Despite the increased number of stock exchanges in Africa, this segment of the financial market remains underdeveloped with low market capitalization, volume and illiquidity. Furthermore, the aftershock of the 2008 financial crisis exacerbates the poor market condition with the attendant...

What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...

The paper shows that issuing activity does not result in superior liquidity. Even the kinds of new issues that are supposed to be more liquid than others (IPOs backed by venture capital, new issues with high-prestige underwriters, severely underpriced IPOs) are just as liquid as their peer...

We investigate the impact of fraud risk - measured by the probability for earnings overstatements - on a firm's future stock market performance. Based on an out-of-sample estimation of individual firms' fraud risk, we find that stocks with higher fraud risk earn significantly lower stock market...

Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...

Using a large panel of firms across the world from 1991-2006, we show that the median foreign firm has lower idiosyncratic risk than a comparable U.S. firm. Country characteristics help explain variation in the level of idiosyncratic risk, but less so than firm characteristics. Idiosyncratic...

Because levered equity is an option on the firm, variations in asset idiosyncratic risk (ivol) induces a negative relationship between equity ivol and expected returns. We show that the effect is caused by the nonlinear payoff of equity and the law of one price, and is present in all but...

The aim of this research is to analyze the implications of leverage and default as additional sources of systematic risk in the asset pricing process for the Spanish stock market over the years 1995-2010 employing two alternative methodologies based on Ferguson y Shockley (2003) y Vassalou y...

Investor response to changes in income trust payouts is measured through the implied cost of capital, an inverse valuation metric. Income trust securities are purchased primarily for the income stream: distributions from dividends, return of capital and interest, so adverse responses to...

The literature suggests that voluntary IPO lockups (thereafter lockups) have both roles as a commitment device to control moral hazard and a signaling device to minimize asymmetric information. Using a hand collected data on lockups in China from 2006 to 2012, this paper disentangles the two...