The financial crisis of the late 2000's highlighted the importance of strengthening risk management systems in financial markets. Consequently, an increasing interest in strategies to quantify risk under extreme scenarios has spawned. One of such techniques is CrashMetrics, a methodology for...

We investigate the intra-day effect of interventions in both the post- global crisis and pre-crisis periods by the Bank of Japan (BOJ) in foreign exchange markets using limit order data at intra-day high frequency. First, we find that the relationship between order flow and market return in...

In merger transactions the value of the share exchange ratio is essential, because it affects the distribution of the benefits of the merger. The aim of this study is to analyze the impact of announcements of the agreed by boards share exchange ratios on the valuation of shares of companies...

We analyze the effect of cross-country differences in accounting standards on the empirical performance of financial pricing models. We show how the lack of uniform accounting standards across countries generates inconsistent estimates of the model parameters, and leads to rejection of the...

The main objective of this paper is to analyze the impact of uninformative communications on asset prices. An experimental approach allows us to control for the release of a priori uninformative messages. We introduce the release of messages in standard experimental asset markets with bubbles...

This paper investigates the profile of the individual investor in warrants. It is concluded that the average investor in warrants has a greater level of financial literacy and a greater appetite for risk. It is also concluded that higher experience in stock trading and the investment in foreign...

Purpose–Since illiquidity risk is one of the most important pricing factors of assets, the aim of this paper is to evaluate the suitability of proxies of illiquidity prevalent in the asset pricing literature and their explanatory power in asset pricing tests....

Purpose–The purpose of this paper is to explore the relations of investment and stock prices (Tobin-Q), the impact of asymmetric information on the investment sensitivity to stock price, and the impact of asymmetric information on the stock price sensitivity to investment....

Purpose–The purpose of this paper is to theoretically and empirically explore the effects of attention levels on individual investors' investment return. Design/methodology/approach–By introducing the heterogeneous attention, the authors first expand the theoretical model of Barber and...

In this paper we develop and implement a method for maximum simulated likelihood estimation of the continuous time stochastic volatility model with the constant elasticity of volatility. The approach do not require observations on option prices nor volatility. To integrate out latent volatility...