This study provides novel insights to the ongoing debate how market efficiency is challenged by investor behavior. Applying search engine data we find that retail investor attention can enhance market efficiency. High attention is associated with better incorporation of idiosyncratic stock...

We propose a simple method for measuring systemic sovereign credit risk in the Eurozone by linking sovereign defaults to currency shocks. The framework rests on the assumption that systemic sovereign credit risk is high when sovereign defaults induce large shocks to the Euro currency market. We...

We construct a single consistent jump diffusion model with stochastic volatility which incorporates a common Eurozone shock factor to value currency, interest and sovereign debt products in European financial markets. In the model sovereign defaults can be induced either by the common Eurozone...

This paper analyzes whether differences in bank earnings management across countries can be linked to differences in the prevailing institutional and regulatory framework. Using a broad sample of 21,895 banks from 47 countries over the period 1990 to 2006, we consider three dimensions along...

Do differences in creditor rights across countries affect creditors' recovery rates in distressed exchanges? Theories of strategic debt service imply opposing effects, with borrowers in creditor friendly jurisdictions restructuring later but having lower deviations from the absolute priority...

This study examines the link between bank earnings management and cost of equity and trading volume, using a broad sample comprising 22,217 banks from 50 countries over the period 1990 to 2006. The extent of bank earnings management in a country is measured using three distributional properties...

We revisit the relationship between ESG and stock returns using a novel, monthly consensus rating for a global universe. Our results illustrate that how well or bad a firm does along the different dimensions of corporate social responsibility does affect the return of its shares. Fund managers...