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We show that unexpected changes in the trajectory of COVID-19 infections predict US stock returns, in real time. Parameter estimates indicate that an unanticipated doubling (halving) of projected infections forecasts next-day decreases (increases) in aggregate US market value of 4 to 11 percent,...
Persistent link: https://www.econbiz.de/10012481907
In this paper we analyze the behavior of stock markets in six emerging countries. More specifically, we describe the bull and bear cycles of four Latin American and two Asian countries, comparing their characteristics during both phases and the degree of concordance of bullish periods. We divide...
Persistent link: https://www.econbiz.de/10012468881
Equity market liberalizations are like IPOs, but they are IPOs of a country's stock market rather than of individual firms. Both are endogenous events whose benefits are limited by poor investor protection, agency costs, and information asymmetries. As for stock prices following an IPO, there...
Persistent link: https://www.econbiz.de/10012469222
We analyze cross-sectional and time series information from forty-seven equity markets around the world, to consider whether short-sales restrictions affect the efficiency of the market, and the distributional characteristics of returns to individual stocks and market indices. Using the approach...
Persistent link: https://www.econbiz.de/10012469237
China's stock market greatly outperformed other national markets during the first several months of the COVID-19 pandemic, and it did so even before it became evident that early containment efforts would flounder in the United States and many other countries. As to why, one view holds that...
Persistent link: https://www.econbiz.de/10015326478
We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility. First, by using a research design with three ingredients (a common set of companies simultaneously listed on two stock exchanges; binding capital controls; different timing of...
Persistent link: https://www.econbiz.de/10012458690
In this paper I offer an alternative identification assumption that allows one to test for changing patterns regarding the international propagation of shocks when endogenous variables, omitted variables, and heteroskedasticity are present in the data. Using this methodology, I demonstrate that...
Persistent link: https://www.econbiz.de/10012471430
We study the stock market effects of the arrival of the three rounds of "stimulus checks" to U.S. taxpayers and the single round of direct payments to Hong Kong citizens. The first two rounds of U.S. checks appear to have increased retail buying and share prices of retail-dominated portfolios....
Persistent link: https://www.econbiz.de/10013172127
This study analyzes information production and trading behavior of banks with lending relationships. We combine trade-by-trade supervisory data and credit-registry data to examine banks' proprietary trading in borrower stocks around a large number of corporate events. We find that relationship...
Persistent link: https://www.econbiz.de/10013388877
For decades credit rating agencies were viewed as trusted arbiters of creditworthiness and their ratings as important tools for managing risk. The common narrative is that the value of ratings was compromised by the evolution of the industry to a form where issuers pay for ratings. In this paper...
Persistent link: https://www.econbiz.de/10014322691