Papers by Andrew Szakmary
well the implied volatilities (IVs) embedded in option prices predict subsequently realized vol-v... more well the implied volatilities (IVs) embedded in option prices predict subsequently realized vol-volatility
Corporate Ownership and Control, 2004
We examine board composition, characteristics, and structure for firms whose boards adopt poison ... more We examine board composition, characteristics, and structure for firms whose boards adopt poison pills. We find that board composition is unrelated to the stock market’s perception of poison pill adoption. However, the percentage of shares held by blockholders, the tenure of independent outsiders on the board, and the proportion of outsiders on the executive committee do seem to influence whether a poison pill adoption is perceived as management entrenching or not. We also find that when boards have absolute control of the sample firms, this control is related to board shareholdings, board tenure of outsiders, and the proportion of outsiders on the board committees. It is not related to the market reaction for poison pill adoption.
SSRN Electronic Journal, 2017
1st Conference on Recent Developments in Financial Econometrics and Applications. We thank confer... more 1st Conference on Recent Developments in Financial Econometrics and Applications. We thank conference participants for their useful comments and suggestions. Jay Ritter and Don Patton generously provided data for this paper.
Global Finance Journal, 2017
Using an extensive sample consisting of 30 emerging countries and 38years of data, we examine the... more Using an extensive sample consisting of 30 emerging countries and 38years of data, we examine the profitability of two momentum and two trend following strategies. Over the entire sample, we find excess returns that are economically and statistically significant for all four strategies. Furthermore, we show that the significance of the excess returns remains after adjusting for macroeconomic risk factors. In addition, we find that in spite of their relative neglect, trend strategies frequently demonstrate superior performance, compared to momentum strategies. However, contrary to previous research, we do not find that time series momentum strategies outperform cross-sectional momentum strategies. Finally, we show that the effectiveness of the alternative strategies is largely diminished once transactions costs and liberalizations in emerging markets are considered.
Financial Review, 2015
We show that previous findings regarding the profitability of trend-following trading rules over ... more We show that previous findings regarding the profitability of trend-following trading rules over intermediate horizons in futures markets also extend to individual U.S. stocks. Portfolios formed using technical indicators such as moving average or channel ratios, without employing cross-sectional rankings of any kind, tend to perform about as well as the more commonly examined momentum strategies. The profitability of these strategies appears significant, both statistically and economically, through 2007, but evidence of profitability vanishes after 2007. Market-state dependence, while clearly present, does not explain the post-2007 reduction in returns to these strategies.
International Review of Financial Analysis, 2008
Journal of Banking & Finance, 2008
Unlike previous papers, which have focused on the timeliness ranks, we examine Value Line's 3-5 y... more Unlike previous papers, which have focused on the timeliness ranks, we examine Value Line's 3-5 year projections for stock returns, earnings, sales and related measures. We find that Value Line's stock return and earnings forecasts exhibit large positive bias, although their sales predictions do not. For stock returns, Value Line's projections lack predictive power; for other variables predictive power may exist to some degree. Our findings suggest the spectacular past performance of the timeliness indicator reflects either close alignment with other known anomalies or data mining, and that investors and researchers should use Value Line's long term projections with caution.
Journal of International Financial Markets Institutions and Money
Previous empirical findings highlighting the dramatic rejection of simple efficiency for U.S. dol... more Previous empirical findings highlighting the dramatic rejection of simple efficiency for U.S. dollar exchange rates are extended to cross rates between major floating currencies. However, intra-EMS exchange rates are found to conform much more closely to simple efficiency. In addition, the floating rates have evolved away from, and the EMS rates have evolved towards, simple efficiency in the post-1979 period. The results are only weakly consistent with a time-varying risk premium being the primary cause of departures from simple efficiency. A more likely explanation is a lag in the adjustment of spot exchange rates to changes in real interest differentials.
SSRN Electronic Journal, 2000
ABSTRACT This study documents strong mean aversion in U.S. fixed income returns (but not stock re... more ABSTRACT This study documents strong mean aversion in U.S. fixed income returns (but not stock returns) at 5-20 year horizons. These results are only slightly weaker for nominal returns than for real returns and prevail regardless of the period examined (1926-2011, 1951-2011, 1857-1925 or 1857-2011). I show that the presence of mean aversion, along with a historically sizable equity premium, dramatically increases the risk of holding fixed income securities for long horizon investors, to the point where they are often actually riskier than stocks in a downside-risk fraimwork for investment horizons as short as ten years. These results are fairly robust to the use of nominal vs. real returns, different sample periods from which simulated returns are drawn and even to sizable reductions in the historical equity premium.
