "Exchange introduction and market competition: The entrance of MEMX and MIAX," Global Finance Journal, Elsevier, vol. 54(C).
    2. Y. Peter Chung & S. Thomas Kim & Kenji Kutsuna & Richard L. Smith, 2020. "Which firms benefit from market making?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(1), pages 33-63, March.
    3. Mona Mortazian, 2022. "Liquidity and Volatility of Stocks Moved from the Main Market to the Alternative Investment Market (AIM)," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 195-220, June.
    4. Wolfgang Bessler & Johannes Beyenbach & Marc Steffen Rapp & Marco Vendrasco, 2023. "Why do firms down-list or exit from securities markets?," Review of Managerial Science, Springer, vol. 17(4), pages 1175-1211, May.
    5. Pham, Thu Phuong & Singh, Harminder & Vu, Van Hoang, 2023. "The impact of bank loan announcements on stock liquidity," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 848-864.
    6. Chen, Zhongdong & Craig, Karen Ann, 2023. "Active attention, retail investor base, and stock returns," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    7. Zhang, Xiaotao & Wang, Ziqiao & Hao, Jing & He, Feng, 2022. "Price limit and stock market quality: Evidence from a quasi-natural experiment in the Chinese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 74(C).

  8. Gerig, Austin & Michayluk, David, 2017. "Automated liquidity provision," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 1-13.

    Cited by:

    1. Mario Bellia & Loriana Pelizzon & Marti G. Subrahmanyam & Jun Uno & Darya Yuferova, 2020. "Coming early to the party," Working Papers 2020:11, Department of Economics, University of Venice "Ca' Foscari".
    2. Moriyasu, Hiroshi & Wee, Marvin & Yu, Jing, 2018. "The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets," Pacific-Basin Finance Journal, Elsevier, vol. 49(C), pages 103-128.
    3. Zhang, Wei & Huang, Ke & Feng, Xu & Zhang, Yongjie, 2017. "Market maker competition and price efficiency: Evidence from China," Economic Modelling, Elsevier, vol. 66(C), pages 121-131.
    4. Edward W. Sun & Timm Kruse & Yi-Ting Chen, 2019. "Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity," Annals of Operations Research, Springer, vol. 281(1), pages 315-347, October.
    5. Kin‐Yip Ho & Wai‐Man Liu & Jing Yu, 2018. "Public News Arrival and Cross‐Asset Correlation Breakdown," International Review of Finance, International Review of Finance Ltd., vol. 18(3), pages 411-451, September.
    6. Hee Su Roh & Yinyu Ye, 2015. "Market Making with Model Uncertainty," Papers 1509.07155, arXiv.org, revised Nov 2015.
    7. Austin Gerig, 2012. "High-Frequency Trading Synchronizes Prices in Financial Markets," Papers 1211.1919, arXiv.org.
    8. Daniel Fricke & Austin Gerig, 2018. "Too fast or too slow? Determining the optimal speed of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 18(4), pages 519-532, April.
    9. Kun Li, 2018. "Do high-frequency fleeting orders exacerbate market illiquidity?," Electronic Commerce Research, Springer, vol. 18(2), pages 241-255, June.

  9. Patel, Vinay & Michayluk, David, 2016. "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 202-214.

    Cited by:

    1. Hadhri, Sinda & Ftiti, Zied, 2017. "Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 39-60.
    2. Júlio Lobão & Maria Eva Jerke, 2020. "Short-term Overreaction in American Depository Receipts," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 423-435, December.
    3. Chun-Teck Lye & Tuan-Hock Ng & Kwee-Pheng Lim & Chin-Yee Gan, 2020. "Investor protection and market reaction to unusual market activity replies," International Journal of Emerging Markets, Emerald Group Publishing Limited, vol. 16(8), pages 2034-2069, July.
    4. Marc Bohmann & Vinay Patel, 2020. "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series 2020-2, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Marc J. M. Bohmann & Vinay Patel, 2022. "Informed options trading prior to FDA announcements," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(7-8), pages 1211-1236, July.
    6. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019. "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, vol. 54(C), pages 118-131.

  10. David Michayluk & Karyn Neuhauser & Scott Walker, 2014. "Are Certain Dividend Increases Predictable? The Effect of Repeated Dividend Increases on Market Returns," Journal of Applied Corporate Finance, Morgan Stanley, vol. 26(4), pages 118-126, December.

    Cited by:

    1. Walker, Scott, 2021. "Post-split underreaction: The importance of prior split history," International Review of Financial Analysis, Elsevier, vol. 78(C).
    2. Ebenezer Asem & Shamsul Alam, 2021. "The abnormal return associated with consecutive dividend increases," The European Journal of Finance, Taylor & Francis Journals, vol. 27(3), pages 222-238, February.

  11. David Michayluk & Ralf Zurbruegg, 2014. "Do lead articles signal higher quality in the digital age? Evidence from finance journals," Scientometrics, Springer;Akadémiai Kiadó, vol. 98(2), pages 961-973, February.
    See citations under working paper version above.
  12. Van de Venter, Gerhard & Michayluk, David & Davey, Geoff, 2012. "A longitudinal study of financial risk tolerance," Journal of Economic Psychology, Elsevier, vol. 33(4), pages 794-800.

    Cited by:

