All Outputs (33)

FT coverage and UK target price run-ups (2014)
Journal Article
Siganos, A., & Papa, M. (2015). FT coverage and UK target price run-ups. European Journal of Finance, 21(12), 1070-1089. https://doi.org/10.1080/1351847x.2014.924077

We focus on the market expectation hypothesis to explain the increase in share prices and trading volume of target firms before their merger announcements that have conventionally been attributed to either insider trading or market expectation. We us... Read More about FT coverage and UK target price run-ups.

Compositional changes in the FTSE100 index from the standpoint of an arbitrageur (2013)
Journal Article
Opong, K., & Siganos, A. (2013). Compositional changes in the FTSE100 index from the standpoint of an arbitrageur. Journal of Asset Management, 14(2), 120-132. https://doi.org/10.1057/jam.2013.8

We explore the profitability of a strategy that is based on the quarterly addition/deletion revisions of the FTSE100 index and of a strategy that is based on the irregular additions of reserve companies on the list of firms to be included in the FTSE... Read More about Compositional changes in the FTSE100 index from the standpoint of an arbitrageur.

Google attention and target price run ups (2012)
Journal Article
Siganos, A. (2013). Google attention and target price run ups. International Review of Financial Analysis, 29, 219-226. https://doi.org/10.1016/j.irfa.2012.11.002

We explore the increase in the share prices of target firms before their merger announcements. We use a novelty Google search volume to proxy the market expectation hypothesis according to which firms with an abnormal upward change in Google searches... Read More about Google attention and target price run ups.

UK Short Selling Activity and Firm Performance (2012)
Journal Article
Andrikopoulos, P., Clunie, J., & Siganos, A. (2012). UK Short Selling Activity and Firm Performance. Journal of Business Finance and Accounting, 39(9-10), 1403-1417. https://doi.org/10.1111/jbfa.12003

We use short selling data from Data Explorers from 2004 to 2012 to investigate the extent to which UK short sellers are informed investors, in accordance with Diamond and Verrecchia's (1987) hypothesis. Our results suggest that heavily-shorted stocks... Read More about UK Short Selling Activity and Firm Performance.

Firm characteristics that drive the momentum pattern in the UK stock market (2012)
Journal Article
Siganos, A. (2013). Firm characteristics that drive the momentum pattern in the UK stock market. Quantitative Finance, 13(3), 439-449. https://doi.org/10.1080/14697688.2012.694466

Previous studies have estimated the company characteristics of previous winners and losers to explore the momentum effect. Using UK data, this study focuses on the characteristics of companies that actually generate the momentum pattern. These are pr... Read More about Firm characteristics that drive the momentum pattern in the UK stock market.

Short-selling constraints and ‘quantitative’ investment strategies (2012)
Journal Article
Andrikopoulos, P., Clunie, J., & Siganos, A. (2013). Short-selling constraints and ‘quantitative’ investment strategies. European Journal of Finance, 19(1), 19-35. https://doi.org/10.1080/1351847x.2011.634426

This study uses stock lending data from Data Explorers to assess the impact of short-selling constraints on the profitability of eight investment strategies. Returns from unconstrained long–short portfolios are compared with those from ‘feasible’ por... Read More about Short-selling constraints and ‘quantitative’ investment strategies.

Can retail investors exploit stock market anomalies? (2011)
Journal Article
Siganos, A. (2012). Can retail investors exploit stock market anomalies?. Applied Financial Economics, 22(7), 537-547. https://doi.org/10.1080/09603107.2011.619493

This article investigates the extent to which small investors can exploit a range of stock market anomalies. The study uses a small number of companies to define both long and short portfolios, and investigates the post-cost profitability of the foll... Read More about Can retail investors exploit stock market anomalies?.

Higher co-moments and asset pricing on London Stock Exchange (2011)
Journal Article
Kostakis, A., Muhammad, K., & Siganos, A. (2012). Higher co-moments and asset pricing on London Stock Exchange. Journal of Banking and Finance, 36(3), 913-922. https://doi.org/10.1016/j.jbankfin.2011.10.002

This study examines the asset pricing implications of preferences over the higher moments of returns’ distributions. We show that in a market populated by risk-averse, prudent and temperate investors, firms whose returns exhibit negative coskewness o... Read More about Higher co-moments and asset pricing on London Stock Exchange.

Can small investors exploit the momentum effect? (2009)
Journal Article
Siganos, A. (2010). Can small investors exploit the momentum effect?. Financial Markets and Portfolio Management, 24(2), 171-192. https://doi.org/10.1007/s11408-009-0120-3

This study uses UK data and investigates whether small investors can exploit the continuation effect in share prices. Individual traders are not in a financial position to buy and sell short hundreds of firms, as suggested by existing academic resear... Read More about Can small investors exploit the momentum effect?.

Momentum profits in alternative stock market structures (2007)
Journal Article
Chelley-Steeley, A., & Siganos, A. (2008). Momentum profits in alternative stock market structures. Journal of Multinational Financial Management, 18(2), 131-144. https://doi.org/10.1016/j.mulfin.2007.05.002

The aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the Lo... Read More about Momentum profits in alternative stock market structures.

Momentum returns and size of winner and loser portfolios (2007)
Journal Article
Siganos, A. (2007). Momentum returns and size of winner and loser portfolios. Applied Financial Economics, 17(9), 701-708. https://doi.org/10.1080/09603100600722193

Previous studies in the field of the momentum effect have defined winner and loser portfolios only by using deciles, quintiles or triciles. This article overcomes this limitation by investigating the magnitude of momentum gains for various sizes of w... Read More about Momentum returns and size of winner and loser portfolios.

Momentum profits following bull and bear markets (2006)
Journal Article
Siganos, A., & Chelley-Steeley, P. (2006). Momentum profits following bull and bear markets. Journal of Asset Management, 6(5), 381-388. https://doi.org/10.1057/palgrave.jam.2240188

This paper examines the profitability that the widely published momentum strategy achieves following bull and bear markets. Investors can gain stronger momentum profits by adopting the continuation strategy after poor lagged market returns. The longe... Read More about Momentum profits following bull and bear markets.

Momentum profits and macroeconomic factors (2004)
Journal Article
Chelley-steeley, P., & Siganos, A. (2004). Momentum profits and macroeconomic factors. Applied Economics Letters, 11(7), 433-436. https://doi.org/10.1080/1350485042000191719

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; mo... Read More about Momentum profits and macroeconomic factors.