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Turn-of-the-month effect: New evidence from an emerging stock market
(Elsevier, 2016-08)
This paper analyzes the turn-of-the-month (ToM) effect in Turkish equity returns. We show that the ToM effect is strongly significant in BIST100 index over 1988–2014, and distinct from other calendar anomalies. In particular, ...
Cash flow news, discount rate news, and momentum
(Elsevier, 2016-11)
We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher following aggregate positive cash flow news, even in down markets or low sentiment ...
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