    1. Necker, Sarah & Ziegelmeyer, Michael, 2014. "Household Risk Taking after the Financial Crisis," MEA discussion paper series 201402, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    2. Caterina Cruciani & Gloria Gardenal & Giuseppe Amitrano, 2022. "Risk Tolerance Tools: From Academia to Regulation and Back," Springer Books, in: Understanding Financial Risk Tolerance, chapter 0, pages 39-78, Springer.
    3. Anzel Van den Bergh-Lindeque & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer & Thomas Habanabakize, 2022. "What makes risk-averse investors tick? A practitioners guide," Cogent Economics & Finance, Taylor & Francis Journals, vol. 10(1), pages 2111786-211, December.
    4. Mark J. Browne & Verena Jäger & Andreas Richter & Petra Steinorth, 2022. "Family changes and the willingness to take risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(1), pages 187-209, March.
    5. Mohammad Tariqul Islam Khan, 2022. "Prior perceived losses and investment objectives after stock market crisis: a moderated-mediation model of risk tolerance and loss aversion," SN Business & Economics, Springer, vol. 2(7), pages 1-22, July.
    6. Sara Jonsson & Inga-Lill Söderberg, 2018. "Investigating explanatory theories on laypeople’s risk perception of personal economic collapse in a bank crisis – the Cyprus case," Journal of Risk Research, Taylor & Francis Journals, vol. 21(6), pages 763-779, June.
    7. Mahfuzur Rahman & Mohamed Albaity & Tarannum Azim Baigh & Md. Abdul Kaium Masud, 2023. "Determinants of Financial Risk Tolerance: An Analysis of Psychological Factors," JRFM, MDPI, vol. 16(2), pages 1-12, January.
    8. Agostino Capponi & Sveinn Olafsson & Thaleia Zariphopoulou, 2019. "Personalized Robo-Advising: Enhancing Investment through Client Interaction," Papers 1911.01391, arXiv.org, revised Nov 2020.
    9. Di Wang & Frank McGroarty, 2022. "Does perfectionism influence individual financial risk tolerance and financial well-being? Evidence from an online survey data from the US," SN Business & Economics, Springer, vol. 2(11), pages 1-32, November.
    10. Anbar, Adem & Eker, Melek, 2019. "The Effect of Sociodemographic Variables and Love of Money on Financial Risk Tolerance of Bankers," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 10(4), pages 855-866, July.
    11. Cheng, Teng Yuan & Lee, Chun I & Lin, Chao Hsien, 2013. "An examination of the relationship between the disposition effect and gender, age, the traded security, and bull–bear market conditions," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 195-213.
    12. Fang, Ming & Li, Haiyang & Wang, Qin, 2021. "Risk tolerance and household wealth--Evidence from Chinese households," Economic Modelling, Elsevier, vol. 94(C), pages 885-895.
    13. Humaira Asad & Iqra Toqeer & Khalid Mahmood, 2021. "A qualitative phenomenological exploration of social mood and investors’ risk tolerance in an emerging economy," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 14(1), pages 189-211, August.
    14. Nicoletta Marinelli & Camilla Mazzoli & Fabrizio Palmucci, 2017. "Mind the Gap: Inconsistencies Between Subjective and Objective Financial Risk Tolerance," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 18(2), pages 219-230, April.
    15. Agostino Capponi & Sveinn Ólafsson & Thaleia Zariphopoulou, 2022. "Personalized Robo-Advising: Enhancing Investment Through Client Interaction," Management Science, INFORMS, vol. 68(4), pages 2485-2512, April.
    16. Heenkenda, Shirantha, 2014. "Determination of Financial Risk Tolerance among Different Household Sectors in Sri Lanka," MPRA Paper 67324, University Library of Munich, Germany.
    17. Biswajit Prasad Chhatoi & Munmun Mohanty, 2023. "Discriminants of risk tolerance among Indian investors: a dichotomous discriminant approach," International Journal of Managerial and Financial Accounting, Inderscience Enterprises Ltd, vol. 15(1), pages 112-134.
    18. Kylie J. Gilbey & Sharon Purchase, 2023. "Segmented financial risk tolerances within the standardised initial public offering regulatory environment of the Australian Securities Exchange," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S1), pages 1447-1475, April.
    19. Anindya Chakrabarty & Anupam De & Gautam Bandyopadhyay, 2016. "Horizon heterogeneity, institutional constraint and managerial myopia: a multi-frequency perspective on ELSS," International Journal of Business Excellence, Inderscience Enterprises Ltd, vol. 9(1), pages 18-47.
    20. Zandri Dickason-Koekemoer & Suné Ferreira, 2018. "Subjective Risk Tolerance of South African Investors," Journal of Economics and Behavioral Studies, AMH International, vol. 10(6), pages 286-294.
    21. David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
    22. Chris Brooks & Ivan Sangiorgi & Anastasiya Saraeva & Carola Hillenbrand & Kevin Money, 2023. "The importance of staying positive: The impact of emotions on attitude to risk," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3232-3261, July.
    23. Monika Mueller & Paul Resnik & Craig Saunders, 2021. "Risk Preferences of Investors," Palgrave Studies in Financial Services Technology, in: Peter Scholz (ed.), Robo-Advisory, chapter 0, pages 35-51, Palgrave Macmillan.
    24. Hermansson, Cecilia, 2016. "Relationships between bank customers’ risk attitudes and their balance sheets," Working Paper Series 12/15, Royal Institute of Technology, Department of Real Estate and Construction Management & Banking and Finance.
    25. D. Kellerman & Z. Dickason-Koekemoer & S. Ferreira & David McMillan, 2020. "Analysing investment product choice in South Africa under the investor lifecycle," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1848972-184, January.
    26. Mihai Chişu, 2019. "Risk Aversion And Financial Effects Into The Asset Management Industry," Romanian Economic Business Review, Romanian-American University, vol. 14(2), pages 25-39, June.
    27. Sandip Chattopadhyay & Ranjan Dasgupta, 2015. "Demographic and Socioeconomic Impact on Risk Attitudes of the Indian Investors - An Empirical Study," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 5(4), pages 601-623.
    28. Zandri Dickason-Koekemoer & Sune Ferreira-Schenk, 2022. "Constructing a Model for Domain-specific Risk-taking, Life Satisfaction and Risk Tolerance of Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 12(4), pages 84-90, July.
    29. Suné Ferreira & Zandri Dickason-Koekemoer, 2020. "A structural equation model of financial risk tolerance in South Africa," Cogent Business & Management, Taylor & Francis Journals, vol. 7(1), pages 1811595-181, January.
    30. Fisher, Patti J. & Yao, Rui, 2017. "Gender differences in financial risk tolerance," Journal of Economic Psychology, Elsevier, vol. 61(C), pages 191-202.
    31. Zaheer Ahmed & Umara Noreen & Suresh A.L. Ramakrishnan & Dewi Fariha Binti Abdullah, 2021. "What explains the investment decision-making behaviour? The role of financial literacy and financial risk tolerance," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 11(1), pages 1-19.
    32. Wookjae Heo & John E. Grable & Abed G. Rabbani, 2020. "A test of the association between the initial surge in COVID-19 cases and subsequent changes in financial risk tolerance," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 13(1), pages 3-19, August.
    33. Sune Ferreira & Zandri Dickason-Koekemoer, 2019. "The Relationship Between Depositor Behaviour and Risk Tolerance in a South African Context," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(3), pages 36-55, September.
    34. Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2023. "Analysing the Factors Affecting the Long-term Investment Intention of Investors," International Journal of Economics and Financial Issues, Econjournals, vol. 13(1), pages 112-120, January.
    35. Eva Branten, 2022. "The role of risk attitudes and expectations in household borrowing: evidence from Estonia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 22(2), pages 126-145.
    36. Evodia Mankuroane & Wilme van Heerden & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Psychological and Behavioural Drivers of Short-Term Investment Intentions," International Journal of Economics and Financial Issues, Econjournals, vol. 12(4), pages 19-27, July.
    37. Ian Smith, 2016. "A study into UK Financial Planners opinions on risk tolerance and risk perception," Proceedings of International Academic Conferences 4006388, International Institute of Social and Economic Sciences.
    38. Brian Lucey & Charles Larkin, 2012. "Risk Tolerance and Demographic Characteristics: Preliminary Irish Evidence," The Institute for International Integration Studies Discussion Paper Series iiisdp406, IIIS.
    39. Zandri Koekemoer, 2019. "The influence of the level of education on investors risk tolerance level," Proceedings of Economics and Finance Conferences 9511449, International Institute of Social and Economic Sciences.
    40. Broihanne, Marie-Hélène & Orkut, Hava & Osei-Tutu, Francis, 2023. "Cold time, cool time? Weather-induced moods and financial risk tolerance: Evidence from a real-world banking context," Finance Research Letters, Elsevier, vol. 55(PB).

