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Market Reaction to Quarterly Earnings' Announcements: A Stochastic Dominance Based Test of Market Efficiency

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Cited by:

  1. Zhuo Qiao & Ephraim Clark & Wing-Keung Wong, 2014. "Investors’ preference towards risk: evidence from the Taiwan stock and stock index futures markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 54(1), pages 251-274, March.
  2. João Paulo Vieito & Wing-Keung Wong & Zhen-Zhen Zhu, 2016. "Could the global financial crisis improve the performance of the G7 stocks markets?," Applied Economics, Taylor & Francis Journals, vol. 48(12), pages 1066-1080, March.
  3. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2013. "Risk-averse and Risk-seeking Investor Preferences for Oil Spot and Futures," Documentos de Trabajo del ICAE 2013-31, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Aug 2013.
  4. Thomas C. Chiang & Hooi Hooi Lean & Wing-Keung Wong, 2008. "Do REITs Outperform Stocks and Fixed-Income Assets? New Evidence from Mean-Variance and Stochastic Dominance Approaches," JRFM, MDPI, vol. 1(1), pages 1-40, December.
  5. Lean, H.H. & McAleer, M.J. & Wong, W.-K., 2010. "Investor preferences for oil spot and futures based on mean-variance and stochastic dominance," Econometric Institute Research Papers EI 2010-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  6. Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
  7. Roger Best & Ronald Best & James Yoder, 2000. "Value stocks and market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 24(1), pages 28-35, March.
  8. Jati Sengupta & Yijuan Zheng, 1997. "Estimating skewness persistence in market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 7(5), pages 549-558.
  9. Zhuo Qiao & Wing-Keung Wong, 2015. "Which is a better investment choice in the Hong Kong residential property market: a big or small property?," Applied Economics, Taylor & Francis Journals, vol. 47(16), pages 1670-1685, April.
  10. Chun-Kei Tsang & Wing-Keung Wong & Ira Horowitz, 2016. "Arbitrage opportunities, efficiency, and the role of risk preferences in the Hong Kong property market," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 33(4), pages 735-754, October.
  11. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2015. "Preferences of risk-averse and risk-seeking investors for oil spot and futures before, during and after the Global Financial Crisis," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 204-216.
  12. Zhihui Lv & Amanda M. Y. Chu & Wing Keung Wong & Thomas C. Chiang, 2021. "The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio," Risk Management, Palgrave Macmillan, vol. 23(1), pages 97-122, June.
  13. Tsang, Chun-Kei & Wong, Wing-Keung & Horowitz, Ira, 2016. "A stochastic-dominance approach to determining the optimal home-size purchase: The case of Hong Kong," MPRA Paper 69175, University Library of Munich, Germany.
  14. Post, G.T., 2002. "A Stochastic Dominance Approach to Spanning," ERIM Report Series Research in Management ERS-2002-01-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.
  15. Qiao, Zhuo & Pukthuanthong, Kuntara, 2019. "Has the difference in stock liquidity and stock returns between Chinese state owned and privately owned enterprises become smaller?," Finance Research Letters, Elsevier, vol. 28(C), pages 39-44.
  16. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," JRFM, MDPI, vol. 11(1), pages 1-29, March.
  17. Ephraim Clark & Zhuo Qiao & Wing-Keung Wong, 2016. "Theories Of Risk: Testing Investor Behavior On The Taiwan Stock And Stock Index Futures Markets," Economic Inquiry, Western Economic Association International, vol. 54(2), pages 907-924, April.
  18. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, And Big Data: Connections," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 36-94, December.
  19. Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2015. "Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 889-900, May.
  20. Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02965765, HAL.
  21. Hoang, Thi-Hong-Van & Lean, Hooi Hooi & Wong, Wing-Keung, 2015. "Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 98-108.
  22. Marshall, Ben R. & Nguyen, Hung T. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat & Young, Martin, 2021. "Do climate risks matter for green investment?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  23. Chang, Hao-Wen & Chiang, Yi-Chein & Ke, Mei-Chu & Wang, Ming-Hui & Nguyen, Tien-Trung, 2023. "Market efficiency of Asian stock markets during the financial crisis and non-financial crisis periods," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 312-329.
  24. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2016. "Management science, economics and finance: A connection," Documentos de Trabajo del ICAE 2016-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  25. Chui, David & Wing Cheng, Wui & Chi Chow, Sheung & LI, Ya, 2020. "Eastern Halloween effect: A stochastic dominance approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 68(C).
  26. Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Econometric Institute Research Papers 18-024/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  27. Lean, Hooi Hooi & McAleer, Michael & Wong, Wing-Keung, 2010. "Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach," Energy Economics, Elsevier, vol. 32(5), pages 979-986, September.
  28. Thi Hong Van Hoang & Zhenzhen Zhu & Bing Xiao & Wing‐Keung Wong, 2020. "The seasonality of gold prices in China does the risk‐aversion level matter?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 2617-2664, September.
  29. Wong, Wing-Keung & Phoon, Kok Fai & Lean, Hooi Hooi, 2008. "Stochastic dominance analysis of Asian hedge funds," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 204-223, June.
  30. Xu Guo & Xuejun Jiang & Wing-Keung Wong, 2017. "Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly," Economies, MDPI, vol. 5(4), pages 1-16, October.
  31. Hooi Hooi Lean & Michael McAleer & Wing-Keung Wong, 2010. "Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach," CIRJE F-Series CIRJE-F-705, CIRJE, Faculty of Economics, University of Tokyo.
  32. Ng, Pin & Wong, Wing-Keung & Xiao, Zhijie, 2017. "Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency," European Journal of Operational Research, Elsevier, vol. 261(2), pages 666-678.
  33. Qiao, Zhuo & Wong, Wing-Keung & Fung, Joseph K.W., 2013. "Stochastic dominance relationships between stock and stock index futures markets: International evidence," Economic Modelling, Elsevier, vol. 33(C), pages 552-559.
  34. Li, Zhichuan & Minor, Dylan B. & Wang, Jun & Yu, Chong, 2019. "A learning curve of the market: Chasing alpha of socially responsible firms," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
  35. Hooi Lean & Kok Phoon & Wing-Keung Wong, 2013. "Stochastic dominance analysis of CTA funds," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 155-170, January.
  36. W. Wong & R. Chan, 2008. "Prospect and Markowitz stochastic dominance," Annals of Finance, Springer, vol. 4(1), pages 105-129, January.
  37. Chan, Chia-Ying & de Peretti, Christian & Qiao, Zhuo & Wong, Wing-Keung, 2012. "Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 162-174.
  38. Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(1), pages 1-29, March.
  39. Clark, Ephraim & Qiao, Zhuo, 2020. "The value premium puzzle, behavior versus risk: New evidence from China," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 12-21.
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