Abstracts The traditional CAPM beta is almost exclusively calculated over a return period
that spans a window length of 60-months, at one-month return frequencies. It is one of the …

Using a broad sample of earnings announcement tweets (EATs) constructed from 18 million
corporate tweets, we document that there exists a substitute relationship between EATs and …

BACKGROUND In their study of seasonality on the New York Stock Exchange, Rozeff and
Kinney [1976] find that January returns are significantly higher than returns for other months …

The quantile regression technique is introduced into the Lotka–Volterra ecosystem analysis
framework. The quantile grey Lotka–Volterra model is established to reveal the dynamic …

This paper uses two highly liquid S&P 500 and gold exchange-traded funds (ETFs) to
evaluate the impact of liquidity and macroeconomic news surprises on the frequency of …

This study aims to explore the effects of COVID-19 indicators and the oil price crash on the
Saudi Exchange (Tadawul) Trading Volume and Tadawul Index (TASI) for the period from …

This paper is an evaluation of long-term cumulative abnormal returns (CAR's) based on
Twitter broadcasts by highly influential market agents. We look at the information content of …

Purpose The James Fund at Rensselaer Polytechnic Institute's Lally School of Management
is a small, recently established, course-driven student-managed investment fund (SMIF) …

Purpose Though exchange-traded funds (ETFs) are similar to mutual funds, we identify
several reasons how they are different based on their structure and trading characteristics …

The flow of assets into exchange traded funds (ETFs) has led to a competition among
trading venues. This study analyzes the determinants of share volume and the benefits to …