Purpose – This paper aims to investigate the potential relationship between the stock market announcement of a brand's buy and sell agreement, and the stock price trend. Design/methodology/approach – The research question was approached using a GARCH‐based statistical analysis on a sample...

This paper examines the determinants of the inclusion of European companies in the Dow Jones Sustainability World Index and the Dow Jones STOXX Sustainability Index. In doing so, the paper contributes to the micro-econometric literature analyzing the determinants and economic effects of...

This paper examines the determinants of the inclusion of European companies in the Dow Jones Sustainability World Index and the Dow Jones STOXX Sustainability Index. In doing so, the paper contributes to the micro-econometric literature analyzing the determinants and economic effects of...

The paper empirically investigates three different methods to construct factors and identifies some pitfalls that arise in the application of Fama-French's three-factor model to the Pakistani stock returns. We find that the special features in Pakistan significantly affect size and value factors...

We construct a 3-factor, directed technical change growth model that ex-hibits capital-augmenting technical change on the balanced growth path (BGP), circumventing the issues usually caused by the 2-factor Uzawa growth theorem. We calibrate the model to the United States and consider a...

The purpose of this study is to investigate the fluctuations that occur in stock returns of US stock indices when there is an increase in the volume of Google internet searches for the phrase "quantitative easing" in the US. The exponential generalized autoregressive conditional...