The article investigates market reaction to negative reports published by analysts and auditors for a sample of investment, commercial and savings banks during the 2008 financial crisis and compares the results to noncrisis periods. The results show that during 2008, analysts' downgrades and...

We examine the changes in information asymmetry around Standard and Poors (S&P) 500 Index additions and deletions as a possible explanation for the stock price reaction to index revision events. Using an array of information asymmetry measures to represent the complex information environment of...

This article examines whether the effect of hierarchical pay structures on firm value is different between the firms in which the CEO is not the highest paid member of the top management team and those in which the CEO receives the highest pay. We find that the difference in pay between CEO and...

Appropriate modelling of the process of volatility has implications for portfolio selection, the pricing of derivative securities and risk management. Further, a large body of research has suggested that both long memory and structural changes simultaneously characterize the structure of...

With US monetary policy and financial markets exerting a strong influence on the region's exchange rates, exports and investor confidence, Latin America is particularly vulnerable to international macroeconomic 'contagion.' Of the limited studies on the region, however, most attention has been...

We use the system GMM to explore both cross sectional variations and time-series effects within the post-event period for losers and winners portfolios. Some of these effects are not observable, but ignoring them lays the estimation open to bias from concealed heterogeneity amongst companies and...

This study employs 14 global economic and financial variables to predict the return of the Islamic stock market as identified by the Dow Jones Islamic Stock Market (DJIM). It implements alternative forecasting methods and allows for nonlinearity in the multivariate predictive regressions by...