This paper investigates how the disclosure tone of earnings conference calls predicts future stock price crash risk. Using U.S. public firm earnings conference call transcripts from 2010 to 2015, we find that firms exhibiting more pessimistic tone during the current year-end call experience...

Purpose - This study investigates how the Russian invasion of Ukraine affected the stock markets of the Gulf Cooperation Council (GCC) countries in comparison to Europe and explores the varying responses of GCC markets. Design/methodology/approach - Using an event study framework, the impact of...

This article analyses the market reaction to stock splits announcements, using a unique US sample over the period 2000 to 2009. Our event study finds a significantly positive Cumulative Average Abnormal Return (CAAR) around the announcement date. Liquidity increases lead to higher stock price...

We construct new indicators of financial regulatory intensity and find evidence that a "regulatory sine curve" generally exists: regulatory oversight increases following a recession and wanes as the economy returns to normalcy. We then build an asset pricing model, based on the idea that...

This paper examines the ex-dividend price and trading volume behaviour in the Greek stock market. The examined period spans over the period 2000-2004. We use both the standard event study methodology and the regression analysis in order to assess the ex-dividend stock price anomaly. We find that...

I document a recent increase in the usefulness of quarterly earnings announcements. I measure the usefulness of earnings announcements as the percentage of total annual excess returns that occurs on or around quarterly earnings announcements. In the main sample, approximately 18.4% of...

We attempt to explain post-earnings announcement drift using the newly documented refinement of the disposition effect, which is the V-shaped net selling propensity (VNSP). Using a novel data set containing stock-level information on the trading activities of different types of investors, we...

This paper documents a negative relationship between pre-FOMC announcement returns and post-FOMC announcement returns, independent of the state of the economy and sample period. We propose and test a reversal strategy consisting in buying (selling) E-Mini S&P 500 just before the announcement, if...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...