scholarly journals Short-term overreaction in equity ETFs following extreme one-day returns

2019 ◽  
Vol 30 (81) ◽  
pp. 352-367
Author(s):  
Júlio Lobão ◽  
Ana Isabel Costa
Keyword(s):  
Cross Section ◽  
Extended Period ◽  
Stock Exchanges ◽  
Short Term ◽  
Price Reversal ◽  
Market Opportunities ◽  
After Hours ◽  
The Cross ◽  
Price Movements ◽  
Extreme Returns

Abstract This paper investigates the short-term price predictability of US equity Exchange Trade Funds (ETFs) in reaction to one-day extreme returns. We also assess the cross-section features associated to price overreaction following extreme price movements. The literature on the short-term overreaction of ETFs is rather scarce. Furthermore, existing studies tend to focus on delimited historical periods, which makes their results difficult to generalize. Our paper fills this gap by considering a comprehensive sample of ETFs over an extended period of time. In addition, we are the first to study the effect of the prevailing market trend and of liquidity on the patterns of overreaction and subsequent price reversal of ETFs. Being the major ETFs the most actively traded equity securities on the US stock exchanges, their performance and characteristics are of interest by themselves. Our findings suggest that market regulators should concentrate their resources on overseeing the ETF pricing that occurs after-hours. For market practitioners, our results indicate the existence of profitable market opportunities after large price movements. In the present study, we tested the significance of the mean returns for the period immediately after extreme returns. We also conducted a multivariate analysis where the price reversal was regressed against the cross section features of the ETFs under study. We contribute to the literature on ETF price formation as we document, for the first time, the existence of a stark contrast in the reaction to extreme price movements in these assets during normal hours and after-hours periods. On average, the extreme returns that occur in the after-hours period represent an overreaction, leading to a price reversal in the following period. In addition, we show that both tax-motivated trading and noise trading play a role in the pattern of ETF overreaction and reversal.

scholarly journals Short-term Overreaction in American Depository Receipts

2020 ◽  
Vol 67 (4) ◽  
pp. 423-435
Author(s):  
Júlio Lobão ◽  
Maria Eva Jerke ◽  
◽  
◽  
Keyword(s):  
Efficient Market Hypothesis ◽  
Weak Version ◽  
American Depository Receipts ◽  
Short Term ◽  
Trading Period ◽  
Depository Receipts ◽  
After Hours ◽  
Price Movements ◽  
First Time ◽  
Extreme Returns

In this paper we examine for the first time the short-term predictability of American Depository Receipts (ADRs) in reaction to extreme price movements. Based on an analysis of 2,911 extreme price movements that took place within either normal trading hours or after-hours in the period 2001-2019, we conclude that those extreme returns were on average followed by significant reversals. This response represents an overreaction in prices, which challenges the weak version of the efficient market hypothesis. Price reversals are especially pronounced following extreme returns observed during after-hours, which lends support to the assertion that ADR markets are particularly inefficient during this trading period. These findings carry important implications for both market practitioners and regulators.

Are herding transmissions in the gulf cooperation council stock markets regional or international?

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Dina Gabbori ◽  
Basel Awartani ◽  
Aktham I. Maghyereh ◽  
Nader Virk
Keyword(s):  
Cross Section ◽  
Stock Markets ◽  
Equity Market ◽  
Short Term ◽  
Absolute Deviation ◽  
Content Type ◽  
Market Return ◽  
The Us ◽  
The Cross ◽  
The Relationship

PurposeThe authors aim to assess whether herding in GCC stock markets is more responsive to global dynamics than its response to regional developments. To do so, they use the largest equity market in the region which is Saudi Arabia as the benchmark, and then they examine if herding crosses from this large regional market to the rest of equities in the neighboring markets during various time periods. To compare the importance of global influences on herding, the authors investigate and compare the impact of the information flow from the US equity market on the herding of equities in the GCC markets.Design/methodology/approachTo investigate herding in GCC markets the authors use the relationship between the squared market return and the cross-section absolute deviation that does not covary with market styles and/or fundamentals. In order to do that we follow Galariotis et al. (2015) and account for four styles: market-oriented, small-cap, value and momentum. As these factors have been shown to be associated with the economic fundamentals, filtering the covariance of deviation with these factors is expected to remove the style and the fundamental herding influence from the value of the dispersion.FindingsThe results show significant herding behavior that persists across various independent periods. This evidence stands even when the authors control for the well- known factor structures in stock returns. Importantly, the authors find that the few herding crossovers that occurred during the sample period are more likely to originate from the Saudi market rather than from the US. Therefore, the authors conclude that behavioral inefficiencies in the GCC equity markets are likely to be regional and that the sentiment-based trading in the US has essentially a minimal role to play.Practical implicationsThe empirical findings are useful for policymakers who aim at preventing market manipulation in order to preserve the integrity of financial markets. Policymakers in the GCC should disclose more information to aid investors so they do not rely on other investors' trades. The portfolio managers should be aware that the correlation of GCC equities can be higher in the short term due to common market herding in these countries. As the US market does not play an important role in triggering behavioral irrationalities in these markets, investing in GCC equities is a good hedge in a US portfolio. Finally, the results have also important implications for active funds that aim to exploit short-term trending in markets in order to enhance performance.Originality/valueThe authors’ contribution in this paper is to investigate herding in GCC markets by using the relationship between the squared market return and the cross-section absolute deviation that does not covary with market styles and/or fundamentals. Another contribution of our paper is to investigate any cross herding from the Saudi market to the rest of the markets in the area. The previous literature on GCC equity market herding is silent on this issue and it is typically restricted to the level of the single market.

