Banks are growing ever larger compared to their national economies. We show that increases in relative bank size (measured as a bank's liabilities divided by national GDP) are linked to banks displaying higher tail risk. This effect is not entirely due to risk channels that disproportionately...

We investigate the impact of information disclosed under SFAS 131 on idiosyncratic and total stock risk. For identification, we exploit an exogenous shock on volatility expectations. We are the first to show that international diversification alleviates the post-shock increase in idiosyncratic,...

In this paper we review the literature on the short term predictability of stock prices conditional on large prior price changes. This research area is characterized by a large number of studies reflecting different markets, time periods, methodologies and model parameters. While most of the...