This paper empirically examines how labor unions affect investment-cash flow sensitivity using samples from the US covering the period of 1984–2009. We find a significant positive union effect using a q model of investment. The capital expenditures of firms are 1.71 times more sensitive to...

Tracing the SEC ban on the short selling of financial stocks in September 2008, this paper investigates whether such selling activity before the 2008 short ban reflected financial companies’ risk exposure in the subprime crisis. Evidence suggests that short sellers sold short stocks that had...

Using a portfolio of Dow Jones Industrial Average index constituents and the index ETF, we document significant intraday deviations from the law of one price. These are especially pronounced at very short time intervals. The extent of deviations is related to volatility, liquidity, and...

In this paper, we investigate whether Japanese candlesticks can help traders to find the best trade-off between market timing and market impact costs. Based on fixed-effect panel regressions on a sample of 81 European stocks, we show that implicit transaction costs are better characterized by...

Using a dataset of Home Equity Loan securities issued up to June 2007 and rated by Moody’s and/or S&P, this paper investigates how discretionary ratings are priced by the market. To this end, a measure of relative rating inflation (Rating Bias) observable at issuance is proposed. The way...

China launched a pilot scheme in March 2010 to lift the ban on short-selling and margin-trading for stocks on a designated list. We find that stocks experience negative returns when added to the list. After the ban is lifted, price efficiency increases while stock return volatility decreases....

This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher...

Operational risk incidences are likely to increase the degree of information asymmetry between firms and investors. We analyze operational risk disclosures by US financial firms during 1995–2009 and their impact on different measures of information asymmetry in the firms’ equity markets....

This article utilises commodity specific news sentiment data provided by Thomson Reuters News Analytics to examine the relationship between news sentiment and returns in the gold futures market over the period 2003–2012. There is an asymmetric response to news releases with negative news...

Using a broad set of news reports about the Greek sovereign crisis, we tested for the impact of the troika bailout programs on the banking, financial, and real economic sectors of the Athens Stock Exchange (ASE). Our results reveal that the troika’s actions caused a shift in the systematic...