We find that leverage-initiating stocks experience an increase in return comovement with existing leveraged stocks and a decrease in return comovement with existing zero-leverage stocks in the year after the leverage initiation event. In contrast, stocks that fully deleverage comove more with...

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

This paper investigates empirically the relationship between stock market and banking sector development with data from 40 countries (representing 85% of global GDP) over a period of 53 years. When measured by ratios of stock market (i) capitalization to GDP; (ii) turnover to GDP; and (iii)...

The objective of the present study is to find out the relation between bank stock returns and dividend per share, debt equity ratio and fixed assets turnover ratio of the select seven bank stocks included in the Nifty index for a period of 10 years from 2008 to 2017. Statistical techniques like...

We find evidence that asset market liquidity impacts a firm’s choice between secured and unsecured debt. We use real estate firm data and instrumental variables to estimate a proxy for an individual firm’s exposure to the underlying market liquidity of its assets. We find a positive...