In this study, we investigate the dynamic relationship between return and liquidity in the Brent and the West Texas Intermediate (WTI) oil markets. The research utilises daily oil price and volume data and monthly macroeconomic data from January 1, 1996 to April 28, 2023 obtained from the Energy...

In this study, we investigate the dynamic relationship between return and liquidity in the Brent and the West Texas Intermediate (WTI) oil markets. The research utilises daily oil price and volume data and monthly macroeconomic data from January 1, 1996 to April 28, 2023 obtained from the Energy...

This paper assesses the effects of investors' lottery-seeking behavior on expected returns in the Norwegian equity market, a relatively small equity market dominated by the energy industry. We use the MAX factor defined as maximum daily return over the previous month as the proxy of investors'...

We investigate the relationship between hybrid tail covariance risk (HTCR) and expected return over the last four decades. Despite a significant positive HTCR-expected return relationship in Bali et al. (2014), we find that this relationship is not significant at least during average market...

This paper assesses the effects of investors’ lottery-seeking behavior on expected returns in the Norwegian equity market, a relatively small equity market dominated by the energy industry. We use the MAX factor defined as maximum daily return over the previous month as the proxy of...

New AbstractWe investigate the relationship between cryptocurrencies and the stock market. We use two vector autoregression models to analyze the short- and long-run, cumulative impulse-response, and Granger causality test between S&P500 returns and cryptocurrency. Our results suggest positive...

Using a data set on climate risk constructed by Google BERT (AI) algorithm, fine-tuned by Kölbel et al. (2022), we demonstrate that physical climate risk is materialized in US stock markets. This premium is positive, both statistically and economically significant (1.5% to 2.7% annually),...

The green bond market develops rapidly and aims to contribute to climate mitigation and adaptation significantly. Green bonds as any asset are subject to transition climate risk, namely, regulatory risk. This paper investigates the impact of unexpected political events on the risk and returns of...

The green bond market develops rapidly and aims to contribute to climate mitigation and adaptation significantly. Green bonds as any asset are subject to transition climate risk, namely, regulatory risk. This paper investigates the impact of unexpected political events on the risk and returns of...