We find that increases in implied market volatility (a proxy for market fear) have a significant impact on returns of bank stocks, above and beyond systematic risk proxied by the expected excess market return during a bad economic regime. Large bank returns are favorably affected by increases in...

It is well known that firms with low price to earnings ratios (value firms) earn higher stock returns in the long term than high price to earnings firms (growth firms). This study investigates how insider ownership affects this relation. We show that when insider ownership is high, returns...

The article investigates market reaction to negative reports published by analysts and auditors for a sample of investment, commercial and savings banks during the 2008 financial crisis and compares the results to noncrisis periods. The results show that during 2008, analysts' downgrades and...

The study examines the relationship between the country-specific governance characteristics of the origination country and the post-listing returns of cross-listed firms. In addition, the study researches the relative impact of those governance indicators on the abnormal returns of cross-listed...

The prospectus of every initial public offering (IPO) provides a lengthy list of factors that exposes investors to risk when investing in an IPO. However, this list is not useful for distinguishing among IPOs for investors who plan to hold IPO shares in the aftermarket. We attempt to identify...

Using a measure of default likelihood based on an option pricing method, we provide evidence that Fed policy actions affect the financial distress of commercial banks. When the Fed increases (decreases) interest rates, the measure of default likelihood increases (decreases). We show that when...