Purpose: The authors investigate the association of the constructed corporate social responsibility (CSR) measures with the banks’ profitability, social contributions and CSR spending as well as the market reaction to CSR spending. Design/methodology/approach: Using textual analysis of the...

A subsidiary failure may deteriorate the bank holding company's (BHC) financial conditions. BHCs' managers possess better knowledge than market investors concerning the likelihood of subsidiary failure, which gives rise to information asymmetry. We examine the effects of this information...

We examine the predictive effect of sentiment on the cross-section of stock returns across different economic states. The degree of mispricing and the subsequent price correction can be different between economic expansion and recession because of the limits of arbitrage and short sale...

We show that the pre-FOMC announcement drift is more pronounced among lottery-like stocks and does not reverse in the days following the announcement. The pre-FOMC demand for lottery-like stocks is more prominent among institutional investors than retail investors. The associated pre-FOMC drift...

Firm circumstances change but rating agencies may not make timely revisions to their ratings, thereby increasing information asymmetry between firms and the market. We examine whether firms time the securities market before a credit rating agency publicly reveals its decision to change a firm's...

In this paper we aim to link the volatility of interest rate swap (hereafter, IRS) markets to the macroeconomic risk/uncertainty of the UK and the US. In doing so, we obtain the low-frequency volatility of IRS using a recently developed Asymmetric Spline GARCH (ASP-GARCH) model of Rangel and...

This paper studies the influence of the non-tradable share reform in the cross-section of stock returns in China. Prior research has generally neglected this important development in the Chinese stock market. We find that the firm-specific illiquidity measures that reflect direct transaction...