Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI …

improvements. The present paper seeks to contribute to this evolution, focusing on the “Global Risk Appetite Index” (GRAI) class of …

S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

tool is needed. Developed by Peter Martin in 1987, the Ulcer Index measures the human stress of holding a stock. Ulcer … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …. The more continuous and prolonged the drawdown, the higher the index and the more likely investing in it will cause ulcers …

We present an empirical study of the Aumann-Serrano performance index for multi-period gambles when the underlying …-Serrano performance index for multi-period gambles with that for one-period gambles as well as the Sharpe ratio. Our empirical study is …

We investigate the impact on firms of joining the S&P 500 index from 1997 to 2017. We find that the positive … announcement effect on the stock price of index inclusion has disappeared and the long-run impact of index inclusion has become … policies change with index inclusion. For instance, payout policies of firms joining the index become more similar to the …

Random changes in firms' stock index membership have important implications on sell-side analysts' career outcomes …-career analysts. This is reflected in analyst recommendations. For firms that are just above the index threshold - that might move to … of defining the index weights that determine index membership …