In this paper, we examine the changes in the dependence structure of global stock markets amid the outbreak of COVID-19. We divide 56 stock markets into developed, emerging, and frontier markets and study their daily price data from October 15, 2019 to August 17, 2020 using the canonical vine...

We reexamine the effect of financial restatements on the cost of equity vis-a-vis litigation risk. Specifically, we study the effect of litigation on post-restatement financing costs and whether market anticipates litigation before restatement announcement as evident from its effect on financing...

We extend the Fama–French three-factor model to include a risk factor that proxies for interest-rate risk faced by firms in an attempt to reduce the pricing errors that the three-factor model cannot explain. These pricing errors are observed especially in small size and low book-to-market...

This article investigates the channels through which the short-term interest rate is used as an instrument to stabilize the exchange rates in Asia during the financial crisis in the 1990s. A time-varying-parameter model with Generalized Autoregressive Conditional Heteroscedasticity (GARCH)...

This paper aims to examine the industry effect of limit hits of Tokyo Stock Exchange. The results show evidence of industry effect where information technology companies have the highest limit hits per company and utility companies have the lowest limit hits per company. High limit hit...

This study integrates the government in the context of company valuation. Our framework allows to analyze and to quantify the risk-sharing effects and conflicts of interest between the government and the shareholders when firms follow different financial policies. We provide novel evidence that...

We investigate the relationship between mood and UK equity pricing. Seven variables that are argued to proxy for mood are tested, including four weather variables (temperature, precipitation, wind speed, and geomagnetic storms), and three biorhythm variables (Seasonal Affective Disorder,...

Studies of household stock market participation report low participation rates. The explanations cited are that the fixed costs associated with participation and high risk aversion discourage households from buying stocks. However, the low participation rate findings are unchallenged. We argue...

This paper examines the differential between the share prices of Taiwanese securities traded on their home market of Taipei vs. their trading values offshore in London and New York over the 1998-2009 period. In line with prior research on mainland Chinese securities, we examine how the premiums...

This paper uses the option pricing arguments of Merton (1974) to demonstrate that even solvent banks will be reluctant to sell volatile, toxic assets at market prices. Banks' shareholders have insolvency puts that give them limited liability in the event of default. The insolvency puts are more...