By manually collecting data on Internet-based rumors concerning COVID-19, we investigate the market reactions to the spread of such rumors and the government's refutation of them. We find that frightening (reassuring) rumors have a negative (positive) impact on investors. The refutation of...

This paper examines the effect that disproportional ownership has on stock market liquidity using a sample of Chinese listed firms. We find that the controlling shareholders' excess control rights are negatively associated with market liquidity. We also provide evidence to show that the negative...

In this paper, we examine the behavior of returns across the-day-of-the-week in the context of the Tunisian Market. Our evidence indicates that Mondays have abnormally losses. In opposition, returns are significantly higher in Friday. We also find that these Monday and Friday specifications are...

We examine the announcement effects of consumer sentiment on US stock and stock futures markets. First, we find that the consumer sentiment announcement has valuable information content. Second, an asymmetric response is observed for “good” versus “bad” sentiment news. Specifically, when...

Besides the positively biased rating structure and procyclical nature of analysts' stock recommendations we observe that within the global universe stock recommendations and stock performance are largely uncorrelated. Nevertheless, investors are able to benefit from sell side stock...

The paper argues that bond investors (and, implicitly large creditors in general), may not necessarily demonstrate the “Investors' Smartness” that some previous studies attributed to large institutional holders, when it comes to pricing-in for economic shocks likely to occur in future. This...

This paper examines the impact of MIB30 Index Futures on the volatility of the Italian Stock Exchange. The results suggest that the onset of futures trading may have led to diminished daily volatility. They also suggest that the nature of the volatility itself has not changed between the...

This research examines the relationship between firm-specific liquidity and both information asymmetry and divergence of opinion, within the context of different trading system (i.e. floor versus electronic), for UK, Swiss and German stock markets. By using both univariate and multivariate...

We evaluate the importance of “Limits to Arbitrage” to explain profitability of momentum strategies. Specifically, when the availability of arbitrage capital is in short supply, momentum cycles last longer, and breaks in momentum cycles are shorter. We demonstrate the robustness of our...