This study analyzes the impact of regional economic conditions on stock returns. I identify all U.S. states that are economically relevant for a firm through textual analysis of annual reports and construct a novel proxy for regional economic activity. Using this proxy, I find that economic...

The paper studies the effects of anticipated earnings announcements on liquidity before the earnings announcement day, utilizing full limit order book data. We find very convincing supportive evidence of deteriorating liquidity due to the increase in information asymmetry, which is in line with...

We analyze the market reaction to the sentiment of the CEO speech at the Annual General Meeting (AGM). Adapting a finance-specific German dictionary based on Loughran and McDonald (2011), we find that CEO speeches' textual sentiment is significantly related to abnormal stock returns and trading...

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday data for 8 different stock market indices. Second, a range...

This paper investigates the interdependence of stock returns with some other financial variables applied to several European Telecommunications institutions. In particular, using a multivariate vector autoregressive (VAR) approach this study examines the relation, the direction of the relation,...

In this paper we develop a methodology to test for changes in the strength of market discipline in the corporate bond market. Based on the relationship between equities and bonds of a firm, our method examines the relationship between equity implied information about default probabilities and...

This paper addresses the question of how the timing of corporate insider trading is related to the level of information asymmetry in a stock price. Our empirical analysis shows that, when buying their firm's shares, corporate insiders are likely to exploit their informational advantage through...

This paper presents novel empirical evidence on key predictions of heterogeneous firm models by examining stock market reactions to the Canada-United States Free Trade Agreement of 1989. Using the uncertainty surrounding the agreement's ratification, I show that the pattern of abnormal returns...