This study explores the impact of tourism uncertainty, including economic policy uncertainty (EPU) and travel crises arising from issues such as terrorism and disease outbreaks, on airline stock markets in Korea. Airline stock prices are particularly affected by tourism uncertainty. Using data...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

By using a nonlinear VAR model, we investigate whether the response of the US stock and housing markets to uncertainty shocks depends on financial conditions. Our model allows us to change the response of the US financial markets to volatility shocks in periods of normal and financial distress....

In the paper we present the application of risk neutral measure estimation in the analysis of the index WIG20 from Polish stock market. The risk neutral measure is calculated from the process of the options on that index. We assume that risk neutral measure is the mixture of lognormal...

This paper first examines to what extend the most puzzling phenomenon of stock returns momentum, may also concern emerging and little markets, such the Tunisian one, which accounts slightly less than 100 listed securities. The results indicate a pronounced and even stronger momentum effect that...

It is widely believed that stocks with high idiosyncratic risk exhibit stronger anomalies because arbitrageurs avoid holding these stocks due to diversification concerns, allowing deviations of prices from fundamental values. In this paper we test this proposition using hedge fund holding data....

This study tests if the financial markets price the investor's sentiment risk. We construct portfolios based upon the stock returns' exposure to sentiment. Our results show that the portfolio returns are positively correlated with the exposure of stocks to sentiment. The strategy that consists...

Motivated by the current financial and economic situation in Europe, this paper seeks to establish how the changes in economic policy uncertainty in Europe affect the stock market performance in the United States. Analyzing monthly index of economic policy uncertainty in Europe and monthly...