We examine the hypothesis that stock prices underreact to corporate news and that trading volume and return variability are proxies for latent news flow. Consistent with this notion, we find that that price continuation and potential momentum profits are larger after elevated levels of volume...

If information is not perfect, theories prescribe a negative relation between information availability and expected stock returns. Using two readily available variables, price and volume, I construct a new proxy for information and test its relation to returns in the 1964-2007 period on...

The objective of this study is to analyze how financial connectedness impacts equity markets and potentially raises the cost of equity for firms that are more dependent on the financial sector. We apply the Diebold and Yilmaz (2014) methodology to daily stock prices of the largest 40 U.S....

This paper tests whether the conditional CAPM can explain size, book-to-market, momentum and illiquidity effects utilizing data from the Istanbul Stock Exchange (ISE). The conditional CAPM mostly fails for these standard asset pricing anomalies with statistically significant risk-adjusted...