We analyze minute by minute equity price data from 1 August 2005 to 31 October 2008 to study the relationship between the three sources of systematic risk in Fama and French's (1993) model and the market's expectation of total risk as represented by the VIX (the “fear factor”). Our findings...

Investors' expectations of market volatility, captured by the VIX (the Chicago Board Options Exchange's volatility index - also known as the quot;investor fear gaugequot;), affects the expected returns of US equities in two ways. Firstly, the VIX is a priced-factor in a five-factor model of...

The effects of trading Level I ADRs in the US OTC market were investigated for 119 firms from Hong Kong, the United Kingdom (UK), Australia, Japan, South Africa, Germany and Brazil during the period February 1992 to April 2001. Since firms that undertake Level I ADR programs do not reconcile...

We examine a sample of corporate inversions from 1993 to 2015 by firms active in the U.S. markets and find that shareholders experience positive abnormal returns in the short-run. In the long-run, inversions have a deleterious effect on shareholder wealth. The form of the inversion and...

We examine the relationship between Psychopathy and its underlying components and financial risk and time preferences in a sample of business majors. We find that overall score on Psychopathy is positively related to the linearity of the cumulative prospective utility function. A breakdown of...

This paper examines the effect of financialisation of futures markets has on the relationship between crude oil futures and equities by using the VAR-DCC-GARCH model. Specifically, by accounting for the systematic patterns of commodity price volatility, namely, seasonality and maturity effects...

This paper examines the recency bias and overreaction in the NFL betting market from 2003 to 2017. Consistent with the recency bias, bettors are more likely to bet on teams who have won previous outcomes. We add to the literature and find that the magnitude of prior wins and losses in the...

This letter investigates trading activities around episodes of attentional shift towards climate change to infer the impact of investor attention on stock trading. We use the Abnormal Search Volume Index (ASVI) from Google Trends as an ex ante measure capturing investor attentional shift towards...

We compare two text-based proxies for the sentiment of investors in the Japanese market. Both proxies are constructed by Thomson Reuters using the same algorithm, and the only difference between them is that the first proxy is derived using only Japanese language items; the second is derived...