EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK ON INVESTORS' TRADING, MARKET TIMING, AND IMPLEMENTATION SHORTFALL

Authors

  • Amanulla Bhuyan PhD Department of Accounting & Finance, College of Business and Public Affairs, Alabama A&M University, USA
  • Jebran Khandoker Bhuyan PhD Professor: Department of Finance, Jagannath University, Dhaka, Bangladesh
  • Kohers Lakonishok Smidt PhD Chair & Professor of Finance, Department of Accounting & Finance, College of Business & Public Affairs, Alabama A&M University,USA

Keywords:

Stock Market, Transaction Cost, Implementation Shortfall, Calendar Anomalies

Abstract

In this research, we evaluate the US investors' trading pattern
and choice of market timing in the presence of implementation
shortfall. Results show that when investors decide to trade,
implementation shortfall is being ignored. It is observed that
stock performance on Wednesday is positive in the presence of
positive and significant implementation shortfall i.e., traders
do not seem to manage implementation shortfall during
trading on Wednesday. It is also observed that investors seem
to ignore the implementation shortfall in April. This behavior
seems to persist in other types of market times such as turn-ofthe-month, week-of-the-month, and quarter-of-the-year
effects on implementation shortfall. We conclude that investors
behave aggressively to buy stocks during certain days and times
of the year ignoring implementation shortfall

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Published

2020-04-20

How to Cite

Amanulla, B., Jebran, K. B., & Kohers , L. S. (2020). EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK ON INVESTORS’ TRADING, MARKET TIMING, AND IMPLEMENTATION SHORTFALL . Advance Journal of Financial Innovation and Reporting, 4(4), 1–15. Retrieved from https://aspjournals.org/ajfir/index.php/ajfir/article/view/1

Issue

Vol. 4 No. 4 (2020)

Section

Articles

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