Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Gokhan Sonaer"'
Publikováno v:
Financial Review. 57:663-689
We find that strong disagreements between hedge funds and other institutions in their common stock trades are twice as likely as agreements. The overall success of hedge funds’ trades is confined to disagreement stocks. While hedge funds are on ave
Publikováno v:
The European Journal of Finance. 27:1887-1907
This paper investigates hedge fund herding at the industry level and its impact on industry returns. Although the level of industry herding on average is substantially weaker for hedge funds compared to non-hedge fund institutions, we find that indus
Publikováno v:
SSRN Electronic Journal.
Prior literature has shown that companies in Fortune’s list of 100 best companies (BCs) to work for in the United States earn positive abnormal returns in the period after the list is published. This article assesses to what extent the prior perfor
Publikováno v:
Journal of Banking & Finance. 92:51-66
Recent studies show that institutional investors as a whole group are not any different from naive investors in failing to benefit from the book-to-market anomaly. Furthermore, Jiang (2010) illustrates that institutional investors exacerbate the pric
Publikováno v:
Accounting & Finance. 58:97-129
We find a negative relationship between market share growth and subsequent stock returns, three- and four-factor alphas. We report the potential explanatory role of market share growth in explaining subsequent average monthly stock returns. High (Low
Publikováno v:
Journal of Banking & Finance. 72:240-254
Due to copyright restrictions, the access to the full text of this article is only available via subscription. We examine the effect of aggregate cash flow news and discount rate news on momentum returns. We find that momentum profits are higher foll
Autor:
Gokhan Sonaer, Debarati Bhattacharya
Publikováno v:
The European Journal of Finance. 24:283-299
In this paper we investigate whether herding by actively managed equity funds affects their performances and flows over the 1980–2013 period. We show that during the herding quarter, on average, fu...
Publikováno v:
Review of Quantitative Finance and Accounting. 48:191-218
We evaluate the robustness of momentum returns in the US stock market over the period 1965–2012. We find that momentum profits have become insignificant since the late 1990s. Investigations of momentum profits in high and low volatility months addr
Publikováno v:
Journal of Banking & Finance. 52:1-16
Due to copyright restrictions, the access to the full text of this article is only available via subscription. This study examines whether mutual funds herd in industries and the extent to which such herding impacts industry valuations. Using two her
Autor:
Gokhan Sonaer, Jaideep Chowdhury
Publikováno v:
Journal of Economics and Finance. 40:631-652
Past research shows that the difference between dividend amount and ex-dividend day price drop reflects the transaction costs and the differential in the tax rates on dividends and capital gains. Moreover, it is also documented that the higher the di