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Social Capital and Stock Price Crash Risk: Cross-Country Evidence

Gaganis, Chrysovalantis; Leledakis, George N.; … - 2024

We use a comprehensive cross-country sample to investigate whether and how the country-level social capital influences the firm-level stock price crash risk. We document a negative and statistically significant effect, which is robust to various tests including IV estimations that account for...

Persistent link: https://www.econbiz.de/10015214574

Heroes or Villains? Culturally endorsed charismatic leadership style and stock price crash risk

Gaganis, Chrysovalantis; Leledakis, George N.; … - 2024

This study examines the association between the culturally endorsed charismatic leadership style in a society and stock price crash risk. The results reveal a positive and statistically significant association, providing support to the arguments about the dark-side view of charismatic...

Persistent link: https://www.econbiz.de/10015214575

U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters

Rossi, Francesco - 2011

We propose a novel approach to cross-sectional equities sample selection, derived from best market practice in index construction and focused on investability. Using the U.K. market as a template, we first demonstrate how the popular Datastream dataset is plagued by data deficiencies that would...

Persistent link: https://www.econbiz.de/10015231736

Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011

Panait, Iulian; Slavescu, Ecaterina Oana - 2012

Our paper investigates the symmetry in stock returns of the 30 most liquid companies traded on Bucharest Stock Exchange during 2000 – 2011 and also the most representative 5 market indices. Our daily data shows that skewness estimates are slightly negative for most indices and individual...

Persistent link: https://www.econbiz.de/10015232035

Forecasting Base Metal Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolas - 2018

zinc. The economic relationship hinges on the present-value theory for exchange rates, a floating exchange rate regime and …

Persistent link: https://www.econbiz.de/10015258752

Die Theorie der fairen geometrischen Rendite

Sonntag, Dominik - 2018

The theory of fair geometric returns, F theory for short, rejects the generally accepted notion that volatility is the … geometric return. In order to get to the point, F theory, in addition to its own ideas, resorts to information theoretical …-called) concept of the fugue – a novel countercyclical investment strategy borrowed from music theory; as well as an F-theory …

Persistent link: https://www.econbiz.de/10015260519

Overnight Momentum, Informational Shocks, and Late-Informed Trading in China

Gao, Ya; Han, Xing; Li, Youwei; Xiong, Xiong - 2019

Based on high-frequency firm-level data, this paper uncovers new empirical patterns on intraday momentum in China. First, there exists a strong intraday momentum effect at the firm level. Second, the intraday predictability stems mainly from the overnight component rather than the opening...

Persistent link: https://www.econbiz.de/10015265523

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of the NBER Working Papers published during 1999–2016 is done to assess the effects of the 2007–2009 crisis on the academic literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics,...

Persistent link: https://www.econbiz.de/10015266578

Academic Scholarship in Light of the 2008 Financial Crisis: Textual Analysis of NBER Working Papers

Levy, Daniel; Mayer, Tamir; Raviv, Alon - 2020

Textual analysis of 14,270 NBER Working Papers published during 1999–2016 is done to assess the effects of the 2008 crisis on the economics literature. The volume of crisis-related WPs is counter-cyclical, lagging the financial-instability-index. WPs by the Monetary-Economics, Asset-Pricing,...

Persistent link: https://www.econbiz.de/10015266597

Effects of Option Introduction on Price and Volatility of Underlying Assets - A Review

Hiremath, Gourishankar S - 2009

The effect of options’ introduction on underlying market is one of the frequently debated themes in financial research. A significant body of literature addresses the question of effects of options’ introduction. The critical review of the literature shows that there is no consensus among...

Persistent link: https://www.econbiz.de/10015236795