I study US-president’s Trump tweets on the US/China trade relationship and their impact stock valuations of companies with a high China exposure. This event study deploys data from the MSCI World with China Index and identifies potential out-/underperformance using cumulative abnormal returns...

The main theme of the paper is to analyze whether the size has any effect on return-volume relationship. It also examines the casual relationship between returns and trading volume. The study also examines the duration of impact of stock returns on trading volume and the trading volume on stock...

Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is...

The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk...

Blockchain, based on the distributed ledger technology, provides immediate settlement of transactions of digital assets and direct ownership. Since settlement of transactions is immediate, the blockchain system requires an ultra short tenor interest rate curve that is always up-to-date. Today,...

We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual r-squared statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility...

This paper makes specifics contributions in the methodology of event studies. First, it develops a financial econometrics framework for understanding, measuring and testing the impact of outlier returns on the estimated parameters of stock return models. Second, it presents a maximum likelihood...

We study the effect of a huge sports sentiment shock, unrelated to economic conditions or government actions, on stock market outcomes. After Brazil's 7-1 humiliating defeat to Germany in the 2014 World Cup, which is likely to be one of the largest sports sentiment shocks ever, the stock market...

This paper examines the commonality in liquidity measures in two stock markets at different stage of development, the Deutsche Börse and the Warsaw Stock Exchange. Using daily data from 2001 to 2016 we show that since 2005 the aggregate liquidity measures from both markets behave similarly...

Analyzing all publicly traded U.S. stocks for 2014-2021, using intraday data from TAQ, TRACE, I/B/E/S, and Capital IQ, using daily data from CRSP, Compustat, CRSP-Compustat Merged Database, and FRED, I find that abnormal reactions are systemically all out of the system within two hours after a...