This study intends to investigate the momentum effect, which states that shareswhich performed the best (worst) over the previous three to twelve months continueto perform well (poorly) over the subsequent three to twelve months. Evidence suggests that a strategy that buys previous winner shares...

ABSTRACT A number of studies have explored the sources of the Monday effect, according to which returns are on average negative on Mondays. We contribute to the literature by exploring whether a direct measure of mood explains the Monday effect. In line with psychological literature, a greater...

This paper introduces the concept of divergence of sentiment to the behavioral finance literature. We measure the distance between people with positive and negative sentiment on a daily basis for 20 countries by using data from status updates on Facebook. The prediction is that a higher...

We study the impact of financial constraints on cross-market arbitrage. We find that financially constrained firms are more likely to conduct debt-financed share repurchases. Such repurchases tend to reduce investments and increase financial distress risks, especially when financially...

We focus on the stock price reaction to convertible bond offering made by financial institutions and find that the cumulative abnormal return over the three day interval around convertible bond issuance is 1.41 percentage higher than that for non-financial institutions. This result supports our...

This study tests the information leakage hypothesis prior to the public announcement of firms switching between the Alternative Investment Market (AIM) and the Main Market (MM) in the UK. We find significant abnormal stock returns 60 trading days prior to the announcement of these switches. The...

This study examines the asset pricing implications of preferences over the higher moments of returns' distributions. We show that in a market populated by risk-averse, prudent and temperate investors, firms whose returns exhibit negative coskewness or positive cokurtosis should yield higher...