We examine whether there is contagion from the U.S. stock market to six Central and Eastern European stock markets. We use a novel measure of contagion that examines whether volatility shocks in the U.S. stock market coupled with negative returns are followed by higher co-exceedance between U.S....

The performance of analysts’ forecasts has attracted increasing attention in recent years. However, as yet, no empirical study has investigated the nexus between the analyst forecast dispersion (AFD) and excess returns surrounding stock market crashes in any depth. This paper attempts to fill...

Despite momentum's strong historical performance, its returns have large negative skewness and occasionally experiences persistent strings of sharp negative returns, referred as "momentum crashes" in the recent literature. I argue that momentum crashes are due to crowded trades which push prices...

This paper examines the effects of persistence, asymmetry, and the US Sub-prime Mortgage crisis on the volatility of the returns and also the linkages and causality between the spot and futures volatility by using various classes of the ARCH and GARCH models, and through the Granger's causality....

Momentum strategies suffer from occasional large drawdowns referred to as momentum crashes when the market rebounds. This paper documents that stocks far from peaks outperform stocks near peaks, and momentum crashes are attributable to such outperformance. Market rebounds triggers increase in...

This paper investigates the direction of information flow between world stock markets during the recent financial crisis by conducting Granger causality tests in a three variables system. We employ daily rates of return for three representative stock market indices: S&P 500 for the US, BET-C for...

Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....

This study explores whether the credit risk anomaly exhibits option-like behavior similar to the momentum anomaly. Employing a market-timing regression model as in Daniel and Moskowitz (2013), it finds that the inverted credit risk spread indeed displays option-like behavior in bear market...

The paper tests if the documented size effect in the Indian stock market is an anomaly with respect to market efficiency or an artifact with respect to data or methodology employed. The study employs two related datasets (one being held constant through the study period, the other being revised...