All Outputs (2)

Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange? (2012)
Journal Article
Wu, Y., Li, Y., & Hamill, P. (2012). Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?. Financial Review, 47(3), 501-530. https://doi.org/10.1111/j.1540-6288.2012.00338.x

We investigate whether low‐priced stocks drive long‐term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama‐French risk adjusted basis, we find both low‐priced... Read More about Do low-priced stocks drive long-term contrarian performance on the London Stock Exchange?.

The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market (2012)
Book Chapter
Zhang, R., Li, Y., & McKillop, D. (2012). The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market. In L. Wang (Ed.), Rising China in the Changing World Economy (357-395). Routledge

Introduction: The non-normality of security price returns has attracted a large number of studies. The observed distributions are commonly called leptokurtic because of the narrower body of the distribution and fatter tails. One explanation suggeste... Read More about The Effect of Historical Events on the Speed of Price Evolution Indexed by an Operational Time for China’s Futures Market.