This paper examines whether small Islamic firms' returns stochastically dominate (outperform) the returns of large Islamic firms using Ascending and Descending Stochastic Dominance (ASD and DSD) approaches. In other words, we investigate the size anomaly in Islamic equity indices. We use global,...

We extend the evidence on whether investors impound efficiently into stock prices new disclosures about corporate Ramp;D programs. We find firms that disclose the discontinuation of some of their Ramp;D programs experience a significant negative announcement-period stock price response which is...

We explore whether silent information (electronic information flows) affects future price, spread and quoted depth levels in the Nasdaq Stock Market. Controlling for the time-series properties of silent information, past price, volume, electronic communications network (ECN) volume, time-of-day...

In this paper, we explore the link between culture, measured by collectivism, and commonality in liquidity for 51 countries over the period 1985 to 2012. We provide evidence that commonality in liquidity is higher for stocks that trade in collectivist countries, after controlling for supply-side...

We examine the relationship between stock extreme illiquidity and the implied cost of capital for firms from 45 countries. We document robust evidence that firms whose stocks have a greater potential for extreme illiquidity realizations suffer from higher cost of capital. A one standard...

Using the liquidity-adjusted CAPM (LCAPM) model, we estimate three time-varying illiquidity risks based on the DCC-GARCH(1,1) for 49,351 common stocks of which 20,678 trade in 60 emerging markets and the remaining 28,673 in 23 developed markets. The reported evidence from the cross-sectional...

This study addresses the challenges faced by organizations in prioritizing sustainability reporting aligned with the United Nations' Sustainable Development Goals (SDGs). We examine the cause-and-effect relationships among sustainability dimension-related disclosures and specific SDG criteria....