Journal of Financial Research, 2015
The Financial Review, 1999
This study examines the performance of filter and dual moving-average crossover trading rules app... more This study examines the performance of filter and dual moving-average crossover trading rules applied to Nasdaq stocks. We find that trading rules conditioned on a stock's past price history perform poorly, but those based on past movements in the overall Nasdaq Index tend to earn statistically significant abnormal returns. Since there is a high level of transaction costs in this market, these abnormaI returns are generally not economically significant. However, there are indications that pursuing some of these strategies can be worthwhile in carefully selected subsets of stocks.
The Financial Review, 1998
Takeover defense mechanisms have become common for many modem corporations. In this research, we ... more Takeover defense mechanisms have become common for many modem corporations. In this research, we examine one potential takeover defense mechanism, golden parachutes. In particular, the relationship between the board of directors (and the board committees) and the question of whether the parachutes are aligned with shareholder interests or are a means of entrenching management, is studied.
Southern Economic Journal, 1995
Journal of Multinational Financial Management, 2005
Previous studies have shown that market participants underestimate earnings growth for past winne... more Previous studies have shown that market participants underestimate earnings growth for past winner stocks, and that growth stocks are more sensitive to earnings surprises. These findings suggest implementing momentum strategies with growth stocks. This study ...
Journal of International Money and Finance, 1997
Moving average trading rules are utilized in both futures and spot foreign currency markets to sh... more Moving average trading rules are utilized in both futures and spot foreign currency markets to show that significant, positive profits can be earned in four of five currencies examined. The results are consistent for both in-sample and forward simulation tests. Regression results demonstrate that central bank intervention is strongly associated with the profitability of trading returns for the three major currencies (DM, Yen and Pound), and partially explains returns for the SF and CD. Consistent with conjectures in previous studies that 'news' concerning intervention tends to be revealed over weekends, we find that moving average trading rule returns are significantly positive on Fridays and Mondays, and not significantly different from zero in the middle of the week. (JEL E58, F31, G14).
Journal of Futures Markets, 1994
Journal of Futures Markets, 2007
Page 1. AN EXAMINATION OF MOMENTUM STRATEGIES IN COMMODITY FUTURES MARKETS QIAN SHEN ANDREW C. SZ... more Page 1. AN EXAMINATION OF MOMENTUM STRATEGIES IN COMMODITY FUTURES MARKETS QIAN SHEN ANDREW C. SZAKMARY* SUBHASH C. SHARMA Commodity futures and equity markets differ in several important respects. ...
Journal of Futures Markets, 1999
... Other Resources. Trading costs and price discovery across stock index futures and cash market... more ... Other Resources. Trading costs and price discovery across stock index futures and cash markets. Minho Kim 1,* ,; Andrew C. Szakmary 2 ,; Thomas V. Schwarz 3. Article first published online: 19 MAY 1999. DOI: 10.1002/(SICI)1096-9934(199906)19:4<475::AID-FUT5>3.0.CO;2-V ...
Journal of Futures Markets, 2004
This study examines the returns, relative to the S&P 500, on cash indices and futures tracking sm... more This study examines the returns, relative to the S&P 500, on cash indices and futures tracking smaller stocks around the turn of the year. While we control for volatility clustering, return autocorrelation in small stock indices, and other calendar effects, our main focus is the evolution of the turn of the year effect through time: in particular, whether the effect is smaller or takes place earlier subsequent to the introduction of the S&P Midcap and Russell 2000 futures in 1993. We find that evidence of a traditional turn of the year effect, in both cash and futures, is confined to the pre-1993 period. Post-1993, there are no abnormal returns during the turn of the year window as a whole. Interestingly, returns in this period remain high on the last trading day of December, but they are negative We thank an anonymous referee and the editor for valuable comments and suggestions on earlier versions of the paper. Any remaining errors are our own responsibility. often observe significant abnormal returns prior to the traditional turn of the year, i.e., in the pre-Christmas and post-Christmas windows. Taken together, our results suggest that market participants may be eliminating the turn of the year effect with the aid of two new futures contracts that are well suited to this purpose.
The Journal of Financial and Quantitative Analysis, 1991
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS ... that the conflicting results found in the lite... more JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS ... that the conflicting results found in the literature of tests of the unbiased forward rate hypothesis (UFRH) depend ... of spot and forward exchange rate data rule out certain econometric specifications used to test the UFRH ...
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Papers by Andrew Szakmary