We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed...

This paper investigates the impact of regional factors on Islamic and conventional stock returns in the member countries of the Gulf Cooperation Council (GCC) from April 2011 to April 2021. This paper employs the quantile regression method to determine the effect of regional factors on GCC...

This experimental paper investigates the impact of emotions on risk and return estimates of stocks. Participants rate well-known blue-chip firms on an emotional scale and forecast risk and return of the firms' stock. We find that positive emotions lead to a prediction of high return and low...

Quarterly earnings conference calls are becoming a more pervasive tool for corporate disclosure. However, the extent to which the market embeds information contained in the tone (i.e. sentiment) of conference call wording is unknown. Using computer aided content analysis, we examine the...

Stocks with high uncertainty about risk, as measured by the volatility of volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 10 percent per year. This vol-of-vol effect is distinct from (combinations of) at least twenty previously documented return...

We examine the industry-level relation between the two dominant asset pricing anomalies, the continuation of past price movements (momentum) and the incomplete reaction to earnings news (post-earnings-announcement drift). With the former having long been established in REIT returns, and the...

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...

This paper studies the relation between the uncertainty of volatility, measured as the volatility of volatility, and future delta-hedged equity option returns. We find that delta-hedged option returns consistently decrease in uncertainty of volatility. Our results hold for different measures of...

Recent research finds that investors, broadly defined, react to the linguistic tone of quarterly earnings conference calls; there is a positive relation between firms' stock returns and call tone (a measure of “sentiment” related word tabulations). However, this type of soft information can...

This study provides a solution of the equity premium puzzle. Questioning the validity of the Arrow-Pratt measure of relative risk aversion for detecting the risk behavior of investors under all conditions, a new tool, that is, the sufficiency factor of the model was developed to analyze the risk...