Benos, Evangelos; Jochec, Marek(Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2009-04-29)
Countries whose citizens have liberal ideals are less biased toward domestic equity. Data
from 30 countries suggests that economic as well as social liberalism is associated with
proportionally higher foreign equity ...
Companies whose names contain the words “America(n)” or “USA” earn positive abnormal
returns of about 6% per annum during the Second World War, the War in
Korea and the War on Terror. These abnormal returns are not ...
Benos, Evangelos; Jochec, Marek(Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2009-05-01)
Using daily return data from 448 actively managed mutual funds over a recent 9-
year period, we look for persistence, over two consecutive quarters, in the ability of
funds to select individual stocks and time the market. ...
Benos, Evangelos; Jochec, Marek(Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2007-02-17)
This paper puts the PIN variable (Probability of INformation-based
trading) to test. We ¯nd that for a large set of stocks, the PIN vari-
able is lower (albeit insigni¯cantly) in the periods before earnings an-
nouncements ...
Jochec, Marek(Social Science Research Network (SSRN) http://www.ssrn.com/en/, 2015-10-08)
I use simulated series of buys and sells to test nine different PIN estimation algorithms implemented
in SAS, proc NLP. I conclude that the algorithms do a good job estimating PIN, on average, when
applied to series ...
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