This paper examines time-varying behavior of momentum and contrarian profits to identify the existence of adaptive market hypothesis (AMH), and whether AMH can provide justification for the presence of such anomalous behavior in the Dhaka Stock Exchange (DSE) of Bangladesh. To investigate the...

We show that if sophisticated institutional managers and individual investors perceive tail-risks differently, then a new explanation for the pricing kernel puzzle emerges. We show, by example, that even a tiny difference in tail-risk perception by the two investor types can explain the pricing...

We examine the effects of the North Korea-U.S. summit and related events on the South Korean stock market over the period March 2018 to June 2018. Employing the event study methodology, we estimate sectoral abnormal returns following the events surrounding the summit and conduct several...

This study examines whether investors’ attitudes toward ambiguity can explain cross-sectional stock returns by investigating the relationship between future stock returns and option-implied volatilities as well as implied third moments. We find that investors’ attitudes toward different...

This study examines the relationship between bank stock price and its selected fundamentals, namely, profitability, credit risk, and liquidity risk. Using the dynamic common correlated effect (DCCE) technique, we discover a mechanism error-correction between the stock price and the selected...

We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the...

While informal debt is often used as a funding source for retail investors, very little is known about the characteristics of its sources and use. This is particularly true in emerging markets where the use of informal debt is widespread. We examine the determinants of the use of informal debt...

Corporate restructuring is a widely adopted mode of improving efficiency and firm performance and has been studied in different country contexts such as the US, Australia, and Europe. The aim of this paper is to examine the impact of spin-off announcements on the stock prices of parent firms in...

This paper evaluates the effectiveness of the COVID-19 temporarily led restriction on short selling by the Stock Exchange of Thailand (SET). We investigate the causal effect of short selling restriction on return, volatility and market quality from 2 September 2019 to 30 September 2020....

The study examines the dynamics between oil price, exchange rate, and stock market performance in South Africa using DCC-GARCH, time-varying VAR, and multivariate Markov regime switching models. Monthly data on oil price, exchange rate, and market capitalization as a measure of stock performance...