This paper studies the impact of corporate acquisitions - both domestic and cross-border - on the uncertainty faced by acquiring firms. We use data for UK publicly-listed firms from 2004 to 2017 and employ a matching estimator combined with difference-in-differences to control for the endogenous...

We explore the effects of tax avoidance and tax risk on stock return volatilities of U.S. firms. We find that firms with very low and very high levels of tax avoidance and firms with high levels of tax risk have more volatile stock returns. We observe that tax avoidance primarily affects stock...

In assessing drivers of commodity prices and volatility at this stage of the current super-cycle in commodities (year 12 of a projected 25), it is vital to understand that production cost is a fundamental. Moreover, marginal production costs are among the most powerful drivers of commodity...

I build a price-ratio model based on the Campbell and Shiller (1988) decomposition to test which components of investor expectations best explains cross-sectional price differences. I evaluate the in- and out-of-sample performance of my model, which uses a higher-order expansion with an added...

This study tests for calendar anomalies in returns for petroleum and petroleum products via the futures market, specifically, the day-of-the-week (DOW) effect. The energy future contracts in this study are the WTI (West Texas Intermediate), Brent, RBOB (Reformulated Blendstock for Oxygenate...

This study aims to identify firm characteristics that affect the cross-firm variation in oil-stock interactions. A panel data analysis with a sample of U.S. and Canadian firms reveals that the stock price sensitivity to crude oil price returns is negatively and significantly associated with firm...

This paper innovatively establishes the interrelationship between type I agency costs (conflicts between managers and shareholders) and type II agency costs (conflicts between controlling and minority shareholders). We further analyze the impact of agency cost interactions on the volatility of...

Oil and gas company returns are compared between upstream, midstream, and down-stream sectors from 2000 through 2020. Crude oil, natural gas, and distillate returns reflect project risk, infrastructure, and conditions within the industry. Equity, commodity, and distillate markets positively...

A stream of literature shows that human attention constraints affect asset pricing in predictable ways. When traders are distracted, stock prices tend to initially underreact to earnings news and then gradually incorporate the news over subsequent weeks. In modern markets, however, the majority...