We examine the effect of player-transfers entered into by football clubs owned, or financed, by individuals who are key players in the oil market on abnormal returns in oil futures. In oil-financed football clubs the sums expended buying players frequently far exceeds the amount received from...

This paper assesses the effects of domestic football teams' performances against foreign rivals on stock market returns as well as on the return-volatility relationship. The data from Chile, Spain, Turkey and the United Kingdom support the propositions that the results of football teams in...

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...

We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for...

Using daily data for the Swedish stock market for almost the last two decades no distinct and firm deterministic seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish stock market has an impact on and eliminates to some...

We examine how media coverage of fluctuations in the price of agricultural commodities affects these prices and their volatility. We develop a unified empirical framework to analyze the media's effects on both returns and volatility using insights from the literature. We use daily prices of...

The recent emergence of COVID-19 and the subsequent short-selling restriction (SSR) imposed on some equity markets provide us with a unique framework to analyze the effects of this kind of measure on market quality in the context of increasingly automated equity markets. We contribute to the...

Using daily data for the Swedish stock market for almost the last two decades no distinct and firm deterministic seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish stock market has an impact on and eliminates to some...

One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...