This paper assesses whether incorporating investor sentiment as conditioning information in asset pricing models helps capture the impacts of the size, value, liquidity and momentum effects on risk-adjusted returns of individual stocks. We use survey sentiment measures and a composite index as...

Purpose: The authors investigate the association of the constructed corporate social responsibility (CSR) measures with the banks’ profitability, social contributions and CSR spending as well as the market reaction to CSR spending. Design/methodology/approach: Using textual analysis of the...

We examine the impact of aviation disasters on the stock prices of the crash airlines and their rival airlines. Results show that the crash airlines experience deeper negative abnormal returns as the degree of fatality increases. The stock prices of the rival airlines also suffer in large-scale...

This paper examines the change in returns, trading activities, and liquidity of 43 firms that moved from the Over-The-Counter market to Taiwan Stock Exchange during 2002. Using the intraday data, our empirical results suggest that abnormal returns rise as the switching date is approaching, but...

The purpose of this study is to examine the determinants of the direct stockholding behavior for younger/non-retired and older/retired households in U.S. Using the 2001 Survey of Consumer Finances, the study found that education attainment, income level, attitudes toward credit card use, access...

A subsidiary failure may deteriorate the bank holding company's (BHC) financial conditions. BHCs' managers possess better knowledge than market investors concerning the likelihood of subsidiary failure, which gives rise to information asymmetry. We examine the effects of this information...

We examine the predictive effect of sentiment on the cross-section of stock returns across different economic states. The degree of mispricing and the subsequent price correction can be different between economic expansion and recession because of the limits of arbitrage and short sale...