In this paper, we study the determinants of expected returns on the listed penny stocks from two perspectives. Traditionally financial economics literature has been devoted to study the macro and micro determinants of expected returns on stocks (Subrahmanyam, 2010). Very few research has been...

Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely the risk of funding shortfall. We seek to explore the...

Contingent Convertibles ("CoCos") are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called "death-spiral effect": by actively hedging the equity risk, investors can (unintentionally)...

In order to explain cross-country differences in the effects of capital market liberalization, this paper proposes a model of international asset markets in which investors in different countries each face constraints on portfolio choice. The model demonstrates that liberalization, i.e. the...

We develop a two-country international asset pricing model in which investors are heterogeneous. Exchange rate dynamics give rise to a currency risk premium, uncovered interest parity is violated. Countries whose output growth is expected to be sufficient to satisfy growth in demand have high...

This paper uses the standard consumption-based asset pricing model with endogenous stochastic discount factor sdf. Maintaining arbitrary return distributions, I add interfirm systemic risk. In contrast to the case without systemic risk, the market and planner allocate capital differently....

This study examines the relationship between carbon risk and stock returns in Korea. We find that a firm’s carbon intensity is a significant determinant of its cross-sectional stock returns. Stocks with high exposure to carbon risk exhibit higher average returns. The abnormal return associated...

I test theories of regulation using comprehensive datasets on regulatory changes, equity returns, and firm fundamentals. I find that firms in industries subject to more regulation earn significantly higher returns than firms in deregulated industries. A long-short regulatory portfolio earns 9.8%...

How can exchanges and regulators improve the liquidity and stability of modern financial markets through liquidity provision obligations and incentives? We exploit two market maker programs as natural experiments using unique message-level trade and quote data from the Brazilian stock exchange...

Elementary portfolio theory implies that environmentalists optimally hold more shares of polluting firms than non-environmentalists, and that polluting firms attract more investment capital than otherwise identical non-polluting firms. These results reflect the demand to hedge against high...