This study examines the relationship between corporate social performance and stock returns in the UK. Using a set of disaggregated social performance indicators for environment, employment and community activities, we are able to more closely evaluate the interactions between social and...

This study considers the stock performance of America's 100 Best Corporate Citizens following the annual survey by Business Ethics. We examine both possible short-term announcement effects around the time of the survey's publication, and whether longer-term returns are higher for firms that are...

This paper examines the relationship between a firm's reputation and the returns on its shares. We employ a unique dataset from the UK based on ten years of surveys conducted for Management Today, where company directors and analysts at leading investment firms are asked to rate each company in...

This paper investigates informed trading on stock volatility in the option market. Using a unique data set from the Chicago Board Options Exchange, we construct non-market maker net demand for stock volatility from the trading volume of individual equity options. We find that this volatility...

We propose a new structural form methodology for understanding the fluctuations and predictability of volatilities and covariances of asset returns. In our model, a representative agent learns about the joint movements in inflation and real earnings through business cycles. We extract investors'...

Several analytical models explain post-earnings-announcement drift, momentum and mean-reversion by making assumptions about investor behavior. They posit that investors react more strongly as a series of similar earnings surprises continues. Related literature suggests that behavior should vary...

This paper focuses on the impact that dispersion of opinions and asymmetric information have on turnover near releases of public information, using the probability of information-based trading (PIN) to proxy for information asymmetry and analysts' forecast dispersion for differences of opinion....

In this study we examine a causal relationship between series of returns and traded volumes in high-frequency data. Our analysis is based on the methodology of Ghysels, Gourieroux and Jasiak (2000), who develop a qualitative framework in which dynamics of financial series are restricted to...

This paper examines option trading prior to significant information events. Using a broad sample of merger announcements, I find that there is abnormal option trading prior to such announcements after controlling for merger characteristics. This abnormal option trading is mainly concentrated in...

This study investigates the month-of-the-year effect in Indian stock in recent years using monthly data on Indian market index and some other sectoral indices. It accounts for the time-varying volatility of the Indian stock market, at both the market and sectoral level, using the GARCH model and...