Using high-frequency stock price data, we investigate the effect of various stock-specific and market-wide events on intraday volatility dynamics in the Indian market. Modeling intraday volatility dynamics using FFF regressions, we examine the effect of – cross-listing, weekends and holidays,...

Prior return effect – momentum and contrarian, is a well documented phenomenon in developed stock markets. This paper examines if there is any prior return effect in Indian stock market, an advanced emerging market in the world. We use daily price data available for stocks forming part of S&P...

Investors step into the stock market with the objective of earning smart returns on their investments. The stock market can help in realising these goals of the investors, however, all investments are subject to risks. The origin of the risk is the uncertainty of realising the desired returns on...

The Size effect is one of the prominent anomalies which have been observed in the stock markets around the world. The present study attempts to find out if the portfolio of small stocks yields higher returns vis-a-vis the portfolio of large stocks and whether the size effect is present in the...

This study investigated the impact of Muslim Holy Days on daily stock returns of Asian financial markets for a period of 2001–2014. These markets include Pakistan, Bahrain, Saudi Arabia, and Turkey. The study has tried to isolate the effect of Gregorian calendar anomalies from Muslim Holy Days...

In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...

I examine the relationship between aggregate news sentiment, S&P 500 Index returns, and changes in the implied volatility index (VIX). I find a significant negative contemporaneous relationship between changes in VIX and both news sentiment and stock returns. This relationship is asymmetric...

This paper finds evidence that stock returns vary with the physical climate change exposure of firms in a predictable manner. We construct measures of exposures to physical climate changes at the firm level, and find that firms with high climate change exposures experience lower future...