  13. David Michayluk & Ruoyun Zhao, 2010. "Stock Splits and Bond Yields: Isolating the Signaling Hypothesis," The Financial Review, Eastern Finance Association, vol. 45(2), pages 375-386, May.

    Cited by:

    1. Júlio Lobão & Sílvia Santos, 2019. "Stock Market Reaction To Brexit Announcements: Evidence From A Natural Experiment," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-17, September.
    2. Maul, D. & Schiereck, D., 2017. "The bond event study methodology since 1974," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 80723, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    3. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
    4. Ederington, Louis & Guan, Wei & Yang, Lisa (Zongfei), 2015. "Bond market event study methods," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 281-293.

  14. William Bertin & Paul Fowler & David Michayluk & Laurie Prather, 2010. "An analysis of Australian exchange traded options and warrants," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(2), pages 150-172, April.

    Cited by:

    1. Michael Clarke & Gerard Gannon & Russell Vinning, 2011. "The Impact of Warrant Introduction: The Australian Experience," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 14(02), pages 213-269.
    2. Clarke, Michael & Gannon, Gerard & Vinning, Russell, 2007. "The impact of warrant introduction: Australian experience," Working Papers aef_2007_11, Deakin University, Department of Economics.
    3. Bae, Kwangil & Lee, Soonhee, 2022. "Prices of derivative warrants considering their market characteristics and short-selling costs of underlying assets," Finance Research Letters, Elsevier, vol. 45(C).

  15. Paul Kofman & David Michayluk & James T. Moser, 2009. "Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(12), pages 1130-1160, December.

    Cited by:

    1. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Quantile information share under Markov regime‐switching," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 493-513, April.

  16. Lin, Bing-Xuan & Michayluk, David & Oppenheimer, Henry R. & Sabherwal, Sanjiv, 2009. "French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 223-231, December.

    Cited by:

    1. Thanos Verousis & Pietro Perotti & Georgios Sermpinis, 2018. "One size fits all? High frequency trading, tick size changes and the implications for exchanges: market quality and market structure considerations," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 353-392, February.
    2. Xiao, Xijuan & Yamamoto, Ryuichi, 2020. "Price discovery, order submission, and tick size during preopen period," Pacific-Basin Finance Journal, Elsevier, vol. 63(C).

  17. Lin, Bing-Xuan & Michayluk, David & Oppenheimer, Henry R. & Reid, Sean F., 2008. "Hubris amongst Japanese bidders," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 121-159, January.

    Cited by:

    1. Kim, Kenneth A. & Nofsinger, John R., 2008. "Behavioral finance in Asia," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 1-7, January.
    2. Masao Nakamura, 2011. "Adoption and policy implications of Japan’s new corporate governance practices after the reform," Asia Pacific Journal of Management, Springer, vol. 28(1), pages 187-213, March.
    3. Hsu, Yenshan & Shiu, Cheng-Yi, 2010. "The overconfidence of investors in the primary market," Pacific-Basin Finance Journal, Elsevier, vol. 18(2), pages 217-239, April.
    4. Mehrotra, V. & van Schaik, D. & Spronk, J. & Steenbeek, O.W., 2008. "Impact of Japanese Mergers on Shareholder Wealth: An Analysis of Bidder and Target Companies," ERIM Report Series Research in Management ERS-2008-032-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    5. Mehrotra, Vikas & Schaik, Dimitri van & Spronk, Jaap & Steenbeek, Onno, 2009. "Creditor-Focused Corporate Governance: Evidence from Mergers and Acquisitions in Japan," CEI Working Paper Series 2009-01, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
    6. Jie Michael Guo & Qian He & Jiayuan Xin & Jia Liu, 2020. "Managerial overconfidence and M%A performance: evidence from China," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 11(3), pages 342-360.

  18. Gerhard van de Venter & David Michayluk, 2008. "An Insight into Overconfidence in the Forecasting Abilities of Financial Advisors," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 545-557, March.

