AN ANOMALY WITHIN AN ANOMALY: THE HALLOWEEN EFFECT IN THE LONG-TERM REVERSAL ANOMALY

In this paper, we investigate the presence of the Halloween effect in the long-term reversal anomaly in the US. When we examine the cross-sectional returns of winner-minus-loser portfolios formed on prior returns over the time period of 1931-2021, we find evidence of stronger returns during winter months versus summer months. In particular, the effect appears to be driven by very strong winter-summer seasonality in the portfolio of small-capitalisation losers, and lack of Halloween effect in the portfolio of large-capitalisation winners. Our finding is robust to alternative measures of long-term reversal, differing sub-periods, the inclusion of the January effect and outlier considerations, as well as within small and large-sized companies.

THE DAVIDS AND THE GOLIATHS: INVESTMENT DYNAMICS AND PERFORMANCE DIFFERENTIALS OF SMALL FIRMS AND FAMILY-CONTROLLED LARGE FIRMS IN FOUR SECTORS OF THE INDIAN MARKET

This study focuses on investment structures and performances of family-controlled and non-affiliated publicly traded firms on the Indian market. While many influential, family-controlled firms dominate a large part of the Indian industry today, this study finds that a considerable fraction of the non-affiliated firms are able to maintain stable financial performance by forging strategic ties with other non-affiliated firms in transactional supply-chains modes. This study contributes to the understanding of the question concerning how investment structures of firms might be governed through interfirm ties of coordinated and cooperative investments. The results have important implications for the markets of emerging economies in the Asia-Pacific and the Southeast Asian regions.

Presence of analyst before IPO and underpricing: a Meta-analysis.

The effect of analyst presence on underpricing has shown a contrasting result. By synthesizing the result using meta-analysis for twelve studies with more than 20400 firms we found conclusive evidence of the relation between analyst presence and underpricing of IPOs. With the increase in analyst presence by 1% the IPO underpricing increases by 4.9%. Moreover, meta-regression between effect size and moderator variables found the significant and positive role of the reputed underwriter to increase underpricing when the IPO has coverage of analysts. Our results are striking for the US market IPOs in which reputed underwriters as moderator affect underpricing significantly and positively which shows reputation increase information asymmetry. Whereas in emerging markets IPOs reputed underwriters increase market efficiency and information symmetry.

IMPACT OF COVID-19 ON CRYPTOCURRENCIES: EVIDENCE ON INFORMATION TRANSMISSION THROUGH ECONOMIC AND FINANCIAL MARKET SENTIMENTS

This paper investigates the relationship between the COVID-19 crisis and the two leading cryptocurrencies, Bitcoin and Ethereum, from 31 December 2019 to 18 August 2020. We also use an economic news sentiment index and financial market sentiment index to explore the possible mechanisms through which COVID-19 impacts cryptocurrency. We employ a VAR Granger Causality framework and Wavelet Coherence Analysis and find the cryptocurrency market was impacted in the early phase of the sample period through economic news and financial market sentiments, but this effect diminished after June 2020.

COVID-19 IS DEADLY! LONG LIVE THE KING, CORPORATE CASH HOLDINGS!

Covid-19 has adversely affected the human race. With human race confined to their houses, the level of consumption has gone down and it has significant negative impact on the cash flows of the existing businesses. In this study, using different scenarios and stress level, we try to predict the impact on businesses cash flows and establish the role of corporate cash holdings in avoiding illiquidity of businesses.

RELATION BETWEEN NEGATIVE TONE IN NEWS RELEASES OF WHO AND INDUSTRY RETURNS DURING THE COVID-19 PANDEMIC

We analyze the relationship between the negative tone in news releases issued by the WHO and industry returns during the Covid-19 pandemic. We construct our news tone measure as the ratio of negative words to the total number of words present in news releases of WHO. The news tone shows to be significantly associated with returns for the majority of industries. Bad news announced by the WHO translates into good news for consumer nondurables, telecommunications, and healthcare sectors. Negative tone in news releases of WHO is on average bad news for consumer durables, manufacturing, energy, and other industries. Our findings suggest that the news tone-return relation varies significantly throughout our Covid-19 sample.

INVESTOR ATTENTION AND HERDING IN THE CRYPTOCURRENCY MARKET DURING THE COVID-19 PANDEMIC

This study examines the relationship between investor attention and herding effects in the cryptocurrency market by employing the vector autoregression and quantile regression models. Furthermore, we examine whether the COVID-19 pandemic affected herding behaviour in cryptocurrencies. Using the daily closing price and Google search volume of the five leading cryptocurrencies, the paper finds that herding in the cryptocurrency market decreases with an increase in investor attention for the overall sample. The results for the COVID-19 period indicate that the impact of investor attention on the herding effect decreases due to increased attention to the pandemic. This study is one of the initial attempts to examine the impact of investor attention on herding in cryptocurrencies.

COVID-19 PANDEMIC AND HERDING BEHAVIOUR IN CRYPTOCURRENCY MARKET

In this paper, we examine the presence of herding in cryptocurrency market for four distinct sub-periods (Pre and During COVID-19 period, bear and bull markets) using daily closing prices of 5 largest cryptocurrencies by market capitalization (Bitcoin, Ethereum, XRP, Stellar and Tether) from April 20, 2019 to January 31, 2021. The study employs cross-sectional absolute deviations (CSAD) model to test herd behavior and the results of the study provide evidence of herd behavior in the whole market for the selected period under study. The study also proofs the presence of herding during COVID-19 period and in positive market returns. These indicate that, investors in the cryptocurrency market, during COVID-19 periods, and in bullish market are inclined to the investment behavior of other peer investors in the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market. The study is significant to investors, regulators and players in the cryptocurrency market so as to deepen their understanding of herding behavior since herding is thought to increase the volatility of the market.

IS BITCOIN IMMUNE TO THE COVID-19 PANDEMIC?

This study examines how Bitcoin’s trading characteristics react to the COVID-19 pandemic, using detailed futures trading data from the Chicago Mercantile Exchange. The results show that volume-weighted Bitcoin futures return responds positively to the spikes of public interest. Meanwhile, the surges of pandemic information do not harm market quality. Volume, bid-ask spread, and trading frequency remain stable, indicating that the positive price reaction is not a result of a few small uninformed trades. Bitcoin's conditional beta on the S&P 500 index drops to near zero, while the conditional beta on gold more than doubles. These results indicate that traders have been using Bitcoin as a safe-haven asset after the pandemic outbreak.

DO ECONOMIC FORECASTERS BELIEVE THE STOCK MARKET IS EFFICIENT? EVIDENCE FROM GERMANY

The perception of market efficiency is quite different from the reality of market efficiency. We show using a large survey of German market forecasters that few respondents consistently believe that the stock market is currently efficient and will remain so. Past volatility tends to erode the view that the market is efficient and strengthen the belief that the market is inefficient.