Predicting Equity Returns in Developed Markets

2021 ◽  
pp. 68-90
Author(s):  
A. Doruk Günaydin
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Developed Countries ◽  
Equity Returns ◽  
Market Returns ◽  
Short Term ◽  
Firm Level ◽  
Cross Sectional ◽  
Expected Stock Returns ◽  
The Cross

This chapter examines the relation between various firm-specific variables and the cross-section of equity returns in 26 developed countries. Univariate portfolio analyses using equal-weighted returns show that low beta, book-to-market equity, and momentum analysis are also priced in the cross-section of developed market returns, whereas short-term reversal and downside beta manifest themselves in the opposite direction. Univariate portfolio analysis based on value-weighted returns reveal that the predictive power of book-to-market equity and short-term reversal is driven by small stocks. Multivariate firm-level cross-sectional regression analysis document that momentum, short-term reversal, illiquidity, idiosyncratic volatility, hybrid tail risk, lower partial moment are related to expected stock returns. Overall, the most robust cross-sectional predictor in developed market is found to be return momentum.

scholarly journals A Refined Mathematical Model of Physical Processes in a Conductor at a High-Current Pulse Discharge

2021 ◽  
Vol 60 (3) ◽  
pp. 124-132
Author(s):  
Yevgen Bajda ◽  
Michael Pantelyat
Keyword(s):  
Mathematical Model ◽  
Cross Section ◽  
Current Density ◽  
Thermal Stresses ◽  
Pulse Discharge ◽  
Circular Cross Section ◽  
Nonuniform Heating ◽  
Physical Processes ◽  
Short Term ◽  
The Cross

A novel mathematical model describing physical processes during the flow of an aperiodic pulse current with amplitude of 100 kA along a conductor with a circular cross-section is proposed and investigated. It is shown how a short-term electric discharge of an aperiodic shape affects the distribution of the current density in the cross-section of the conductor, causing its nonuniform heating and the appearance of significant thermal forces as well as mechanical stresses and strains. Based on the developed mathematical model, the relation-ship between electromagnetic, thermal and mechanical phenomena is shown, allowing a deeper understanding of the multiphysics processes taking place. The maximum values of the current density are calculated, which on the surface of the conductor reach values of 47 kA/mm2, while the temperature rise of a copper conductor with a diameter of 2.44 mm is no more than 80ºC at high temperature gradients, which causes the appearance of thermal stresses that have value (40–50)% of the value of the short-term strength limit of electrical copper. Utilization of this model allows to more accurately determine the required conductor cross-section based on the characteristics of electromagnetic, thermal and mechanical pro-cesses. It is shown that the simplified model (the condition for the uniform distribution of the current over the cross-section) gives significantly underestimated values of temperatures and does not take into account temperature deformations.

A New Approach to the Demonstration of Oxidase-Localization Using Tannic Acid Or Catechin

1973 ◽  
Vol 31 ◽  
pp. 698-699
Author(s):  
V. Mizuhira ◽  
Y. Futaesaku
Keyword(s):  
Cross Section ◽  
Tannic Acid ◽  
Elastic Fiber ◽  
The Other ◽  
New Approach ◽  
Tissue Block ◽  
Active Reaction ◽  
The Cross

Previously we reported that tannic acid is a very effective fixative for proteins including polypeptides. Especially, in the cross section of microtubules, thirteen submits in A-tubule and eleven in B-tubule could be observed very clearly. An elastic fiber could be demonstrated very clearly, as an electron opaque, homogeneous fiber. However, tannic acid did not penetrate into the deep portion of the tissue-block. So we tried Catechin. This shows almost the same chemical natures as that of proteins, as tannic acid. Moreover, we thought that catechin should have two active-reaction sites, one is phenol,and the other is catechole. Catechole site should react with osmium, to make Os- black. Phenol-site should react with peroxidase existing perhydroxide.

