This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

Because uncertainty is high in bad times, investors find it harder to assess firm prospects and, hence, should value analyst output more. However, higher uncertainty makes analysts' tasks harder so it is unclear if analyst output is more valuable in bad times. We find that, in bad times, analyst...

This paper examines the pattern and profitability of institutional trades around takeover announcements. We find that the trades of funds as a group, either before or after takeover announcements, are not profitable. However, funds whose main broker is also a target advisor are net buyers of...

Using the vector autoregression (VAR) analysis, this study empirically documents the impulse response functions of financial stress and market risk premiums and performs a causality test of these two variables. The analysis of the monthly changes of the Federal Reserve Bank of St. Louis...

The collapse of the collateralized debt obligation (CDO) market brought attention to the soundness of the involved banks. We infer equity price reaction from rating announcements that are either negative rating outlooks or rating downgrades of CDO. To explain the market reactions, we consider...

This paper examines how individual investors' participation in short sale affects the efficiency of stock pricing using a unique regulatory change in Korea. The change enables individual investors to sell short some -- but not all -- domestic stocks, without affecting the short-selling ability...

This study investigates how commercial paper rates respond to the innovations in stock market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly data from 1997:1 to 2012:M6 shows that the changes in the one-, two-, and three-month non-financial and financial...

An accounting-based model has strong out-of-sample power not only to detect fraud, but also to predict cross-sectional returns. Firms with a higher probability of manipulation (MSCORE) earn lower returns in every decile portfolio sorted by: Size, Book-to-Market, Momentum, Accruals, and...

In this paper we provide empirical evidence of abnormal returns associated with credit rating changes for a sample of 264 credit ratings announcements by 43 international and US banks between 2000 and 2012. The banks in the sample have either a primary or secondary US listing. We provide...

Prior research documents significant negative long-term stock returns following bond-rating downgrades. Some downgraded firms are placed on credit watches before downgrades, and we find that the post-downgrade stock underperformance of such firms is significantly reduced. We explore two...