Bubbles and crashes have long been an important area of research that has not yet led to a comprehensive theoretical or empirical understanding of how to define, measure, and compare such extreme market events. Highlights of the vast literature on bubbles, crashes, and volatility are surveyed...

We examine (via parametric and non-parametric tests) the turn of the month effect in the returns of various, size-conditioned Indian stock indices, across time, in up and down markets and independent of other seasonal anomalies. We find little support for the payday and the US macroeconomic news...

We investigate the inter-market return and volatility linkages for an atypical case of firms with foreign IPOs that subsequently cross-listed in their domestic market. In particular, our data set consists of a unique sample of 29 Israeli firms that went public in the US (host market) and then...

Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S....

This research utilizes the most recent research in psychology to analyze the innate causes of financial cycles within the context of applied financial theory. Such cycles are shown to be consistent with both human biology and efficient markets, but the brain states induced by biological...

In this paper, we observe the preferential characteristics of mutual fund managers when investing in Latin America. The main objective was checking the hypothesis that foreign managers prefer companies with characteristics that amplify its visibility, in other words, that reduce information...

This paper investigates the effect of bad or good news (asymmetric effect) on the time-varying betas of firms in the banking industries of the UK and the US during good periods (booms) and bad periods (recessions). Daily data from eleven UK and US firms of different sizes from the banking...

In this paper we review the literature on the short term predictability of stock prices conditional on large prior price changes. This research area is characterized by a large number of studies reflecting different markets, time periods, methodologies and model parameters. While most of the...

This paper extends the standard feedback trading model of Sentana and Wadhwani (1992) by allowing the demand for shares by feedback traders to depend on sentiment. Our empirical analysis of three largest Exchange-Traded Fund (ETF) contracts in the U.S. suggests that there is a significant...

Variations in fine wine prices can be prominent and have widespread economic and financial implications. Although fine wine investments are dominated by French wines, we demonstrate that significant international diversification benefits exist for investors in Italian, Australian and Portuguese...