    Cited by:

    1. Bin Liu & Monica Tan, 2019. "Overconfidence and forecast accuracy," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(3), pages 601-618, July.
    2. Gignac, Gilles E. & Zajenkowski, Marcin, 2019. "People tend to overestimate their romantic partner's intelligence even more than their own," Intelligence, Elsevier, vol. 73(C), pages 41-51.
    3. Zamri Ahmad & Haslindar Ibrahim & Jasman Tuyon, 2017. "Behavior of fund managers in Malaysian investment management industry," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(3), pages 205-239, August.
    4. Hanvedes Daovisan & Thanapauge Chamaratana, 2020. "Resistance to change in the financial management of small family-owned firms: a grounded theory of family firms in Laos," Journal of Accounting & Organizational Change, Emerald Group Publishing Limited, vol. 16(3), pages 497-514, August.
    5. Chi-Wen Chen & Marios Koufaris, 2015. "The impact of decision support system features on user overconfidence and risky behavior," European Journal of Information Systems, Taylor & Francis Journals, vol. 24(6), pages 607-623, November.
    6. Athota, Vidya S. & Pereira, Vijay & Hasan, Zahid & Vaz, Daicy & Laker, Benjamin & Reppas, Dimitrios, 2023. "Overcoming financial planners’ cognitive biases through digitalization: A qualitative study," Journal of Business Research, Elsevier, vol. 154(C).
    7. Meyer, Kevin, 2016. "Immobilienbeschaffung durch lebenszyklusübergreifende Wertschöpfungspartnerschaften: Empirische Analyse der Chancen und Risiken betrieblicher Immobiliennutzer," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 81267, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    8. Rafał Wolski & Monika Bolek & Jerzy Gajdka & Janusz Brzeszczyński & Ali M. Kutan, 2023. "Do investment fund managers behave rationally in the light of central bank communication? Survey evidence from Poland," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 15(5), pages 757-794, February.
    9. Zamri Ahmad & Haslindar Ibrahim & Jasman Tuyon, 2017. "Institutional investor behavioral biases: syntheses of theory and evidence," Management Research Review, Emerald Group Publishing Limited, vol. 40(5), pages 578-603, May.
    10. Marina Fiedler, 2011. "Experience and Confidence in an Internet‐Based Asset Market Experiment," Southern Economic Journal, John Wiley & Sons, vol. 78(1), pages 30-52, July.
    11. Vetter, J. & Benlian, Alexander & Hess, T., 2011. "Overconfidence in IT Investment Decisions: Why Knowledge can be Boon and Bane at the same Time," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 58030, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    12. Oberlechner, Thomas & Osler, Carol, 2012. "Survival of Overconfidence in Currency Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(1), pages 91-113, February.
    13. Olubunmi Edward Ogunlusi & Olalekan Obademi, 2021. "The Impact of Behavioural Finance on Investment Decision-making: A Study of Selected Investment Banks in Nigeria," Global Business Review, International Management Institute, vol. 22(6), pages 1345-1361, December.
    14. Rabbani, Abed G. & Grable, John E., 2022. "Can portfolio risk be described with estimates of financial risk tolerance calibration?," Finance Research Letters, Elsevier, vol. 46(PB).
    15. Ramzi Boussaidi, 2022. "Implications of the overconfidence bias in presence of private information: Evidence from MENA stock markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3660-3678, July.
    16. Thomas Oberlechner & Carol Osler, 2009. "Overconfidence in Currency Markets," Working Papers 02, Brandeis University, Department of Economics and International Business School.
    17. Gignac, Gilles E. & Zajenkowski, Marcin, 2020. "The Dunning-Kruger effect is (mostly) a statistical artefact: Valid approaches to testing the hypothesis with individual differences data," Intelligence, Elsevier, vol. 80(C).
    18. Amandha Ganegoda & John Evans, 2014. "A framework to manage the measurable, immeasurable and the unidentifiable financial risk," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 5-34, February.
    19. Yogita Singh & Mohd. Adil & S. M. Imamul Haque, 2023. "Personality traits and behaviour biases: the moderating role of risk-tolerance," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3549-3573, August.
    20. Kris Hardies & Diane Breesch & Joël Branson, 2012. "Male and female auditors' overconfidence," Managerial Auditing Journal, Emerald Group Publishing Limited, vol. 27(1), pages 105-118, January.
    21. Zamri Ahmad & Haslindar Ibrahim & Jasman Tuyon, 2018. "Governance of Behavioural Biases in Asset Management Industry: Insights from Fund Managers in Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 14(2), pages 65-102.
    22. Fawad Ahmad, 2020. "Personality traits as predictor of cognitive biases: moderating role of risk-attitude," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 12(4), pages 465-484, June.

  19. David Michayluk & Laurie Prather, 2008. "A Liquidity Motivated Algorithm for Discerning Trade Direction," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 45-66, March-Jun.

    Cited by:

    1. Dean Hanlon & Sean Pinder, 2013. "Capital gains tax, supply-driven trading and ownership structure: direct evidence of the lock-in effect," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 419-439, June.

  20. David Michayluk & Karyn Neuhauser, 2008. "Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(3‐4), pages 159-178, September.

    Cited by:

    1. Rajat Tayal & Susan Thomas, 2012. "Measuring and explaining the asymmetry of liquidity," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2012-011, Indira Gandhi Institute of Development Research, Mumbai, India.
    2. Martin Dierker & Jung-Wook Kim & Jason Lee & Randall Morck, 2016. "Investors’ Interacting Demand and Supply Curves for Common Stocks," Review of Finance, European Finance Association, vol. 20(4), pages 1517-1547.
    3. Paresh Kumar Narayan & Xinwei Zheng, 2012. "Asymmetric Information and Market Decline: Evidence from the Chinese Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 15(03), pages 1-17.
    4. Nikhil Rastogi & V.N. Reddy & Kiran Kumar Kotha, 2013. "Order imbalance and returns: evidence from India," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 9(2), pages 92-109, March.
    5. Brennan, Michael J. & Chordia, Tarun & Subrahmanyam, Avanidhar & Tong, Qing, 2012. "Sell-order liquidity and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 105(3), pages 523-541.

  21. Mathew, Prem G. & Michayluk, David & Kofman, Paul, 2007. "Are foreign issuers complying with Regulation Fair Disclosure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 246-260, July.

