This paper proposes and tests a new hypothesis concerning the price impact of option introductions on the underlying asset. In contrast to earlier research that has failed to explain the flipping of positive excess returns to negative excess returns on the listing date over the past thirty years...

This article empirically investigates the exposure of country-level conditional stock return volatilities to conditional global stock return volatility. It extends the results found in the quot;volatility spilloverquot; literature by providing evidence that conditional stock market return...

Does investing in a global portfolio of leading corporate sustainability firms add to, detract from, or have no material impact on portfolio performance? To answer this question we undertake an analysis of leading and lagging corporate sustainability firms using data from the Dow Jones...

Seasoned equity offerings (SEOs) in the UK provide valuable choices to the issuer in terms of renounceability and control dilution. This is especially the case following the removal of the size restriction of pound;15 m on share placements to institutional investors in January 1996. We formulate...

This paper studies impacts of US investor sentiment on non-US stock returns across 38 developed and developing equity markets. Employing data from 1977 to 2004, we find that US sentiment strongly influences future returns for various long-short portfolios designed to reflect sentiment prone...

This paper studies impacts of US investor sentiment on non-US stock returns across 38 developed and developing equity markets. Employing data from 1977 to 2004, we find that US sentiment strongly influences future returns for various long-short portfolios designed to reflect sentiment prone...

This paper develops a long-short portfolio construction technique that captures the fundamentals of backwardation and contango and simultaneously deviates from the equal-weighting scheme traditionally employed in the commodity literature. We find that the sophisticated weighting schemes based on...

This paper compares the performance of safe haven assets during two stressful stock market regimes – the 2008 Global Financial Crisis (GFC) and COVID-19 pandemic. Our analysis across the ten largest economies in the world shows that the traditional choice, gold, acts as a safe haven during the...

This study investigates US industry-based price response to domestic natural disasters over the period 1960-2015. Using an event study methodology, we estimate pre, during and post disaster impacts and document a slower response in pre-disaster period than in post-disaster period. We further...

We show that option-implied jump tail risk estimated prior to earnings announcements strongly predicts post-earnings risk-adjusted abnormal stock returns. The predictive power of implied jump tail risk is particularly strong on extreme abnormal stock returns whose absolute values exceed 10%. The...