A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the jump component is persistent when forecasting the oil...

In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized...

Much empirical research on the timeliness of earnings announcements presents evidence for the good news early, bad news late rule. This paper goes further by dividing an individual firm's news content into two parts - unexpected earnings in relation to the previous year (news A) and unexpected...

This paper provides the first analysis of controlling shareholder's tradeoff between share pledging and share trading in the presence of costly work effort. We develop a model in which engaging effort in share pledging simultaneously affects the firm's payoff. Theoretical predictions indicate...

This paper applies a model in real option framework to analyze the impacts of controlling shareholder's share pledging on corporate investment timing and valuation. Theoretical model indicates that the optimal investment timing shows an inverted U-shape with pledge ratio, and better investor...

In this study, we examine the effect and mechanism of attention to climate change on corporate green innovation. We find that green innovation strengthens with more attention to climate change. In addition, the more green pressure that enterprises face and the more resources they have, the more...

This paper develops a trade-off model to investigate the motivations of share pledges and their influencing factors by examining the large controlling shareholders' (L) share pledges and share trading strategies in maximizing wealth utility. We find that L's pledge motivations are responsive to...

While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...