This paper brings structural modeling to the literature on financial research in marketing. I estimate a dynamic investment-based model to understand the impact of advertising expenditures on stock returns and firm value. In addition, by interpreting advertising expenditures as an investment...

News reports carrying positive or negative sentiment about a firm influence its stock market performance. This study examines how two firm-controllable marketing factors, advertising and marketing capability, moderate the relationship between news stories and firm stock returns. Analysis of a...

We use high frequency consumer perception data to conduct the first event study of consumers’ perceptual responses to earnings announcements. We find that consumers’ attention to brands is heightened around earnings announcements. Moreover, we document that the change in consumers’ overall...

Prior research shows that investors with smaller belief updates trade less actively, which positively affects their return performance. We examine the effect of different default frames of presenting past return information on investors' belief updating. In particular, we analyze whether...

Against the backdrop of COVID-19, we study how the interactions of mutual funds and dealers introduce fragility to the municipal bond market and carry lasting impacts. During the crisis, trading activities surge while dealers' liquidity provision plunges for mutual-fund-held bonds, leading to...

This study examines the impact of credit rating announcement on stock returns of 22 banks rated by the Pakistan Credit Rating Agency and listed in Karachi Stock Exchange. Daily stock returns have been used, covering period from 2008 to 2014. The study uses event study methodology; a fifteen days...

This paper scrutinizes the impact of monetary policy in emerging markets. We developed DSGE model Business Cycle Model incorporate to stock market modeling to prove the hypothesized the effectiveness of monetary policy on stock market liquidity in emerging economies such as Indonesia

We show that the cost of trading on negative news, relative to positive news, increases before earnings announcements. Our evidence suggests that this asymmetry is due to financial intermediaries reducing their exposure to announcement risks by providing liquidity asymmetrically. This asymmetry...

This study aims to evaluate the usefulness and relevance of earnings disclosures, as the key determinant for stock price changes. The main objective is to examine whether earnings response coefficient (ERC) behavior could explain more fully the stock price changes, as to the reason why the stock...

Regulatory disclosures, such as supervisory bank stress tests, are pre-scheduled and conducted on a regular basis to improve transparency and enhance market discipline. We build a dynamic model with asymmetric information to investigate the effectiveness of such regulatory disclosures. We find...