This study investigates whether economic policy uncertainty (EPU) affects the degree of Bitcoin dependency in the crypto market by calculating the Pearson correlation between Bitcoin return and the average return of 19 cryptocurrencies to determine the return dependency. The results indicate...

This study explores whether the technical analysis based on moving average indicator can predict Bitcoin returns during January 2014 and October 2019. First, we find that Bitcoin weekly returns are well predictable by the technical indicator defined as the difference between the log moving...

This study explores the investment behavior of underperforming chief executive officers (CEOs) on merger frequency and the effect on acquirers’ shareholder wealth of merger bids in U.S. industrial firms. We find that underperforming CEOs are more likely to make acquisitions, especially...

This study explores the behavior of underperforming chief executive officers (CEOs) on merger frequency and the effect on acquirers’ shareholder wealth of merger bids in U.S. industrial firms from 1994 to 2018. We find that underperforming CEOs are more likely to make acquisitions, especially...

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...