This study investigates the dynamic connectedness across the variance risk premium in international developed and emerging equity markets based on a Bayesian time-varying parameter vector autoregressive methodology.The empirical results indicate that the total spillover index is on average...

We study the stock market impact of one physiological factor, sleeplessness due to watching World Cup games overnight, and two psychological factors, distraction from games during trading hours and mood changes due to wins and losses of the games. We uncover significantly negative effects of...

The aim of this paper is to analyze the demand of both traditional and new media of exchange – as cryptocurrencies and central bank digital currencies – proposing a novel specification of the demand for money. In this specification, the medium of payment (MOP) has three properties: the first...

We study the effects of a direct high-speed rail (HSR) service between two cities on investors and firms in China. We find that, after an HSR introduction, investors make more cross-city searches and block purchases of firms in connected cities. An HSR introduction also leads to less co-movement...

Using staggered climatic disasters in the U.S, we find that earnings forecasts by analysts who experienced a major climatic disaster become less accurate than those by the unaffected analysts within three months after the disaster due to distracted attention. Stock prices respond less strongly...

We investigate asset returns around banking crises in 44 advanced and emerging economies from 1960 to 2018. In contrast to the view that buying assets during banking crises is a profitable long-run strategy, we find returns of equity and other asset classes generally underperform after banking...

We find that global financial reporting harmonization is associated with investors overreacting to peer firms’ earnings announcements. Using a sample of 35,116 firm-pair-years from 51 countries between 2000 and 2010, we show that heightened information transfers due to financial reporting...

Investors increasingly can obtain assistance from “robo-advisors,” artificial intelligence–enabled digitalized service agents imbued with anthropomorphic design elements that can communicate using natural language. The present article considers the impact of anthropomorphized robo-advisors...

Are market agents more or less moral in times of crisis? Using the COVID-19 pandemic as a natural experiment, we provide causal evidence for an increase in social responsibility and propose moral consistency and risk preferences as behavioral drivers. Two experiments conducted before and during...

Stock price synchronicity has been associated with various market outcomes like the return-sentiment relations, stock liquidity, and asset pricing models. Therefore, researchers have devoted a lot of time in revealing the underlying factors that drive stock price synchronicity. Using a sample of...