We construct a database of U.S. federal court decisions pertaining to copyright and changes in federal statutory copyright law, and use this database to assemble indices measuring changes in the breadth of copyright protection. We combine our indices with information on excess returns to equity...

We examine the impact of tail risk on the return dynamics of size, book-to-market ratio, momentum, and idiosyncratic volatility sorted portfolios. Our time-series analyses document significant portfolio return exposures to aggregate tail risk. In particular, portfolios that contain small, value,...

Utilizing a master list produced by Viscusi (2004) of what he called “blockbuster” jury awards – those amounting to $100 million or more, – we selected 17 cases where the defendant had traded shares (we excluded the tobacco cases) to see the stock market reaction to these announced...

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of ready-made approaches to risk management analysis....

This paper analyzes whether the market portfolio is efficiently related to benchmark portfolios formed on size, value, momentum and reversal with various utility theories by using stochastic dominance criteria. The results support the prospect theory including assumption of loss aversion at...

This paper proposes a novel standardized test for abnormal returns in long-horizon event studies that takes into account cross-sectional correlation, autocorrelation, and hetersoskedasticity of stock returns. Extensive simulation analyses demonstrate improved size and power of testing relative...

The stock market behaviour and trend can be move according to the different internal, external, micro economic and macro economic factors. The impact of some events that definitely occurs can't be envisaged by the stock market with confidence due to their nature. A budget is an influential...

A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Although there are several important theoretical issues surrounding the topic of asset bubbles, the existence of bubbles is inherently an empirical issue that has not been...

This paper examines the integration of stock markets in Germany, France, Netherlands, Ireland and UK over January 1973-August 2008 at the aggregate market and industry level considering the following industries: basic materials, consumer goods, industrials, consumer services, health care and...