Now showing items 1-3 of 3
The information content of Canadian implied volatility indexes
For predicting future volatility, empirical studies find mixed results regarding two issues: (1) whether model free implied volatility has more information content than Black-Scholes model-based implied volatility; (2) ...
Stock market reactions to changes in the FTSE SmallCap and S&P/TSX SmallCap indices
(Brock University, 2010-10-26)
Stocks added to (deleted from) the Russell 2000 and the S&P 600 indexes experience positive (negative) abnormal returns following the announcement. However, researchers disagree on whether these ...
Liquidity, institutional ownership and regulation fair disclosure
There is a body of academic literature addressing two issues of importance for leveling the playing field for all classes of investors: 1) the impact of institutional investors on liquidity; and 2) the impact of Regulation ...