Most pricing and hedging models rely on the long run temporal stability of a sample covariance matrix. Using a large dataset of equity prices from four countries, the US, UK, Japan and Germany, we test the rolling stability of realized sample covariance matrices using two complementary...

This paper examines the role of cross-listing in stock return dynamics with particular reference to feedback trading based on a sample of five most frequently traded cross-listed shares. We find that a long-run equilibrium relationship among the cross-listed share prices exists, but find no...

To investigate the complex interactions between market events and investor sentiment, we employ a multivariate Hawkes process to evaluate dynamic effects among four types of distinct events: positive returns, negative returns, positive sentiment and negative sentiment. Using both intraday S&P...

Previous studies find corporate investments negatively predict firm performance and stock returns. Using data from the Chinese A-share stock market, we find firms that substantially increase their investments have higher, rather than lower, subsequent stock returns. This effect persists after...