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Understanding commonality in liquidity around the world

Karolyi, G. Andrew; Lee, Kuan-Hui; Dijk, Mathijs A. van - In: Journal of Financial Economics 105 (2012) 1, pp. 82-112

We examine how commonality in liquidity varies across countries and over time in ways related to supply determinants … (funding liquidity of financial intermediaries) and demand determinants (correlated trading behavior of international and … institutional investors, incentives to trade individual securities, and investor sentiment) of liquidity. Commonality in liquidity …

Persistent link: https://www.econbiz.de/10010571656

Betting against beta

Frazzini, Andrea; Pedersen, Lasse Heje - In: Journal of Financial Economics 111 (2014) 1, pp. 1-25

factor is low. (4) Increased funding liquidity risk compresses betas toward one. (5) More constrained investors hold riskier …

Persistent link: https://www.econbiz.de/10010718732

Commonality in news around the world

Dang, Tung Lam; Moshirian, Fariborz; Zhang, Bohui - In: Journal of Financial Economics 116 (2015) 1, pp. 82-110

with both stock return comovement and stock liquidity commonality. Third, the effect of news commonality on stock return … and liquidity comovement is higher in countries with stronger institutions than in those with weaker institutions. These …

Persistent link: https://www.econbiz.de/10011263129

The earnings announcement premium around the globe

Barber, Brad M.; George, Emmanuel T. De; Lehavy, Reuven; … - In: Journal of Financial Economics 108 (2013) 1, pp. 118-138

U.S. stocks have been shown to earn higher returns during earnings announcement months than during non-announcement months. We document that this earnings announcement premium exists across the globe. Moreover, it is not isolated to a few countries. Of the 20 countries with enough data to...

Persistent link: https://www.econbiz.de/10010635950

The asset growth effect: Insights from international equity markets

Watanabe, Akiko; Xu, Yan; Yao, Tong; Yu, Tong - In: Journal of Financial Economics 108 (2013) 2, pp. 529-563

Firms with higher asset growth rates subsequently experience lower stock returns in international equity markets, consistent with the U.S. evidence. This negative effect of asset growth on returns is stronger in more developed capital markets and markets where stocks are more efficiently priced,...

Persistent link: https://www.econbiz.de/10010664043

Do foreigners facilitate information transmission in emerging markets?

Bae, Kee-Hong; Ozoguz, Arzu; Tan, Hongping; Wirjanto, … - In: Journal of Financial Economics 105 (2012) 1, pp. 209-227

Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, we assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets. We...

Persistent link: https://www.econbiz.de/10010571654

Global, local, and contagious investor sentiment

Baker, Malcolm; Wurgler, Jeffrey; Yuan, Yu - In: Journal of Financial Economics 104 (2012) 2, pp. 272-287

We construct investor sentiment indices for six major stock markets and decompose them into one global and six local indices. In a validation test, we find that relative sentiment is correlated with the relative prices of dual-listed companies. Global sentiment is a contrarian predictor of...

Persistent link: https://www.econbiz.de/10010571674

The “greatest” carry trade ever? Understanding eurozone bank risks

Acharya, Viral V.; Steffen, Sascha - In: Journal of Financial Economics 115 (2015) 2, pp. 215-236

We show that eurozone bank risks during 2007–2013 can be understood as carry trade behavior. Bank equity returns load positively on peripheral (Greece, Italy, Ireland, Portugal, Spain, or GIIPS) bond returns and negatively on German government bond returns, which generated carry until the...

Persistent link: https://www.econbiz.de/10011189256

Trade credit and cross-country predictable firm returns

Albuquerque, Rui; Ramadorai, Tarun; Watugala, Sumudu W. - In: Journal of Financial Economics 115 (2015) 3, pp. 592-613

We investigate the role of trade credit links in generating cross-border return predictability between international firms. Using data from 43 countries from 1993 to 2009, we find that firms with high trade credit located in producer countries have stock returns that are strongly predictable...

Persistent link: https://www.econbiz.de/10011208266

The impact of central clearing on counterparty risk, liquidity, and trading: Evidence from the credit default swap market

Loon, Yee Cheng; Zhong, Zhaodong Ken - In: Journal of Financial Economics 112 (2014) 1, pp. 91-115

improvement in liquidity and trading activity. …

Persistent link: https://www.econbiz.de/10010752915

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