Share prices of financial companies from the S&P 500 list have been modeled by a linear function of consumer price indices in the USA. The Johansen and Engle-Granger tests for cointegration both demonstrated the presence of an equilibrium long-term relation between observed and predicted time...

The paper investigates the impact of capital structure and information asymmetry on the value of companies listed on the Warsaw Stock Exchange. The study was conducted using the ordinary least squares (OLS) method on a sample of 273 companies in 2017 and the GMM dynamic paneldata approach with...

This paper studies whether the volume and composition of capital flows affect the degree of credit crunch during the 2007-2009 crisis. Using data on 3823 firms in 24 emerging countries, we find that, on average, the decline in stock prices was more severe for firms that are intrinsically more...

Both stock price synchronicity and crash risk are negatively related to the firm's ownership by dedicated institutional investors, which have strong incentive to monitor due to their large stake holdings and long investment horizons. In contrast, the relations become positive for transient...

In this paper, the impact of media tones from traditional and Internet media on future stock price crash risk is studied. It is found that traditional media tones show little impact on future crash risk, while optimistic (pessimistic) tones from the Internet are positively (negatively)...

An asset bubble relaxes collateral constraints and increases borrowing by credit-constrained agents. At the same time, as the bubble deflates when constraints start binding, it amplifies downturns. We show analytically and quantitatively that the macroprudential policy should optimally respond...

We outline the valuation process for a No-Negative Equity Guarantee in an Equity Release Mortgage loan and for an Equity Release Mortgage that has such a guarantee. Illustrative valuations are provided based on the Black '76 put pricing formula and mortality projections based on the M5, M6 and...

The objective of this study is to see how the signaling hypothesis manifests itself in a small market, such as KSA, characterized by concentrated family-ownerships, non-taxability of dividends, and high degree of information asymmetry. In this context, we hypothesize that there is a positive...

This study examines the implications of changes in dividends in the market of Kingdom of Saudi Arabia (KSA). First, the research analyzes changes in dividends within the context of signaling hypothesis. Second, this study examines another aspect of signaling hypothesis by testing the abilities...

The IPO filing volume is positively related to changes in market volatility, especially when market returns are at ‘normal' levels. This is consistent with the view that filing with the SEC gives would-be issuers an ‘option' on market valuations. Creating this option is attractive not only...