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Fisman, Raymond J. - 2020

Using a framework akin to portfolio theory in asset pricing, we introduce the concept of “political beta” to model firm-level export diversification in response to global political risk. The main implication of our model is that a firm is less responsive to changes in political relations...

Persistent link: https://www.econbiz.de/10012840051

Share Price Reactions to Tariﬀ Imposition Announcements in the Trump Era – an Event Study of the Trade Conﬂict

Wengerek, Sascha Tobias; Uhde, André - 2021

Employing a unique sample of 2,849 tariﬀ imposition announcements by and against the United States (U.S.) over the period from 2018 to 2019, this study analyzes the impact of recent tariﬀ announcements on share prices from 859 U.S. companies. We provide evidence for negative (cumulative)...

Persistent link: https://www.econbiz.de/10013233087

Stock Market Response to Firms’ Unethical Conduct

Navarra, Elisa - 2021

In the last decades, labor rights violations and tangible environmental challenges have caused companies to come under increasing society’s pressure to achieve environmental and social goals. Using a novel dataset on worldwide industrial disasters and companies (allegedly) involved in them, I...

Persistent link: https://www.econbiz.de/10013211107

Corporate acquisitions and firm-level uncertainty : domestic versus cross-border deals

Bai, Ye; Girma, Sourafel; Riaño, Alejandro - 2020

This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by …-level uncertainty is characterized by a pecking order: the announcement of a domestic takeover leads to a reduction in the uncertainty … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

Persistent link: https://www.econbiz.de/10012158166

A re-examination of firm, industry and market volatilities

Lebedinsky, Alex; Wilmes, Nicholas - In: The quarterly review of economics and finance : journal … 67 (2018), pp. 113-120

Persistent link: https://www.econbiz.de/10012034433

Forecasting aggregate stock market volatility with industry volatilities : the role of spillover index

He, Mengxi; Wang, Yudong; Zeng, Qing; Zhang, Yaojie - In: Research in international business and finance 65 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014435752

Trade linkages and firm value : evidence from the 2018 US-China trade war

Huang, Yi; Chen, Lin; Liu, Sibo; Tang, Heiwai - 2018 - This version: August 7, 2018

On March 22, 2018, Trump proposed to impose tariffs on up to $50 billion of Chinese imports leading to a significant concern over the "Trade War" between the US and China. We evaluate the market responses to this event for firms in both countries, depending on their direct and indirect exposures...

Persistent link: https://www.econbiz.de/10011927558

Trade linkages and firm value : evidence from the 2018 US-China "trade war"

Huang, Yi; Chen, Lin; Liu, Sibo; Tang, Heiwai - 2018 - This version: August 7, 2018

Persistent link: https://www.econbiz.de/10011901133

Inefficient Fire-Sales in Decentralized Asset Markets

Ebrahimy, Ehsan - 2019

Classic models of fire-sales that emphasize liquidity-constrained natural buyers can-notfully account for the asset fire-sales during the Financial Crisis of 2008. I present a modelto demonstrate that fire-sales may happen even when there is a sizable pool of naturalbuyers and in the absence of...

Persistent link: https://www.econbiz.de/10012868464

The Study of Nonlinear Correlation between Shanghai, Hongkong and American Stock Returns — An Empirical Analysis Based on MS-VAR Model and MS-DCC-MVGARCH Model

Zhou, Decai - 2014

Considering the mean and the volatility correlation of Chinese and foreign stock market may undergo structural changes because of the reform and opening-up, the paper attempts to incorporate Markov state transition mechanism(MS) into both the VAR model and DCC-MVGARCH model at the same time....

Persistent link: https://www.econbiz.de/10013061426

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