scholarly journals Profits From Buying Losers And Selling Winners In The London Stock Exchange

2011 ◽  
Vol 1 (11) ◽  
Author(s):  
Antonios Antoniou ◽  
Emilios C. Galariotis ◽  
Spyros I. Spyrou
Keyword(s):  
Market Efficiency ◽  
Stock Returns ◽  
Stock Exchange ◽  
London Stock Exchange ◽  
Stock Portfolios ◽  
Contrarian Strategies ◽  
Subsequent Period ◽  
Investor Optimism ◽  
Investor Behaviour ◽  
Market Capitalisation

<p>DeBondt and Thaler (1985) have challenged the notions of market efficiency and of rational investor behaviour. According to their findings stock portfolios that experience negative returns tend to outperform portfolios that experience positive returns, during the subsequent period. In other words, stock returns may be predictable, and this may be due to excessive investor optimism and pessimism. This paper investigates the existence of such contrarian profits for stocks listed in the London Stock Exchange. The results indicate that contrarian strategies are profitable for UK stocks and more pronounced for extreme market capitalisation stocks. These profits persist even after the sample is adjusted for market frictions, and irrespective of whether raw or risk-adjusted returns are used.</p>

Market Efficiency and Arbitrage Opportunities for Russian Depositary Receipts Cross-Listed on the London Stock Exchange

2016 ◽  
Vol 19 (02) ◽  
pp. 1650007 ◽  
Author(s):  
Oksana Kim
Keyword(s):  
Market Efficiency ◽  
Stock Exchange ◽  
Local Market ◽  
London Stock Exchange ◽  
Arbitrage Opportunities ◽  
Individual Traders ◽  
Arbitrage Opportunity ◽  
Depositary Receipts ◽  
Differential Expectations ◽  
Russian Stock Market

This study examines the Russian stock market efficiency from two perspectives. First, we document that for the sample of Russian firms cross-listed on the Main Market of the London Stock Exchange (LSE) as Global Depositary Receipts (GDRs), the return series obtained from both the local market and the LSE are time-invariant and hence, predictable. This suggests that the market is inefficient with respect to pricing Russian GDRs and that investors are likely to make systematic nonzero profits. Second, we document profitable arbitrage opportunity surrounding the announcement to adopt IFRS, which is an additional evidence of market inefficiency. The significant pricing spread observed on this key date was due to the differential market reaction to IFRS adoption — neutral on the local MICEX exchange dominated by individual traders and significantly negative on the LSE dominated by institutional investors. This finding can be explained by (i) informational advantages of the local investors due to geographic proximity, (ii) differential expectations with respect to governance norms and listing requirements, and (iii) difference in portfolio composition of the two investor groups.

scholarly journals Media Coverage and Stock Returns on the London Stock Exchange, 1825–70*

2017 ◽  
Vol 22 (4) ◽  
pp. 1605-1629 ◽  
Author(s):  
John D Turner ◽  
Qing Ye ◽  
Clive B Walker
Keyword(s):  
Stock Returns ◽  
Media Coverage ◽  
Stock Exchange ◽  
London Stock Exchange

scholarly journals Investors’ risk perception in the context of efficient market hypothesis: A conceptual framework for malaysian and indonesian stock exchange

2021 ◽  
Vol 124 ◽  
pp. 03002
Author(s):  
Syed Emad Azhar Ali ◽  
Fong-Woon Lai ◽  
Muhammad Kashif Shad
Keyword(s):  
Risk Perception ◽  
Market Efficiency ◽  
Stock Returns ◽  
Portfolio Management ◽  
Stock Exchange ◽  
Composite Index ◽  
Efficient Market Hypothesis ◽  
Primary Objective ◽  
Efficient Market ◽  
Share Prices

The advocates of the Efficient Market Hypothesis (EMH) theory postulates that share prices depict all the available information concerning its intrinsic worth. EMH espouses the Random Walk Theory i.e. future stock returns cannot be predicted based on past movement patterns. Contrary to that, there are believers of the Adaptive Market Hypothesis (AMH) who have questioned the adaptability of EMH and argues that market efficiency and investor’s risk perception varies across time, thus, stock returns can be predicted through active portfolio management. Various Studies have argued on market efficiency debate for developed markets, however, limited studies have examined the same for emerging markets such as Malaysia and Indonesia, which are most volatile among ASEAN-5 indices. Therefore, the primary objective of this study is to conceptualize the manifestation of efficient market hypothesis and investors’ risk perception in volatile markets of Malaysia (Kuala Lumpur Composite Index) and Indonesia (Jakarta Composite Index) by testing the 10 years (2010-2019) of daily, weekly and monthly data for the return predictability. The findings of this study will provide insight into stock market behavior to help investors to better strategize their portfolio investment positioning to reap the most efficient risk-based return.

scholarly journals An evaluation of sustainability in large British companies

2019 ◽  
Vol 48 (1-2) ◽  
pp. 39-63
Author(s):  
Taskin Iqbal ◽  
Andrew Keay
Keyword(s):  
Content Analysis ◽  
Strong Evidence ◽  
Stock Exchange ◽  
Sustainability Reporting ◽  
International Standards ◽  
Business Strategies ◽  
London Stock Exchange ◽  
Business Operations ◽  
Sustainability Reports ◽  
Market Capitalisation

This article undertakes an assessment of the sustainability efforts of some of the largest companies that are listed on the FTSE 100 (a share index composed of the 100 largest companies that are listed on the London Stock Exchange according to market capitalisation). It provides empirical insights into how large listed British companies are addressing sustainability and their efforts in terms of incorporating sustainability factors into their business operations. The study was based on an extended content analysis of each company’s annual and sustainability reports. Our findings demonstrate that companies are trying to integrate sustainability in their business strategies even though there are variations in their efforts. There are indications that the majority of the companies have been able to embed sustainability in their strategy and operations and are now attempting to establish goals for further improvement. We found strong evidence of willingness to engage with relevant stakeholders to evaluate which sustainability issues are of importance to the particular companies and then to communicate to those relevant stakeholders the measures that have been taken to integrate sustainability in their business strategies. However, our findings also revealed areas where there is a need for further improvement such as compliance with international standards for sustainability reporting and establishment of better frameworks to enhance their sustainability efforts.

scholarly journals A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange

2018 ◽  
Vol 11 (4) ◽  
pp. 59 ◽  
Author(s):  
Maria Sochi ◽  
Steve Swidler
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Emerging Markets ◽  
Market Efficiency ◽  
Stock Returns ◽  
Stock Exchange ◽  
Short Selling ◽  
Efficient Markets ◽  
Dow Jones Industrial Average ◽  
Daily Stock Returns

A ban on short selling exists on several exchanges, especially in emerging markets. In most cases, short selling has always been prohibited, thus making it difficult to examine the ban’s effect on price discovery. In this paper, we consider data from the Dhaka Stock Exchange (DSE) to test for a short selling ban on market efficiency. The analysis examines runs in daily stock returns and then forms a distribution of return clusters according to their duration. Using Monte Carlo simulation, we find that runs of longer duration appear more frequently in the DSE data than we would expect in efficient markets. We compare these results to stocks in the Dow Jones Industrial Average (DJIA). We find that the same runs tests accord with market efficiency for liquid and easily shorted DJIA stocks.

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