We examine the response of foreign (i.e., non-South Korean) investors to escalating political conflict and its impact on the South Korean stock market surrounding 13 North Korean military attacks between 1999 and 2010. Using domestic (i.e., South Korean) institutions and individuals as...

We examine stock market returns at short intervals following after-hours earnings announcements to determine whether the opening price set by NYSE market makers is efficient. Our tests of return volatility, correlation of the close-to-open return with subsequent returns, and trading strategies...

We show theoretically that lower tail dependence (chi), a measure of the probability that a portfolio will suffer large losses given that the market does, contains important information for risk-averse investors. We then estimate chi for a sample of DJIA stocks and show that it differs...