In addition to quantitative financial information, qualitative verbal information has also been continuously changing. In this study, we clarify the information contents of changes in qualitative verbal information. As an analyzable sample, we focus on textual opinion in analyst reports. The...

This study uses a unique and extensive data set of over 28.2 million investors' applications to examine the theory of adverse selection under two distinct regulatory regimes (discretionary against mandatory clawback provision) in relation to IPO share allocation. Consistent with Rock's (1996)...

Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we document local currency depreciations ahead of unscheduled, public, sovereign debt downgrade announcements. Consistent with the private information hypothesis, the effect is stronger in lower...

Hedge Funds are often considered as a possibility for optimizing traditional portfolios due to their alternative risk factors and sources of return. But as the return distribution of hedge funds shows negative skewness and excess kurtosis, using portfolio optimization techniques, based on the...

This paper provides evidence of deliberate private-information disclosure within banks' international business networks. Using supervisory trade-level data, we show that banks with closer ties to a target advisor in a takeover buy more stocks of the target ffrm prior to the deal announcement,...

Accurate Value at Risk (VaR) estimations are crucial for the robustness and stability of a financial system. Even though significant advances have been made in the field of risk modelling, many crises have emerged during the same period, and an explanation for this is that the advanced models...

This study investigates the nonlinear relationship between public debt and sovereign credit ratings, using a wide sample of over one hundred advanced, emerging, and developing economies. It finds that: i) higher public debt lowers the probability of being placed in a higher rating category; ii)...

When prices reflect all available information, they oscillate around an equilibrium level. This oscillation is the result of the temporary market impact caused by waves of buyers and sellers. This price behavior can be approximated through an Ornstein-Uhlenbeck (OU) process.Market makers provide...

Using novel data and a difference-in-differences strategy, I find that central bank corporate bond purchases lead firms to issue more bonds. The increased bond capital does not lead to significant increases in real investment; rather, they lead to more equity payouts. The diff-in-diff exploits...

Flexibility theory of capital structure, credit rationing, and stage-financing theory are consistent with many patterns of financing of entrepreneurial or small/medium size enterprises (SME). Tax theory of capital structure does not seem to play a significant role for SMEs as opposite to large...