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RISS 인기검색어
- 검색키워드
- 저자 : Joel N Morse (검색결과 3 건)
- 무료
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- 유료
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Day-of-the-Week Trading Patterns of Individual and Institutional Investors
Joel N. Morse,Hoang Nguyen,Hao M. Quach People&Global Business Association 2014 Global Business and Finance Review Vol.19 No.2
This study examines the day-of-the-week trading patterns of individual and institutional investors. Consistent with previous evidence, we find an increase in the proportion of Monday trading volume attributable to individual investors relative to other days of the week. However, we document that this increase results from a reduction in trading by institutional investors, rather than from an absolute increase in trading by individual investors. In fact, the absolute trading volume by individual investors is significantly lower on Monday than on any other weekday. We also document that the degree of day-of-the-week effect varies with the quality and dissemination of public information proxied by the market capitalization of each company.
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The Effect of Option Listing on Return Momentum and Reversal
Joel N. Morse,Hoang Huy Nguyen,Chih-Hsien (Jerry) Yu 사람과세계경영학회 2011 Global Business and Finance Review Vol.16 No.1
Momentum studies examine short-term return continuations and long-term return reversals in various capital market environments. In this paper, we examine the informational impact of option listing on momentum strategies. We find that within a 12-month period, the profitability of momentum strategies is higher for stocks with options than those without options. Moreover, during a three-year window, stocks without listed options exhibit significant reversals in momentum return, while those that have options show no reliable evidence of reversal. When we examine the effect of risk, we document that the reversal pattern appears strongest for a subsample of stocks characterized by both small capitalization and high volatility. Our findings support the information-based proposition that option availability improves market efficiency and hence reduces investors’ overreaction during the short-term momentum cycle. As a result, long-run return reversal declines. Our paper also provides new evidence supporting behavioral models related to the momentum phenomenon.
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The Effect of Earnings Announcement Timing on Liquidity
Gregory B Gaynor,Richard M Morton,Joel N Morse People&Global Business Association 2013 Global Business and Finance Review Vol.18 No.2
The proportion of after-market-close (AMC) earnings announcements has recently increased to more than 40% of the total number of earnings announcements (Berkman & Truong, 2009). Doyle and Magilke (2009) conclude that managers do not announce AMC to hide bad news; however, they do not directly address other explanations for the AMC announcement increase. Thus, the cause(s) remains an open question. Interestingly, the increase in AMC earnings announcements has coincided with the emergence of a 24/7 news environment and a marked increase in noise trading. We posit that managers are increasingly announcing earnings AMC instead of before-market-open (BMO) to take advantage of this increased noise trading-thereby increasing the liquidity of their stock. We show evidence, after controlling for other factors, that announcing AMC instead of BMO increases liquidity. In addition, the relationship between AMC and liquidity is increasing in analysts' coverage-consistent with the view that AMC announcements generate the largest increase in liquidity for those stocks with high investor interest.
KCI
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