    Cited by:

    1. Canace, Thomas G. & Caylor, Marcus L. & Johnson, Peter M. & Lopez, Thomas J., 2010. "The effect of Regulation Fair Disclosure on expectations management: International evidence," Journal of Accounting and Public Policy, Elsevier, vol. 29(5), pages 403-423, September.
    2. Agapova, Anna & Madura, Jeff & Volkov, Nikanor, 2020. "Information leakage of ADRs Prior to company issued guidance," Research in International Business and Finance, Elsevier, vol. 54(C).

  22. David Michayluk & Gary C. Sanger, 2006. "Day‐End Effect On The Paris Bourse," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(1), pages 131-146, March.

    Cited by:

    1. Kadıoğlu, Eyüp & Frömmel, Michael, 2022. "Manipulation in the bond market and the role of investment funds: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 79(C).
    2. Charles Cao & Oliver Hansch & Xiaoxin Wang, 2008. "Order Placement Strategies In A Pure Limit Order Book Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 31(2), pages 113-140, June.
    3. Boubaker, Sabri & Essaddam, Naceur & Nguyen, Duc Khuong & Saadi, Samir, 2017. "On the robustness of week-day effect to error distributional assumption: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 114-130.
    4. Yu Chuan Huang & Shu Hui Chan, 2014. "The Trading Behavior of Attention Securities with Different Closing Mechanisms: Evidence from Taiwan," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-16.
    5. John F. Pinfold & Danyang He, 2012. "The impact of introducing a pre‐close on the New Zealand share market," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 20(1), pages 99-110, February.
    6. Yu Chuan Huang & Shu Hui Chan, 2010. "Trading Behavior on Expiration Days and Quarter-End Days: The Effect of a New Closing Method," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(4), pages 105-125, January.
    7. Alfred Ma, 2022. "Profitability of technical trading strategies under market manipulation," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-9, December.

  23. David Michayluk & Karyn L. Neuhauser, 2006. "Investor Overreaction During Market Declines: Evidence From The 1997 Asian Financial Crisis," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 29(2), pages 217-234, June.

    Cited by:

    1. Shih-Jui Yang & Ai-Chi Hsu & Show-Yen Lai & Chien-Chiang Lee, 2015. "Empirical Investigation of Herding Behavior in East Asian Stock Markets Toward the U.S. Market," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(1), pages 19-32.
    2. Júlio Lobão & Maria Eva Jerke, 2020. "Short-term Overreaction in American Depository Receipts," Scientific Annals of Economics and Business (continues Analele Stiintifice), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 67(4), pages 423-435, December.
    3. Abdelkader Boudriga & Dorsaf Azouz Ghachem, 2016. "Does US stock market react differently to rating announcements during crisis period? The case of the 2008 worldwide financial crisis," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 193-214.
    4. Mehmet F. Dicle & Kendra Reed, 2019. "Asymmetric return response to expected risk: policy implications," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 27(3), pages 345-356, June.
    5. Dorsaf Azouz Ghachem & Abdelkader Boudriga & Chokri Mamoghli, 2011. "Does The American Stock Market React Differently to Rating Announcements During A Crisis Period? The Case of the 2008 Worldwide Financial Crisis," Working Papers 601, Economic Research Forum, revised 07 Jan 2011.
    6. Iuliia Brushko, 2013. "Financial Signaling and Earnings Forecasts," CERGE-EI Working Papers wp498, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    7. Borgards, Oliver & Czudaj, Robert L., 2020. "The prevalence of price overreactions in the cryptocurrency market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    8. Amini, Shima & Gebka, Bartosz & Hudson, Robert & Keasey, Kevin, 2013. "A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations," International Review of Financial Analysis, Elsevier, vol. 26(C), pages 1-17.
    9. Christian Beer & Janine Maniora & Christiane Pott, 2023. "COVID-19 pandemic and capital markets: the role of government responses," Journal of Business Economics, Springer, vol. 93(1), pages 11-57, January.
    10. Hudson, Robert S. & Gregoriou, Andros, 2015. "Calculating and comparing security returns is harder than you think: A comparison between logarithmic and simple returns," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 151-162.
    11. Kim, Yong H. & Yang, J. Jimmy, 2008. "The effect of price limits on intraday volatility and information asymmetry," Pacific-Basin Finance Journal, Elsevier, vol. 16(5), pages 522-538, November.
    12. Paula Hill & Robert Faff, 2010. "The Market Impact of Relative Agency Activity in the Sovereign Ratings Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1309-1347, November.
    13. Hui Zhu & Kelly Cai, 2014. "Cultural Distance And Bond Pricing: Evidence In The Yankee And Rule 144a Bond Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 37(3), pages 357-384, September.
    14. Ho, Kung-Cheng & Yang, Lu & Luo, Sijia, 2022. "Information disclosure ratings and continuing overreaction: Evidence from the Chinese capital market," Journal of Business Research, Elsevier, vol. 140(C), pages 638-656.
    15. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
    16. Kiesel, Florian, 2016. "The effect of credit and rating events on credit default swap and equity markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 81265, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    17. Heyman, Dries & Lescrauwaet, Michiel & Stieperaere, Hannes, 2019. "Investor attention and short-term return reversals," Finance Research Letters, Elsevier, vol. 29(C), pages 1-6.
    18. Kiesel, F., 2016. "Do Investors Still Rely on Credit Rating Agencies? Evidence from the Financial Crisis," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77927, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    19. Yamani, Ehab A. & Swanson, Peggy E., 2014. "Financial crises and the global value premium: Revisiting Fama and French," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 115-136.

  24. William Bertin & Paul Kofman & Professor David Michayluk & Laurie Prather, 2005. "Intraday REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, vol. 27(2), pages 155-176.

