We examine the stock market reaction of 381 firms with Russia exposure after the start of Russian invasion of Ukraine on February 24, 2022. We observe significant negative average abnormal returns of -2.65% (-4.06%) during the first 20 (30) trading-days after the start of the conflict indicating...

I employ a classification of headlines from newspapers and wire services to examine whether stalemacroeconomic news affects stock prices. Unlike with individual stocks, the cost of obtaininginformation about major economic releases is relatively low. Thus, stock prices should adjust toeconomic...

We investigate whether providers of news analytics affect the stock market. We exploit a unique identification strategy based on revisions between different product releases of a major provider of news analytics. We document a causal effect of news analytics on the market, irrespective of the...

We study the effect on stock volatility and turnover of coverage by traditional news media and social media. We find that coverage by traditional news media predicts decreases in subsequent volatility and turnover, but coverage by social media predicts increases in volatility and turnover. These...

I examine intraday stock returns in the Istanbul Stock Exchange (ISE) around non-trading periods – weekends and holidays – by utilizing the exchange's structure of two trading sessions. I find that returns are generally more positive in the last session on Fridays and more negative in the...

This paper studies investors herd behavior on firms cross-listed in markets with different legislative regimes and levels of sophistication and yet within the same country. In addition to evidence of herding in each of China's Shanghai, Shenzhen and Hong Kong markets, our finding suggests cross...

This paper provides novel insights into the dynamic properties of variance and semivariance premia. Considering nine international stock market indices, we find consistent evidence of significantly negative total and downside (semi)variance premia of around -15 bps per month. These premia almost...

We develop an Artificial Stock Market - an agent-based simulation model of the stock market with many risky assets. The ASM has three layers of heterogeneous and interacting agents, and generates prices for 150 stocks. We present the current state of the model and demonstrate its ability to...

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return...

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...