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Expectation Dispersion, Uncertainty, and the Reaction to News
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …
Persistent link: https://www.econbiz.de/10012492947
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Expectation Dispersion, Uncertainty, and the Reaction to News
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2021
expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable …
Persistent link: https://www.econbiz.de/10013251271
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Cybersecurity Risk
Florackis, Chris; Louca, Christodoulos; Michaely, Roni; … - 2021
We develop a novel firm-level measure of cybersecurity risk using textual analysis of cybersecurity-risk disclosures in corporate filings. The measure successfully identifies firms extensively discussing cybersecurity risk in their 10-K, displays intuitive relations with quantitative measures of...
Persistent link: https://www.econbiz.de/10013314803
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Prediction Markets, the True Value of the Revolving Door and the US Cabinet
Koch, Benjamin; Luechinger, Simon; Moser, Christoph - 2024
We estimate the value of the revolving door for firm executives and directors joining the cabinets of the Trump I and Biden administrations. By combining intraday stock and prediction market data, we take the degree of anticipation of political appointments into account and we offer estimates...
Persistent link: https://www.econbiz.de/10015211263
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Green Stocks and Monetary Policy Shocks: Evidence from Europe
Bauer, Michael D.; Offner, Eric A.; Rudebusch, Glenn D. - 2024
Policymakers and researchers worry that the low-carbon transition may be inadvertently delayed by higher global interest rates. To examine whether green investment is especially sensitive to interest rate increases, we consider the effect of unanticipated monetary policy changes on the equity...
Persistent link: https://www.econbiz.de/10015211265
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The Transmission of Monetary Policy to the Cost of Hedging
Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024
We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility and tail risk, and by affecting option market...
Persistent link: https://www.econbiz.de/10015211274
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Sustainable Stocks and the Russian War on Ukraine - An Event Study in Europe
Kick, Andreas; Rottmann, Horst - 2022
The popularity of sustainable investments is unbroken and attracts investors and researchers alike. Modelling the properties of such 'green' firms, Pástor, Stambaugh, and Taylor 2021 consider a hedge against climate risks in their theoretical model. Likewise, it could be assumed that companies...
Persistent link: https://www.econbiz.de/10013353410
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Too Complex to Digest? Federal Tax Bills and Their Processing in US Financial Markets
Bennani, Hamza; Neuenkirch, Matthias - 2022
In this paper, we analyze whether the complexity of tax bills affects financial markets. Based on the Flesch-Kincaid grade level of the 32 tax bills identified by Romer and Romer (2010) in the period 1962–2003, we assess the relationship between tax bills' complexity and financial markets...
Persistent link: https://www.econbiz.de/10013470311
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We Are All in the Same Boat: Cross-Border Spillovers of Climate Shocks through International Trade and Supply Chain
Feng, Alan; Li, Haishi; Wang, Yulin - 2023
Are land locked countries subject to sea-level rise risk? We highlight a new mechanism by which physical climate shocks affects countries' macro-financial performance: the cross-border spillover effects that propagate through international trade. Basing our findings on historical data between...
Persistent link: https://www.econbiz.de/10014377377
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Aggregate Insider Trading and Stock Market Volatility in the UK
Caporale, Guglielmo Maria; Kyriacou, Kyriacos; … - 2023
This paper examines the relationship between aggregate insider trading (AIT) and stock market volatility using monthly data on insider transactions by UK executives in public limited companies for the period January 2002 - December 2020. More specifically, a Vector Autoregression (VAR) model is...
Persistent link: https://www.econbiz.de/10014377485