Considerable evidence from a plethora of countries suggests that momentum strategies generate profits. These have been difficult to rationalize and evidence on the sources of such profitability is inconclusive.We use a sample of optioned stocks that are very liquid and large and have fewer short...

This study examines the impact of firm characteristics, signaling variables and financial variables on IPO initial returns and the volatility of initial returns. Hierarchical regression is first performed on all the three blocks of variables, after which a stepwise regression is executed to...

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each...

The purpose of this study is to capture Pakistani stock market dynamics in response to political- and budget events. The study of political events and budget announcements together is quite reasonable in that: swift transformations of governments are likely to change annual budget policies, so...

This paper examines whether tone (positive and negative) and volume of firm-specific news media content provide valuable information about future stock returns, using UK news media data from 1981-2010. The results indicate that both tone and volume of news media content significantly predict...

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...

The Efficient Market Hypothesis is one of the most popular subjects in the empirical finance literature. Previous studies in the stock markets, which are mostly based on fixed time price variations, do not provide conclusive findings, in which evidence of short-term predictability varies...

In this paper we provide evidence that the effects of the different waves of asset purchase programmes implemented by the ECB from 2009 onwards have spilled over into asset price volatility developments of a group of six Central and Eastern European economies belonging to the EU but not to the...

Researchers have struggled to find rational risk factors that explain momentum profits derived from buying prior winners and shorting prior losers. Behavioral explanations have been offered that focus on tendencies of investors to underreact to news and recommendations. Our study provides an...

In September 2008, a six-year-old article about the 2002 bankruptcy of United Airlines' parent company resurfaced on the Internet and was mistakenly believed to be reporting a new bankruptcy filing by the company. This episode caused the company's stock price to drop by as much as 76 percent in...