    Cited by:

    1. Paul Anglin & Robert Edelstein & Yanmin Gao & Desmond Tsang, 2011. "How Does Corporate Governance Affect the Quality of Investor Information? The Curious Case of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 33(1), pages 1-24.
    2. Daniel Broxterman & Tingyu Zhou, 2023. "Information Frictions in Real Estate Markets: Recent Evidence and Issues," The Journal of Real Estate Finance and Economics, Springer, vol. 66(2), pages 203-298, February.
    3. Pawan Jain & Spenser J. Robinson & Arjun J. Singh & Mark Sunderman, 2017. "Hospitality REITs and financial crisis: a comprehensive assessment of market quality," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 277-289, April.
    4. Denis Schweizer & Lars Haß & Lutz Johanning & Bernd Rudolph, 2013. "Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 65-82, July.
    5. Mathew, Prem G. & Michayluk, David & Kofman, Paul, 2007. "Are foreign issuers complying with Regulation Fair Disclosure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 246-260, July.
    6. Gianluca Marcato, 2018. "Liquidity Pricing of Illiquid Assets," ERES eres2018_215, European Real Estate Society (ERES).
    7. Jinliang Li & Robert M. Mooradian & Shiawee X. Yang, 2009. "The Information Content of the NCREIF Index," Journal of Real Estate Research, American Real Estate Society, vol. 31(1), pages 93-116.
    8. Benjamin Blau & Jared Egginton & Matthew Hill, 2016. "REITs and market friction," Review of Quantitative Finance and Accounting, Springer, vol. 46(1), pages 1-24, January.
    9. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).
    10. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.

  25. John L. Glascock & David Michayluk & Karyn Neuhauser, 2004. "The Riskiness of REITs Surrounding the October 1997 Stock Market Decline," The Journal of Real Estate Finance and Economics, Springer, vol. 28(4), pages 339-354, May.

    Cited by:

    1. Hong Wang & Yining Sun & Yin Chen, 2009. "Special considerations for designing pilot REITs in China," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 27(2), pages 140-161, March.
    2. Guojie Ma, 2016. "Corporate Behaviour and Market Integration: Evidence from the Asia-Pacific Real Estate Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2016.
    3. Kenji Kutsuna & William Dimovski & Robert Brooks, 2007. "The Pricing and Underwriting Costs of Japanese REIT IPOs," Discussion Papers 2007-37, Kobe University, Graduate School of Business Administration.
    4. I-Chun Tsai & Cheng-Feng Lee & Ming-Chu Chiang, 2012. "The Asymmetric Wealth Effect in the US Housing and Stock Markets: Evidence from the Threshold Cointegration Model," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1005-1020, November.
    5. Ran Lu-Andrews & John L. Glascock, 2017. "Liquidity, Price Behavior, and Market-related Events," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 43(2), pages 318-351, March.
    6. Kola Ijasan & George Tweneboah & Maurice Omane-Adjepong & Peterson Owusu Junior, 2019. "On the global integration of REITs market returns: A multiresolution analysis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 7(1), pages 1690211-169, January.
    7. Crystal Lin & Kenneth Yung, 2006. "Equity Capital Flows and Demand for REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 33(3), pages 275-291, November.
    8. Ranajit Kumar Bairagi & William Dimovski, 2010. "The underpricing of US REIT IPOs: 1996--2010," Journal of Property Research, Taylor & Francis Journals, vol. 28(3), pages 233-248, December.
    9. Dirk Brounen & Piet Eichholtz & David Ling, 2009. "The Liquidity of Property Shares: An International Comparison," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(3), pages 413-445, September.
    10. Denis Schweizer & Lars Haß & Lutz Johanning & Bernd Rudolph, 2013. "Do Alternative Real Estate Investment Vehicles Add Value to REITs? Evidence from German Open-ended Property Funds," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 65-82, July.
    11. Cherif Famara Badji & Cristiane Benetti & Renato Guimaraes, 2021. "Diversification Benefits of European REIT, Equities and Bonds," Post-Print hal-03592183, HAL.
    12. Szu-Yin Hung & John Glascock, 2008. "Momentum Profitability and Market Trend: Evidence from REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 51-69, July.
    13. S.Aydin Yuksel & Asli Yuksel & Umit Erol & Hakki Ozturk, 2017. "The Impact of the Global Financial Crisis on the Co-Integration Relationship between Reit and Stock Markets: A Dynamic Co-Integration Approach," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(7), pages 86-98, July.
    14. Ranajit Kumar Bairagi & William Dimovski, 2012. "The direct costs of raising external equity capital for US REIT IPOs," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 30(6), pages 538-562, September.
    15. De Santis, Paola & Drago, Carlo, 2014. "Asimmetria del rischio sistematico dei titoli immobiliari americani: nuove evidenze econometriche [Systematic Risk Asymmetry of the American Real Estate Securities: Some New Econometric Evidence]," MPRA Paper 59381, University Library of Munich, Germany.
    16. Bill Dimovski & Christopher Ratcliffe & Monica Keneley, 2017. "Another piece of the puzzle: REIT IPO underpricing after the financial crisis," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 35(3), pages 264-276, April.
    17. Jamie Alcock & Petra Andrlikova, 2018. "Asymmetric Dependence in Real Estate Investment Trusts: An Asset-Pricing Analysis," The Journal of Real Estate Finance and Economics, Springer, vol. 56(2), pages 183-216, February.
    18. Ming-Chi Chen & Chi-Lu Peng & So-De Shyu & Jhih-Hong Zeng, 2012. "Market States and the Effect on Equity REIT Returns due to Changes in Monetary Policy Stance," The Journal of Real Estate Finance and Economics, Springer, vol. 45(2), pages 364-382, August.
    19. John Glascock & Ran Lu-Andrews, 2015. "The Price Behavior of REITs Surrounding Extreme Market-Related Events," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 441-479, November.
    20. Yener Cos‚kun & A. Sevtap Selcuk-Kestel & Bilgi Yilmaz, 2017. "Diversification benefit and return performance of REITs using CAPM and Fama-French: Evidence from Turkey," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 17(4), pages 199-215, December.
    21. Arjun Chatrath & Rohan A. Christie-David & Sanjay Ramchander, 2012. "Public Information, REIT Responses, Size, Leverage, and Focus," Journal of Real Estate Research, American Real Estate Society, vol. 34(4), pages 463-514.
    22. Jain, Pawan & Upadhyay, Arun, 2021. "Are REITs more resilient than non-REITs? Evidence from natural experiments," Japan and the World Economy, Elsevier, vol. 58(C).
    23. Eva Steiner & Jamie Alcock, 2011. "New Evidence on asymmetric dependence in the returns from U.S. Real Estate Estate Investment Trusts," ERES eres2011_161, European Real Estate Society (ERES).
    24. Jamie Alcock & Eva Steiner, 2018. "Fundamental Drivers of Dependence in REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 57(1), pages 4-42, July.
    25. Pawan Jain & Mark Sunderman & K. Janean Westby-Gibson, 2017. "REITs and Market Microstructure: A Comprehensive Analysis of Market Quality," Journal of Real Estate Research, American Real Estate Society, vol. 39(1), pages 65-98.
    26. Esta Lestari, 2010. "Volatility Spillover Effects in East Asian Capital Markets: A Case Study of the Real Estate Sectors," Economics and Finance in Indonesia, Faculty of Economics and Business, University of Indonesia, vol. 58, pages 57-82, April.
    27. Liu Xiaoxin & Wu Di & Li Xiuting & Dong Jichang, 2013. "Financing of Low-Rent Housing REITs in China," Journal of Systems Science and Information, De Gruyter, vol. 1(1), pages 1-21, February.

