In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high state for a considerable period of time after the...

Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...

In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high state for a considerable period of time after the...

Bubbles are omnipresent in lab experiments with asset markets. But these experiments were (mostly) conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure human trading behaviour changes...

This paper studies the impact of stock market development on cross country relative prices (the real exchange rate). A nonlinear relationship is uncovered in the cross section: prices and the stock market increase together in the beginning; then prices fall as the stock market continues to...

With approximately 900 million observations we conduct, to our knowledge, the largest study ever of intraday stock return predictability using machine learning techniques finding consistent out-of-sample predictability across market, sector, and individual stock returns at various time horizons....

Prior research has failed to document a consistent association between oil prices and stock prices. We propose and examine whether that failure is due to the need to link oil price changes to firm-level changes in earnings and investments. We find that the impact of oil prices on a firm's...

This paper examines how the stock market affects discrimination in mortgage lending. Comparing banks that went public through initial public offering or acquisition with similar banks that failed to go public, we find that mortgage denial rates and interest rates for minority applicants decrease...

As long as financial markets are concerned, for many years' economists, statisticians and financial analyst have been interested in developing and testing models of stock price behaviour and their forecast. This study examines whether the Kuala Lumpur Stock Market, Malaysia is efficient if the...

This paper examines whether political events create, or resolve uncertainty in financial markets. In the few days following the surprise outcomes of the Brexit referendum and the 2016 U.S. presidential election, bid-ask spreads increase, quoted depth decreases, and volatility increases. We fail...