Lecture: A New Anomaly
Ben Branch, Professor of Finance at UMass Isenberg School of Management and James Ma, UMass PhD candidate in Finance will be the guest speakers at this week's Finance Seminar Series. They will be speaking about thier papers "The Overnight Return, One More Anomaly" and "Closed End Fund Performance on a Daily Basis: The Discovery of a New Anomaly".
All are invited to attend.
Abstract
Since the formal development of the efficient market hypothesis, studies of actual market performance have revealed a number of apparent inconsistencies (anomalies). Herein we report on our discovery of evidence of an anomaly which relates to the behavior of the overnight and subsequent intraday returns.
Click here to view "The Overnight Return, One More Anomaly" in Adobe PDF format
Abstract
Herein we explore the relationships between the NAVs and market prices of closed end funds. We find the types of relationships that we expected. The market does react to the newly released NAV in the expected direction and the market does anticipate the changes in the NAV as expected. By far the most interesting relationship that we have uncovered, however, is the serendipitous find that the overnight and intraday returns of closed end funds are negatively auto correlated. This result is found for both the overall sample and all of the different sub samples that we tested. Our results are found in both univariate and multivariate tests. We believe the tendency for prices to move in opposite directions overnight and intraday is explained by how the specialists choose to set the opening price of their assigned stocks. We see this negative autocorrelation between intraday and overnight returns appears as another example of an anomaly.
Click here to find out more about the Finance Seminar Series.