We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...

We propose a new approach to measuring the effect of unobservable private information orbeliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of awell identified shock on the volatility of the stock returns of large European banks as afunction of the...

We study conference calls as a voluntary disclosure channel and create a proxy for the time horizon that senior executives emphasize in their communications. We find that our measure of disclosure time horizon is associated with capital market pressures and executives' short-term monetary...

Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the integration of global financial markets, mega-terrorist events also have a high contagion potential with their shock waves being transmitted across countries and markets. This paper...

A number of exchanges around the world have attempted to introduce single-stock futures, but only a few have succeeded. We argue that this situation can be attributed to the use of inadequate selection criteria for the underlyings. Therefore, our paper investigates the determinants of trading...

We investigate the impact that the publication of the Bank of England's Financial Stability Report (FSR) has on the stock returns and credit default swap spreads of UK financial institutions. Examining a sample of 73 UK-listed banks and other financial institutions, we find that publication of...

This paper is the first to use loan level data to investigate the relationship between equity volatility and financial leverage on the firm level. We use a comprehensive dataset of large syndicated loans with a total loan amount in excess of 12 trillion USD. This allows us to precisely identify...

The general view underlying bank regulation is that bank disclosures provide market discipline and reduce banks’ risk-taking incentives. We show that bank disclosures can increase bank leverage and bank risk. The reason stems from the interaction between insured and uninsured debt. Bank...

Using the multivariate regression methodology, we investigate the short-term effect of September 11, 2001 on US defense firms. Our findings suggest that the market differentiated among US defense firms based on the percentage of defense sales to total sales. In addition, the behaviour of the...

We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the...