Energy Distribution in Electron Beams

1972 ◽  
Vol 30 ◽  
pp. 568-569
Author(s):  
Tamotsu Ohno
Keyword(s):  
Electron Beam ◽  
Energy Distribution ◽  
Cross Section ◽  
Integral Curve ◽  
Electron Beams ◽  
Electron Gun ◽  
Angular Divergence ◽  
Apparent Increase ◽  
Integral Width ◽  
The Cross

The energy distribution in an electron; beam from an electron gun provided with a biased Wehnelt cylinder was measured by a retarding potential analyser. All the measurements were carried out with a beam of small angular divergence (<3xl0-4 rad) to eliminate the apparent increase of energy width as pointed out by Ichinokawa.The cross section of the beam from a gun with a tungsten hairpin cathode varies as shown in Fig.1a with the bias voltage Vg. The central part of the beam was analysed. An example of the integral curve as well as the energy spectrum is shown in Fig.2. The integral width of the spectrum ΔEi varies with Vg as shown in Fig.1b The width ΔEi is smaller than the Maxwellian width near the cut-off. As |Vg| is decreased, ΔEi increases beyond the Maxwellian width, reaches a maximum and then decreases. Note that the cross section of the beam enlarges with decreasing |Vg|.

Research in the cross-section of community psychology and global climate change: A call for action

2009 ◽  
Author(s):  
Marci Culley ◽  
Holly Angelique ◽  
Courte Voorhees ◽  
Brian John Bishop ◽  
Peta Louise Dzidic ◽  
...  
Keyword(s):  
Climate Change ◽  
Cross Section ◽  
Global Climate Change ◽  
Community Psychology ◽  
Global Climate ◽  
The Cross

Habitat fragmentation causes collapse of kelp recruitment

2020 ◽  
Vol 648 ◽  
pp. 111-123
Author(s):  
C Layton ◽  
MJ Cameron ◽  
M Tatsumi ◽  
V Shelamoff ◽  
JT Wright ◽  
...  
Keyword(s):  
Habitat Fragmentation ◽  
Patch Size ◽  
Life Stage ◽  
Extended Period ◽  
Anthropogenic Disturbances ◽  
Anthropogenic Sources ◽  
Kelp Forests ◽  
Natural Disturbances ◽  
Short Term ◽  
Turf Algae

Kelp forests in many regions are experiencing disturbance from anthropogenic sources such as ocean warming, pollution, and overgrazing. Unlike natural disturbances such as storms, anthropogenic disturbances often manifest as press perturbations that cause persistent alterations to the environment. One consequence is that some kelp forests are becoming increasingly sparse and fragmented. We manipulated patch size of the kelp Ecklonia radiata over 24 mo to simulate persistent habitat fragmentation and assessed how this influenced the demography of macro- and microscopic juvenile kelp within the patches. At the beginning of the experiment, patch formation resulted in short-term increases in E. radiata recruitment in patches <1 m2. However, recruitment collapsed in those same patches over the extended period, with no recruits observed after 15 mo. Experimental transplants of microscopic and macroscopic juvenile sporophytes into the patches failed to identify the life stage impacted by the reductions in patch size, indicating that the effects may be subtle and require extended periods to manifest, and/or that another life stage is responsible. Abiotic measurements within the patches indicated that kelp were less able to engineer the sub-canopy environment in smaller patches. In particular, reduced shading of the sub-canopy in smaller patches was associated with proliferation of sediments and turf algae, which potentially contributed to the collapse of recruitment. We demonstrate the consequences of short- and longer-term degradation of E. radiata habitats and conclude that habitat fragmentation can lead to severe disruptions to kelp demography.

Experimental Studies Of Multilayer Glass Structures On Compression, Compression With Bending And Simple Bending

2019 ◽  
pp. 22-30
Keyword(s):  
Cross Section ◽  
Cross Sections ◽  
Applied Load ◽  
Experimental Studies ◽  
Strength Properties ◽  
Research Topic ◽  
Normative Values ◽  
Laminated Glass ◽  
The Cross ◽  
Experimental Values

The work of multilayer glass structures for central and eccentric compression and bending are considered. The substantiation of the chosen research topic is made. The description and features of laminated glass for the structures investigated, their characteristics are presented. The analysis of the results obtained when testing for compression, compression with bending, simple bending of models of columns, beams, samples of laminated glass was made. Overview of the types and nature of destruction of the models are presented, diagrams of material operation are constructed, average values of the resistance of the cross-sections of samples are obtained, the table of destructive loads is generated. The need for development of a set of rules and guidelines for the design of glass structures, including laminated glass, for bearing elements, as well as standards for testing, rules for assessing the strength, stiffness, crack resistance and methods for determining the strength of control samples is emphasized. It is established that the strength properties of glass depend on the type of applied load and vary widely, and significantly lower than the corresponding normative values of the strength of heat-strengthened glass. The effect of the connecting polymeric material and manufacturing technology of laminated glass on the strength of the structure is also shown. The experimental values of the elastic modulus are different in different directions of the cross section and in the direction perpendicular to the glass layers are two times less than along the glass layers.

Seasonality in the Cross-Section of Stock Returns

CFA Digest ◽  
2008 ◽  
Vol 38 (3) ◽  
pp. 55-56
Author(s):  
Kathryn Dixon Jost
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
The Cross
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