Browsing by Author "Michayluk David"

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Browsing by Author "Michayluk David"

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  • An analysis of Australian exchange traded options and warrants 
    Bertin William; Fowler P; Michayluk David; Prathier Laurie (Springer, 2010)
    This study focuses on the price discovery process in Australian option and warrant markets. Characterizing these two markets in terms of their cost structures and institutional features, we formally test competing price ...
  • Are certain dividend increases predictable? The effect of repeated dividend increases on market returns 
    Michayluk David; Neuhauser Karyn; Walker Scott (Financial Management Association, 2010)
    Positive abnormal returns around dividend increase announcements are well documented. The conventional explanation for these abnormal returns is that a dividend increase conveys favorable information about a firm¿s prospects ...
  • Are Foreign Issuers Complying with Regulation Fair Disclosure? 
    Michayluk David; Kofman Paul; Mathew Prem (Elsevier, 2007)
    Regulation Fair Disclosure (RFD) requires that any release of material information be made to the general public rather than to select individuals. The regulation represents an attempt by the Securities and Exchange Commission ...
  • Asymmetric volatility, correlation and returns dynamics between the US and UK securitized real estate markets 
    Wilson Patrick; Michayluk David; Zurbruegg Ralf (Blackwell Publishing Asia, 2004)
    We construct synchronously priced indices of securitized property listed on the New York Stock Exchange and London Stock Exchange. The indices are then utilized to examine dynamic information flows between the two markets. ...
  • Day-end effect on the Paris bourse 
    Michayluk David; Sanger Gary (Blackwell Publishing, 2005)
    We study the day-end effect on the Paris Bourse, a computerized order-driven market with competing dealers. The day-end return is approximately double the magnitude found in U.S. data and is nearly four times larger for ...
  • French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects 
    Lin Bing-Xuan; Michayluk David; Oppenheimer Henry; Sabherwal Sanjiv (Elsevier, 2009)
    We analyze how U.S. decimalization affects stocks cross-listed in France (Euronext) and the U.S. (NYSE). The French stocks examined are much larger than the non-U.S. stocks examined in prior studies of decimalization, and ...
  • Hubris amongst Japanese bidders 
    Lin Bing-Xuan; Michayluk David; Oppenheimer Henry; Reid Sean (Elsevier Inc, 2008)
    We consider the issue of hubris in the Japanese mergers and acquisitions (M&A) market. Although prior research suggests that hubris should be and is less severe in the Japanese market, our findings suggest that it still ...
  • An Insight into Overconfidence in the Forecasting Abilities of Financial Advisers 
    Van De Venter Tobias; Michayluk David (Australian Graduate School of Management, 2008)
    Financial market participants exercise judgment in decision making and psychological studies have shown that individuals are overconfident about their ability to evaluate financial securities. Range estimation calibration ...
  • Intraday REIT liquidity 
    Bertin William; Kofman Paul; Michayluk David; Prather Laurie (Australia and New Zealand Third Sector Research, 2001)
  • Investor overreaction during market declines: evidence from the 1997 Asian financial crisis 
    Michayluk David; Neuhauser Karyn (Blackwell Publishing, 2005)
    Unlike the 1987 stock market crash, the 1997 stock market decline was clearly preceded by new information that affected fundamental values of U.S. firms.We provide a detailed description of U.S. stock returns surrounding ...
  • Is liquidity symmetric? A study of newly listed internet and technology stocks 
    Michayluk David; Neuhauser Karyn (Blackwell, 2008)
    Imbedded in liquidity measures is an implicit assumption of symmetry. Although market microstructure models rely on this assumption, there may be directional pressure that creates differences in buy and sell liquidity. ...
  • Liquidity issues surrounding neglected firms 
    Bertin William; Michayluk David; Prather Laurie (Business Perspectives, 2008)
    The neglected firm effect is the phenomenon where stocks of less widely-known firms have larger returns than that predicted by asset pricing models. Researchers have found mitigating variables, such as the price of the ...
  • A Liquidity Motivated Algorithm for Discerning Trade Direction 
    Michayluk David; Prather Laurie (Multinational Finance Society, 2008)
    Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to ...
  • A longitudinal study of financial risk tolerance 
    Van De Venter Tobias; Michayluk David; Davey Geoff (Elsevier, 2012)
    Academics are divided as to whether financial risk tolerance is an enduring psychological trait and as a consequence is less likely to change over the life of an individual, or a variable psychological state which varies ...
  • Repeated LBOs - The Case of Multiple LBO Transactions 
    Kosedag Arman; Michayluk David (Dowling College, School of Business, 2004)
    Firms that undergo a second LBO transaction are unique because they have a second experience in the capital markets after being privately held. Motivations for repeated LBOs may differ from first-time LBOs--because of the ...
  • The Rise and Fall of Single-Letter Ticker Symbols 
    Michayluk David (Routledge, 2008)
    A single-letter stock ticker symbol is a limited resource - only 26 possibilities are available in a stock universe of over 475,000 possible one-, two-, three- or four-letter ticker symbols. These symbols were first allocated ...
  • The Riskiness of REITs Surrounding the October 1997 Stock Market Decline 
    Glascock John; Michayluk David; Neuhauser Karyn (Springer, 2004)
    Real estate investment trusts (REITs) are viewed as low risk/low return stocks that exhibit defensive stock characteristics. The stock market decline of October 1997 provides an excellent opportunity to examine the riskiness ...
  • The Role of Growth in Long Term Investment Returns 
    Broussard John; Michayluk David; Neely Walter (Ciber Research Institute, 2005)
    Stocks with a high valuation compared to fundamental values imply a high growth rate, yet these stocks have typically under-performed in subsequent years supporting Lakonishok, Shleifer and Vishney's (1994) contrarian ...
  • Sarbannes-Oxley: Some Unintended Consequences 
    Graham Allan; Lin Bing-Xuan; Michayluk David; Stuerke Pamela (University of Tennessee, 2007)
  • Stock splits and bond yields: Isolating the signaling hypothesis 
    Michayluk David; Zhao Ruoyun (Wiley-Blackwell, 2010)
    One explanation offered for stock splits is that the split signals positive information by reducing the stock price range in expectation of improved future prospects. Price declines also lead to changes in stock price ...