Steven L. Heston
University of Maryland - Department of Finance
Robert A. Korajczyk
Northwestern University - Kellogg School of Management
Ronnie Sadka
Boston College - Carroll School of Management
Lewis D. Thorson
University of Washington - Foster School of Business
Abstract
Over the post-decimalization period, we find a predictable pattern of return continuation in equities. Stocks whose relative returns are high in a given half-hour interval today tend to exhibit similar outperformance in the same half-hour period on subsequent days. The effect is stronger at the beginning and end of the trading day, but exists throughout the day. Percentage changes in trading volume exhibit a similar pattern, but do not explain the return pattern. These results suggest that strategically shifting the timing of trades can significantly reduce execution costs for institutional traders.
Stochastic Claims Reserving Methods in Insurance
Mario V. Wüthrich and Michael Merz
With the advent of solvency II it is essential that all actuaries can estimate the variability of outstanding claims on the balance sheet. This book is the only book that covers all the mathematical theory and practice that actuaries need in order to meet this legal requirement.
ISBN: 9780470723463 - 18-Apr-08 - £70.00
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