A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...

In this paper, we investigate short sale constraints' impact on the incidence of extreme stock market movements. The latter can be used to proxy for the likelihood of tail events like crashes and bubbles in a market and, thus, is a crucial measure of stock market stability. Since crashes and...

Short sellers are routinely blamed for destabilizing stock markets by exacerbating deviations from fundamental values. In response, regulators periodically impose short sale constraints aimed at preventing excessive stock market declines. One explanation is that policy makers regard short...

We investigate the stock market crashes in China, Iceland, and the US in the 2007-2009 period. The bond stock earnings yield difference model is used as a prediction tool. Historically, when the measure is too high, meaning that long bond interest rates are too high relative to the trailing...

This study examines financial contagion in stock markets of India, Sri Lanka and Pakistan during various financial crises. These markets represent a significant part of South Asian economies; therefore, the results obtained can be generalized to the region. The paper employs an Exponential GARCH...

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions traders demand more liquidity...

Many commentators have argued that if the Federal Reserve had followed a stricter monetary policy earlier this decade when the housing bubble was forming, and if Congress had not deregulated banking but had imposed tighter financial standards, the housing boom and bust - and the subsequent...

We show that limited dealer participation in the market, coupled with an informational friction resulting from high frequency trading, can induce demand for liquidity to be upward sloping and strategic complementarities in traders' liquidity consumption decisions: traders demand more liquidity...

This paper investigates how the disclosure tone of earnings conference calls predicts future stock price crash risk. Using U.S. public firm earnings conference call transcripts from 2010 to 2015, we find that firms exhibiting more pessimistic tone during the current year-end call experience...

In a sample of U.S. stocks, higher stock lending fees predict significantly lower excess returns beyond shorting demand and loan supply. This relation is stronger after October 2008 which is likely attributable to a regime shift in the lending market with the onset of the Global Financial...