The study looks at risk reporting practices of SENSEX-listed companies in India. For being able to capture risk information quality, we applied an evaluation scheme with a maximum of 14 points for grading. We found that risk disclosure quality is very low in general with most companies providing...

A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock...

This paper presents a new approach to look at equity market valuations. The paper formulates a derivative of three valuation based ratios widely used by investors and fund managers. The derivative “Equity Market Valuation Index” converts valuation ratios in to an index that rages between...

In merger and acquisition (M&A), we find strong evidence that within a 90 day window of a deal announcement date, analysts are more likely to upgrade their recommendations over the acquirer stocks in deals with cash only payment compared to deals with pure stock payment. To disentangle the means...

In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the...

We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price...

We examine the effect of open market share repurchase announcements on prices of traded loans and find a significant wealth transfer effect; the change in the market value of equity is inversely related to the change in the market value of loans. We find that loan abnormal returns are more...

This paper proposes a theory of the equilibrium liquidity premia of private equity funds and explores its asset-pricing implications. The theory is based on the notion that investors are exposed to the risk of facing surprise liquidity shocks, which upon arrival force them to liquidate their...

Using a novel continuous-time framework, this paper explores the effects of illiquidity on portfolio dynamics and expected returns. In summary, the paper makes three key contributions to the existing literature on asset pricing and illiquidity. First, it illustrates that illiquidity leads to...

Dividend payout has been a focus of debate in financial literature over the years. Academicians and researchers have developed many theoretical models describing the factors that managers should consider when making dividend policy decisions. This study seeks to empirically examine the factors...