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Does the market model provide a good counterfactual for event studies in finance?
Castro Iragorri, Carlos Alberto - In: Financial markets and portfolio management 33 (2019) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012018357
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Time-variation in the impact of news sentiment
Smales, Lee A. - In: International review of financial analysis 37 (2015), pp. 40-50
Persistent link: https://www.econbiz.de/10011316615
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Avoiding idiosyncratic volatility : flow sensitivity to individual stock returns
Di Maggio, Marco; Franzoni, Francesco; Kogan, Shimon; … - 2023
Persistent link: https://www.econbiz.de/10014483227
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Relative mispricing and takeover likelihood
Li, Keming - In: Quantitative finance and economics 5 (2021) 4, pp. 689-715
Persistent link: https://www.econbiz.de/10013494091
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Novel alternative assets within a transmission mechanism of volatility spillovers : the role of SPACs
Papathanasiou, Spyros; Koutsokostas, Drosos; Pergeris, … - In: Finance research letters 47 (2022) 1, pp. 1-10
Persistent link: https://www.econbiz.de/10013457696
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Abnormal returns from takeover prediction modelling : challenges and suggested investment strategies
Danbolt, Jo; Siganos, Antonios; Tunyi, Abongeh - In: Journal of business finance & accounting : JBFA 43 (2016) 1/2, pp. 66-97
Persistent link: https://www.econbiz.de/10011565356
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Short- and long-term wealth gains from UK takeovers : the case of the financial industry
Boubaker, Sabri; Hamza, Taher - In: The journal of applied business research 30 (2014) 4, pp. 1253-1262
Persistent link: https://www.econbiz.de/10010400580
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Funding Risk, Market Liquidity, Market Volatility and the Cross-Section of Asset Returns
Fontaine, Jean-Sebastien - 2016
investors because they exacerbate the illiquidity and volatility of securities, increase the dispersions of asset illiquidity … and volatility, and decrease contemporaneous returns. Our price-of-risk estimates are also robust to using mimicking …
Persistent link: https://www.econbiz.de/10013005363
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Jump Variance Risk : Evidence from Option Valuation and Stock Returns
Chang, Hsuan-Ling - 2019
We study jump variance risk by jointly examining both stock and option markets. We develop a GARCH option pricing model with jump variance dynamics and a non-monotonic pricing kernel featuring jump variance risk premium. The model yields a closed-form option pricing formula and improves in...
Persistent link: https://www.econbiz.de/10012902142
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The breakdown of idiosyncratic volatility into expected and unexpected components and its effects on stock returns in Brazil
Silva, Raphael Braga da; Bressane, Bernardo Prôa; … - In: Latin American business review : journal of the … 13 (2012) 4, pp. 311-328
Persistent link: https://www.econbiz.de/10009714826