This paper re-examines the issue of mean reversion in stock prices by incorporating the structural break effect in the long horizon regression. Before adjusting for structural break, the paper finds that previous studies understate the evidence of mean-reversion. The understatement is mainly due...

This paper addresses whether the spot exchange rates display long swings and whether these swings are persistent. The null from the naïve random walk theory is that they do not: if they would be unit roots with positive drifts they would converge to infinity. However, if they would be driftless...

We examine how product market competition and financing constraints influence firm payout policy. Using Compustat firms for the period 1996 to 2017, we show that competition decreases firms' propensity to make payouts via dividends more if the firm is financially constrained. These results are...

We investigate the co-movement between oil-specific emotions sentiments and the crude oil returns over time-scales and frequencies. Using wavelet coherence analysis, we find that sentiment is statistically significant coherence with oil returns both over time and frequencies. The pleasant...