Outputs (4)

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.