We studied decades-long (1980 to 2024) historic distributions of accumulated S&P500 returns, from daily returns to those over several weeks. The time series of the returns emphasize major upheavals in the markets - Black Monday, Tech Bubble, Financial Crisis, and the COVID pandemic - which are...

This study investigates the causal impact of stock price crash risk on the cost of equity (COE) in China's segmented A- and B-share markets with an emphasis on ownership structures and market regimes. Employing a bootstrap panel Granger causality framework, Markov-switching dynamic regression,...

The presence of autocorrelated financial returns has major implications for investment decisions. Unsurprisingly, therefore, numerous studies have sought to shed light on whether returns are autocorrelated or not, to what extent, and when. Standard tests for autocorrelation rely on the...