The interconnection of stock markets offers valuable insights into the broader dynamics of global financial markets. This study uses the Diebold and Yilmaz index model to analyze and measure volatility spillovers and interconnectedness among APEC stock markets. The objective is to identify major...

This study examines whether conference calls provide additional information to analysts. For a large sample of conference calls, hosted by German firms between 2004 and 2007, our results show that conference calls improve analysts' ability to forecast future earnings accurately. This suggests...

Bitcoin has been described as a decentralized, partially anonymous, virtual currency, not backed by any government or other legal entity. Bitcoins are highly liquid, have low transaction costs, and are very volatile. This paper will look at the behavior of the value of Bitcoins, forecast the...

We examine the impact of the monthly Employment Situation Report issued by the Bureau of Labor Statistics (BLS) and of analyst forecasts of that report on U.S. Treasury securities market. Surprise increases in total non-farm payroll employment lead to increases in interest rates (especially 1-...

This article analyzes the manifold situations in which the efficient-market hypothesis (EMH) has influenced — or has failed to influence — federal securities regulation and state corporate law, and the prospective roles for the EMH in these contexts. In federal securities regulation, the EMH...

We use machine learning techniques to conduct out-of-sample predictions of the underpricing of U.S. initial public offerings (IPOs) from 1990 to 2019. Using predicted underpricing based on ex ante information to sort the IPOs into 10 groups, we find that the underpricing averages for the top and...

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Using a large sample of business groups from more than one hundred countries around the world, we show that group information matters for parent and subsidiary default prediction. Group firms may support each other when in financial distress. Potential group support represents an off-balance...

We construct a global implied volatility surface by combining information from the index options of twenty countries and regions. The convexity of the global surface positively predicts equity premia around the world, in- and out-of-sample, at horizons from one to twelve months. Semi-annually,...

Using the next-day and next-week returns of stocks in the Korean market, we examine the association of option volume ratios - i.e. the option-to-stock (O/S) ratio, which is the total volume of put options and call options scaled by total underlying equity volume, and the put-call (P/C) ratio,...