This paper uses one-minute returns on the TOPIX and S&P500 to examine the efficiency of the Tokyo and New York Stock Exchanges. Our major finding is that Tokyo completes reactions to New York within six minutes, but New York reacts within fourteen minutes. Dividing the sample period into three...

Using the 2007-09 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of...

A large body of research exists on the question of market efficiency and the Capital Asset Pricing Model ("CAPM"). Numerous apparent exceptions to the CAPM have been observed, with the risk adjusted outperformance of small-cap stocks over large-cap stocks being the most commonly cited anomaly....

The disclosure regime to which corporate equity issuers listed on European regulated markets are subject under the relevant European financial regulation have similar objectives whether or not the issuer is offering securities at the time of disclosure. From this premise, this article argues...

This paper is a study of the spillover effects of U.S. macroeconomic news on different sectors of the Australian stock market. We find that an indication of economic contraction from the United States raises the conditional mean, and most news elicits associated volatility in the Australian...

We study the evolution of the price discovery process in the euro-dollar and dollar-yen currency pairs over a ten-year period on the EBS platform, a global trading venue used by both manual and automated traders. We find that the importance of market orders decreases sharply over that period,...

In this paper, we study the Tradesports contracts targeted to the American football outcomes during NFL 2005-2006 regular season. By testing the distribution of actual games' points and the market prices of the contracts, running the regressions of the market prices on the actual outcomes, and...