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Googling Investor Sentiment Around the World
Gao, Zhenyu - 2018
We study how investor sentiment affects stock prices around the world. Relying on households' Google search behavior, we construct a weekly measure of sentiment for 38 countries during the 2004–2014 period. We validate the sentiment index in tests using sports outcomes and show that the...
Persistent link: https://www.econbiz.de/10012936540
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Information Environment and Equity Risk Premium Volatility Around the World
Lau, Sie Ting - 2014
This paper examines whether and how differences in investors' information environment are related to cross …, countries with better information environments tend to experience a lower risk premium volatility, even after controlling for … that the information environment plays an important role in explaining the market risk premium volatility …
Persistent link: https://www.econbiz.de/10013066999
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Investor Protection and Value Impact of Stock Liquidity
Huang, Tao - 2018
This paper investigates the effect of investor protection on the value impact of stock liquidity. Using a sample of rms from 40 countries for the period between 1996 and 2010, we show that investor protection is positively associated with the value impact of stock liquidity. This association is...
Persistent link: https://www.econbiz.de/10012938094
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Commonality in News Around the World
Dang, Tung Lam - 2016
results suggest that a country's institutional environments affect firm-specific information production and, more importantly …, support the information-efficiency view that lower price synchronicity is caused by greater capitalization of firm …-specific information …
Persistent link: https://www.econbiz.de/10013002058
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Cross-Listings and Liquidity Commonality Around the World
Dang, Tung Lam - 2016
high market segmentation, an opaque information environment, and a poor institutional infrastructure. These results suggest …
Persistent link: https://www.econbiz.de/10013005811
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The Determinants and Pricing of Liquidity Commonality around the World
Moshirian, Fariborz - 2017
information environments. Liquidity commonality is also affected by cultural and behavioral factors, including individualism and …
Persistent link: https://www.econbiz.de/10012965508
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Global Commonality in Liquidity
Moshirian, Fariborz - 2015
Following previous research which established that liquidity commonality exists within one stock market over a short period of time, this paper finds that liquidity commonality also exists globally. Utilising a large number of stock exchanges and a twelve year research time frame, this paper...
Persistent link: https://www.econbiz.de/10013031977
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International Political Risk and Government Bond Pricing
Huang, Tao - 2018
This paper investigates the impact of international political risk on government bond yields in 34 debtor countries using a comprehensive database of 109 international political crises from 1988 through 2007. After employing the total number of international political crises as a proxy for...
Persistent link: https://www.econbiz.de/10012938377
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Does PIN Affect Equity Prices Around the World?
Lai, Sandy - 2013
) probability of information-based trading, PIN, on a sample of 30,095 firms from 47 countries worldwide. Contrary to the empirical … exhibits a positive effect on a cross-section of expected stock returns in international markets. Alternative information …-based trading measures also display no effect on expected stock returns, corroborating our finding that information risk proxied by …
Persistent link: https://www.econbiz.de/10013087842
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Foreign Investor Heterogeneity and Stock Liquidity Around the World
Ng, Lilian K. - 2013
information channels. Our findings also indicate that the presence of FDI investors improves firm valuation and operating …
Persistent link: https://www.econbiz.de/10013092090