This paper investigates whether a particular magnitude and direction of meteor showers in returns dominates the performance of domestic trading in U.S., European and Australasian global markets. Direct and indirect channels of foreign information transmission are modelled by stochastic parameter...

Pricing of capital share risks provides a novel link between macroeconomicsand finance. Our paper adopts the Epstein-Zin type utility framework andthe Bansal and Yaron's (2004) long-run risk model to derive an heterogeneousasset pricing model that extends Lettau et al.'s (2019) capital share...

The few studies that examine the cash-flow sensitivity of cash (CFSC) report mixed and conflicting results. However, we note a marked increase in the CFSC of US firms from 1971 to 2015 that is pervasive and robust to standard controls used in the literature. On average, this sensitivity has...

In this study we analyse the evolution of interdependence and relative influence of major international stock markets in the three main geographical regions of USA, Europe and Asia around the Global Financial Crisis (GFC) of 2007. Using the framework of the Foreign Information Transmission (FIT)...

We investigate when market making can be profitable in the European Carbon Futures market, by developing an order type selection rule, based solely on transaction level data. We employ a granular approach that uses an observable variable, i.e. trading intensity, to extract the liquidity and...

This study models the trading intensity in European Allowances (EUA) futures contracts in the European Climate Exchange (ECX) using various specifications and investigates the forecasting ability of observable versus unobservable factors. This set up tests empirically the impact of the evolving...

We investigate the nature of the relationship between Corporate Social Responsibility (CSR) and Corporate Financial Performance (CFP) by examining how it changes across a third dimension that accounts for firm-specific factors. We propose a semi-latent specification of an endogenous control...