The principles of behavioral psychology can explain how crashes occur. In particular, the concept of "stimulus generalization" tells us that organisms tend to respond in the same way to similar stimuli. In a crash, or pre-crash, context, several stimuli - including rising prices, above-average...

Purpose- This study investigates the impact of Corporate Social Responsibility (CSR) on stock prices of Indian listed companies. The literature reviews show a strong contradictory of the relationship between CSR and stock prices which is still debatable. This study will tell whether there is a...

Using a semi-supervised topic model on 7,000,000 New York Times articles spanning 160 years, we test whether topics of media discourse predict future stock and bond market returns to test rational and behavioral hypotheses about market valuation of disaster risk. Focusing on media discourse...

I propose a new investor sentiment measurement for the private equity market based on over 12,000 private equity deals from 68 countries over 1992 to 2012. The data indicate that institutional environments and firm-specific characteristics are both strong determinants of the private equity...

This study attempts to illustrate the contributing factors for different patterns of crashes. In addition to the fundamental macro-economic factors, this paper argues that the existence of herding behavior as well as the level of investor attention are also important factors affecting the...

To confront the challenge that disaster risk is “dark matter” in finance, we construct an objective measure of disaster risk, which is able to predict half of GDP crashes in a sample of 20 advanced economies between 1870 and 2021. Despite this significant predictability, we find no...

Efficient Market Hypothesis states that financial markets react instantaneous and unbiased to new information. However, in the last decades empirical researches revealed some anomalies in investors reactions to the events that caused shocks on the financial markets. There are two main hypotheses...

From 2010-2015, China liberalized margin lending, resulting in an unprecedented expansion of margin loans to financially constrained households. We implement a regression discontinuity design based on the ranking procedure used during the deregulation and estimate a large impact of this credit...

This paper studies the effects of the June 2016 United Kingdom European Union membership referendum and the subsequently triggered article 50 on 43 major developed and emerging stock markets. Specifically, on a bivariate basis, we use dependence dynamics through copulas with regime switching of...

Between June 2005 and October 2007, when it peaked, the Chinese stock market rose five-fold. It then went into free fall losing 70% of its value over the following year, more than China’s total GDP. A similar trajectory played out between July 2014 and January 2016.This paper describes the...