We study the extent of cross-asset learning in financial markets by examining spillover effects around mutual fund fire sales. We find that the well-documented impact-reversal pattern for the returns of fire sale stocks (e.g., Coval and Stafford, 2007) spills over onto the stock returns of...

This paper examines the intertemporal relation between downside risk and expected stock returns. Value at risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant...

This paper uses daily data to analyze how Turkish stock market reacted to terror attacks that took place between 1996 and 2007 in Turkey and September 11, 2001 in the United States. Two different methodologies are used. The first one is abnormal returns methodology, and the second one is time...

This paper examines the dynamic relationships between gold and stock markets in China. Using daily gold and stock indexes data, we estimated the DCC-GARCH model for the five bear markets since 31 October 2002, and simultaneously used different segments of China’s stock markets for analysis....

This paper tests the weak-form efficient market hypothesis for Korean industry-sorted portfolios. Based on a panel variance ratio approach, we find significant mean reversion of stock returns over long horizons in the pre Asian currency crisis period but little evidence in the post-crisis...

This study is an investigation of the factors affecting the average returns of stocks that were traded on the Athens Stock Exchange for the period July 2004 - June 2011. The methodological approach is similar to that applied by Fama and French (1992), in the first stage, stocks are grouped into...

Using the reconstitution of MSCI indices in seven Asian markets from 2006 to 2021, we discover arbitrage opportunities arising from index-tracking funds’ efforts to minimize tracking errors around the dates when index reconstitution changes become effective (i.e., effective dates). We document...

This paper investigates how the stock market reacts to firm level liquidity shocks. We find that negative and persistent liquidity shocks not only lead to lower contemporaneous returns, but also predict negative returns for up to six months in the future. Long-short portfolios sorted on past...

At the dawn of a potential rise in rates triggered by Central Banks in both Europe and the United States, doubts are being raised about the ability of low-volatility portfolios to continue to deliver robust performance. We quantify this latent performance lag and provide empirical explanations,...

This paper builds on the latter literature on the commodity futures markets and undertakes, for the first time, an in-depth analysis on the investment properties of commodity-related equities (commodity stocks). The empirical evidence suggests that there have been changes in the diversification...