  26. McDonald, Cynthia G. & Michayluk, David, 2003. "Suspicious trading halts," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 251-263, July.

    Cited by:

    1. Tālis J. Putniņš, 2012. "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 26(5), pages 952-967, December.
    2. Halim Dabbou & Ahmed Silem, 2014. "Price limit and financial contagion: protection or illusion? The tunisian stock exchange case," Post-Print hal-00925424, HAL.
    3. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    4. Halim DABBOU & Ahmed SILEM, 2014. "Price Limit and Financial Contagion: Protection or Illusion? The Tunisian Stock Exchange Case," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 54-70.
    5. Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2020. "A survey on the magnet effect of circuit breakers in financial markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 138-151.
    6. Bacha, Obiyathulla I. & Mohamed, Eskandar R. & Ramlee, Roslily, 2008. "The Efficiency of Trading Halts; Evidence from Bursa Malaysia," MPRA Paper 13077, University Library of Munich, Germany.

  27. Kosedag, Arman & Michayluk, David, 2000. "Dividend initiations in reverse-LBO firms," Review of Financial Economics, Elsevier, vol. 9(1), pages 55-63.

    Cited by:

    1. Frankfurter, George M. & Wood, Bob Jr., 2002. "Dividend policy theories and their empirical tests," International Review of Financial Analysis, Elsevier, vol. 11(2), pages 111-138.
    2. Ahmad Ahmadpour & Mahmoud yahyazadefar & Babak Garmroudi, 2006. "The Influence of Agency Costs on Dividend Policy in an Emerging Market: “Evidence from the Tehran Stock Exchange”," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 11(1), pages 59-80, winter.

  28. Paul Brockman & David Michayluk, 1998. "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 205-209.

    Cited by:

