We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and simple to implement. We derive this measure from an option-pricing model where investors anticipate an announcement that simultaneously conveys information on the announcer's...

Construction of efficient portfolios is reliant on understanding the correlation between assets. If correlations change markedly during times of economic turmoil then investors are exposed to greater than desired risk levels at the most inopportune time. We examine the linkages between global...

Greater partisan alignment among lawmakers enhances their ability to respond rapidly to adverse shocks, but it also undermines the quality of checks and balances and encourages excessive governmental intervention in local areas aligned with the ruling party. We investigate how this form of local...

The credit default swaps (CDS) market provides a trading venue for downside price movement. We find that future stock price crashes are less frequent after the inception of CDS trading on the firm's debt. The causal effect of CDS trading on stock crash risk is supported by multiple approaches,...

Using a novel collection of market characteristics from 40 countries, this paper test competing explanations behind five major anomalies classified in Hou, Xue, and Zhang (2015): momentum, value-growth, investment, profitability, and trading frictions. Results show that anomaly returns highly...

Stock markets have seen severe price drops over the last 20 years such as the burst of the technology bubble. The mainstream view is that exuberance inflated prices before the burst. This study applies the Schwartz-Moon fundamental valuation model to find no conclusive evidence for overvaluation...

We evaluate the association between intangible intensity and stock price crash risk for U.S. listed firms from 1983 to 2017. The results show that intangible-intensive firms are associated with high crash risk. The decomposition of intangible intensity identifies goodwill as the driving force...

Climate change becomes a common threat to the world and has been studied by scholars in various fields. In the field of finance, many papers discuss the financial market efficiency toward climate change in order to better manage related risk. Our work focuses on the topic of climate change risk...

Economic policy uncertainty (EPU) relates to ambiguity surrounding possible changes in government policy and their associate impact on firm performance. This uncertainty places additional stress on economic agents and has implications for the global economy via delays in firm investment and...

We forecast monthly Value at Risk (VaR) and Conditional Value at Risk (CVaR) using option market data and four different econometric techniques. Independently from the econometric approach used, all models produce quick to estimate forward-looking risk measures that do not depend from the amount...