This paper examines the effects of corporate social performance and bond market reactions. We find a strong positive relationship between social performance and bond volatility after controlling for bond characteristics and firm fundamentals. The empirical results are consistent for social...

Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. We analyze how this feature affects asset price informativeness when investors can acquire signals of increasing precision over time about the payoff...

Most asset prices are subject to significant volatility. Arrival of new information is viewed as the main source of volatility. As new information is continually released, financial asset prices exhibit volatility persistence, which affects financial risk analysis and risk management strategies....

This research considers the strategies on the initial public offering of company equity at the stock exchanges in the imperfect highly volatile global capital markets with the nonlinearities. We provide the IPO definition and compare the initial listing requirements on the various markets. We...

This paper reveals a novel way of constructing the option implied RX and HML_FX risk factors by utilizing the full cross-section of the 45 G10 cross-rate options. The option implied carry factors, IEP^{2,ZC}, are highly profitable strategies that surprisingly earn both positive carry and...

This paper investigates the link between a firm's customer-base concentration and stock return volatility. We find that firms with more concentrated customer bases have higher idiosyncratic volatility. Further, we show significant variation in customer-base concentration effects across customer...

This study investigates whether institutional investors increase or decrease the volatility of stock returns in the Thai stock market. For the purpose we used the data from SETSMART, a database provided by the Stock Exchange of Thailand (SET). Our sample is a balanced panel data covering 3,160...

We classify a unique and comprehensive dataset of corporate press releases into topics and study the market reaction to various types of news. While confirming prior findings regarding strong stock price responses to financial news, we also document significant reactions to news about corporate...

We extend Jin and Myers’ (2006) model to derive the relation between stock price crash risk and operating leverage (i.e., the fraction of fixed costs in total costs). The model predicts that (i) firms’ operating leverage decreases as stock price crash risk increases, and (ii) the negative...

This paper examines the impact of bilateral real exchange rate volatility on real exports of five emerging East Asian countries among themselves as well as to thirteen industrialised countries. We explicitly recognize the specificity of the exports between the emerging East Asian and...