    1. Ramona DUMITRIU & Razvan STEFANESCU, 2014. "Gone Fishin’ Effects In Returns," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 254-261.
    2. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2012. "Holiday effects during quiet and turbulent times," MPRA Paper 41625, University Library of Munich, Germany, revised 07 Mar 2012.
    3. Boyle, Glenn & Hagan, Andrew & O'Connor, R. Seini, 2004. "Emotion, Fear and Superstition in the New Zealand Stockmarket," Working Paper Series 18969, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
    4. Brian Lucey & Edel Tully, 2005. "Are Local or International influences responsible for the pre-holiday behaviour of Irish equities?," The Institute for International Integration Studies Discussion Paper Series iiisdp056, IIIS.
    5. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Efectul Turn-of-the-Year pe piaţa valutară din România [The Turn-of-the-Year Effect in the Romanian foreign exchange market]," MPRA Paper 99365, University Library of Munich, Germany, revised 30 Mar 2020.
    6. Benito Umana Hermosilla & Juan Cabas Monje & Juan Rodríguez Navarrete & Miguel Villablanca Fuentes, 2015. "Variables explicativas del comportamiento del inversor de multifondos. Un análisis desde la perspectiva de los inversores en el sistema de pensiones chileno," Estudios Gerenciales, Universidad Icesi, April.
    7. Andrey Kudryavtsev, 2019. "Holiday Effect on Large Stock Price Changes," Annals of Economics and Finance, Society for AEF, vol. 20(2), pages 633-660, November.
    8. Laura Birg & Anna Goeddeke, 2016. "Christmas Economics—A Sleigh Ride," Economic Inquiry, Western Economic Association International, vol. 54(4), pages 1980-1984, October.
    9. Dumitriu, Ramona & Stefanescu, Razvan & Nistor, Costel, 2011. "Holiday effect on the Romanian stock market," MPRA Paper 41635, University Library of Munich, Germany, revised 08 Sep 2011.
    10. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2012. "Prolonged holiday effects on Romanian capital market before and after the adhesion to EU," MPRA Paper 52770, University Library of Munich, Germany, revised Jan 2013.
    11. Ramona Dumitriu & Razvan Stefanescu, 2013. "Gone Fishin’ Effects on the Bucharest Stock Exchange," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 13(1), pages 107-116.
    12. Joao Dionisio Monteiro & Jose Luis Miralles-Quiros & Jose Ramos Pires Manso, 2018. "Is There Seasonality in Traded and Non-Traded Period Returns in the US Equity Market? A Multiple Structural Change Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 68(1), pages 71-98, February.
    13. Cemal Berk Oğuzsoy & Sibel Güven, 2004. "Holy Days Effect on Istanbul Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(1), pages 63-75, January.
    14. Lucy F. Ackert & George Athanassakos, 2021. "Gamesmanship and Seasonality in U.S. Stock Returns," JRFM, MDPI, vol. 14(5), pages 1-11, May.
    15. Glenn Boyle & Andrew Hagan & R. Seini O'Connor & Nick Whitwell, 2004. "Emotion, fear and superstition in the New Zealand stockmarket," New Zealand Economic Papers, Taylor & Francis Journals, vol. 38(1), pages 65-85.
    16. Dumitriu, Ramona & Stefanescu, Razvan, 2013. "Efecte Gone Fishin’ la Bursa de Valori din Bucureşti [Gone Fishin’ Effects on the Bucharest Stock Exchange]," MPRA Paper 52473, University Library of Munich, Germany, revised 28 Sep 2013.
    17. George Marrett & Andrew Worthington, 2009. "An empirical note on the holiday effect in the Australian stock market, 1996-2006," Applied Economics Letters, Taylor & Francis Journals, vol. 16(17), pages 1769-1772.
    18. Obalade Adefemi A. & Muzindutsi Paul-Francois, 2019. "The Adaptive Market Hypothesis and the Day-of-the-Week Effect in African Stock Markets: the Markov Switching Model," Comparative Economic Research, Sciendo, vol. 22(3), pages 145-162, September.
    19. Dumitriu, Ramona & Stefanescu, Răzvan, 2020. "The Extended Holiday Effect on US capital market," MPRA Paper 100463, University Library of Munich, Germany, revised 17 May 2020.
    20. Qadan, Mahmoud & Aharon, David Y. & Cohen, Gil, 2020. "Everybody likes shopping, including the US capital market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
    21. Taufeeque Ahmad Siddiqui & Isha Narula, 2013. "Market Efficiency and Anomalies: Evidences from S&P CNX NIFTY," Vision, , vol. 17(3), pages 233-245, September.
    22. Razvan STEFANESCU & Ramona DUMITRIU, 2018. "Changes in the stocks prices behavior before and after the public holidays: case of Bucharest Stock Exchange," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 189-202.
    23. Qadan, Mahmoud & Kliger, Doron, 2016. "The short trading day anomaly," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 62-80.
    24. Andrey Kudryavtsev, 2018. "Holiday effect on stock price reactions to analyst recommendation revisions," Journal of Asset Management, Palgrave Macmillan, vol. 19(7), pages 507-521, December.
    25. Meneu, Vicente & Pardo, Angel, 2004. "Pre-holiday effect, large trades and small investor behaviour," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 231-246, March.
    26. Tian Yuan & Rakesh Gupta & Robert J. Bianchi, 2015. "The Pre-Holiday Effect in China: Abnormal Returns or Compensation for Risk?," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-28.
    27. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
    28. Marcus Schulmerich & Yves-Michel Leporcher & Ching-Hwa Eu, 2015. "Stock Market Anomalies," Management for Professionals, in: Applied Asset and Risk Management, edition 127, chapter 3, pages 175-244, Springer.
    29. Brian Lucey, 2000. "Friday the 13th and the philosophical basis of financial economics," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(3), pages 294-301, September.
    30. Stefanescu, Răzvan & Dumitriu, Ramona, 2020. "Introducere în analiza anomaliilor calendaristice, Partea a doua [An Introduction to the Analysis of the Calendar Anomalies, Part 2]," MPRA Paper 97961, University Library of Munich, Germany.
    31. Vesna Karadžic & Tamara Backovic Vulic, 2011. "The Montenegrin Capital Market: Calendar Anomalies," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 56(191), pages 107-122, October-D.
    32. Andrew Worthington, 2010. "The decline of calendar seasonality in the Australian stock exchange, 1958–2005," Annals of Finance, Springer, vol. 6(3), pages 421-433, July.
    33. Stefanescu Razvan & Dumitriu Ramona, 2021. "The Extended Holiday Effects on Bucharest Stock Exchange during Coronavirus Pandemic," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 293-303.
    34. Andrew C. Worthington, 2007. "National Exuberance: A Note On The Melbourne Cup Effect In Australian Stock Returns," Economic Papers, The Economic Society of Australia, vol. 26(2), pages 170-179, June.
    35. Bogdan Batrinca & Christian W. Hesse & Philip C. Treleaven, 2018. "European trading volumes on cross‐market holidays," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 675-704, October.
    36. Alagidede, Paul, 2008. "Month-of-the-year and pre-holiday seasonality in African stock markets," Stirling Economics Discussion Papers 2008-23, University of Stirling, Division of Economics.
    37. Qadan, Mahmoud & Aharon, David Y., 2019. "How much happiness can we find in the U.S. fear Index?," Finance Research Letters, Elsevier, vol. 30(C), pages 246-258.
    38. Andrey Kudryavtsev, 2017. ""I'll Think about it Tomorrow": Price Drifts Following Large Pre-Holiday Stock Price Moves," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 9(2), pages 043-062, December.

  29. Paul Brockman & David Michayluk, 1998. "Individual versus institutional investors and the weekend effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(1), pages 71-85, March.

    Cited by:

    1. S. Wahyudi & I.R.D. Pangestuti & R.D. Laksana & Hersugondo & Robiyanto, 2018. "Corporate Social Responsibility on SKI KEHATI Index Corporate Performance: A Case Study," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(4), pages 93-104.
    2. Roberto Joaquín Santillán Salgado & Alejandro Fonseca Ramírez & Luis Nelson Romero, 2019. "The "day-of-the-week" effects in the exchange rate of Latin American currencies," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 14(PNEA), pages 485-507, Agosto 20.
    3. Chowdhury, Anup & Uddin, Moshfique & Anderson, Keith, 2022. "Trading behaviour and market sentiment: Firm-level evidence from an emerging Islamic market," Global Finance Journal, Elsevier, vol. 53(C).
    4. Itzhak Venezia, 2018. "Lecture Notes in Behavioral Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10751.
    5. Shlomo Zilca, 2017. "The evolution and cross-section of the day-of-the-week effect," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-12, December.
    6. Mursalim Mursalim, 2009. "Persamaan Struktural: Aktivisme Institusi, Kepemilikan Institusional Dan Manajerial, Kebijakan Dividen Dan Utang," Jurnal Akuntansi dan Auditing Indonesia, Accounting Department, Faculty of Business and Economics, Universitas Islam Indonesia, vol. 13(1), pages 43-59, JUNI.
    7. Ülkü, Numan & Rogers, Madeline, 2018. "Who drives the Monday effect?," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 46-65.
    8. Tori, Cynthia Royal, 2001. "Federal Open Market Committee meetings and stock market performance," Financial Services Review, Elsevier, vol. 10(1-4), pages 163-171.
    9. Shlomo Zilca, 2017. "Day-of-the-week returns and mood: an exterior template approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-21, December.
    10. Venezia, Itzhak & Shapira, Zur, 2007. "On the behavioral differences between professional and amateur investors after the weekend," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1417-1426, May.
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