We investigate the dynamic nature and temporal daily changes in systematic (beta), as well as idiosyncratic and total risk around restatement announcements. We find that beta increases by 51% at restatement announcement but it reverts to the pre-restatement level within one month. However,...

This paper tests the hypothesis that some participants in index futures markets engage in feedback trading. The analysis is based on a modified dynamic Capital Asset Pricing Model that assumes two types of investors: i) expected utility maximizers, and ii) positive feedback traders who sell...

This paper tests the hypothesis that exchange rate exposure is asymmetric over appreciation-depreciation cycles. More specifically, it investigates whether returns on nine sector indexes across four major countries are asymmetrically affected by exchange rate movements. The results show that in...