In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

In this paper, we introduce a new Bayesian approach to explain some market anomalies. We first develop some properties on the expected earnings shock and its volatility and establish some properties of investors' behavior on the stock price and its volatility during a financial crisis and...

Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the...

I examine the difference in news sentiment between stock price run-ups that crash (bubble stocks) and do not crash (non-bubble stocks). I find that bubble stocks have more negative sentiment in earnings news during their run-ups. The negative sentiment has predictive power up to two years in...