The effectively mandatory provision of management earnings forecasts (MEF) is an unique feature of Japan's financial disclosure system. The first objective of this study is to identify the determinants of systematic bias in MEF using a sample of nearly 25,000 one-year-ahead earnings forecasts...

Using Treasury and corporate bond market data, I examine the propagation of firm-specific shocks as well as market-wide shocks between 1995-2003, testing the implications of previously proposed channels of contagion. I find little support for the economic fundamental hypothesis. Consistent with...

This study assesses the validity of widespread criticisms of the large, nationally recognized credit rating agencies (CRAs). The criticisms focus on these CRAs' (1) disclosure practices (such as related to the assumptions underlying their ratings decisions); (2) potential conflicts of interest;...

This study examines the information transfer effect of credit events across the industry, as captured in the Credit Default Swaps (CDS) and stock markets. Positive correlations across CDS spreads imply dominant contagion effects, whereas negative correlations indicate competition effects. We...

This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation by simple simulation. Many empirical researchers have observed the non-Fickian degrees of persistence or long memory in the financial markets different from the...

The reaction of stock prices to bankruptcy filing announcements has been very frequently analysed in the financial literature. In the current work we adopt a different approach to that of the traditional event study, trying to determine if the reaction of the markets is conditioned by the...

Prior research has generally found that stocks with a high level of short interest perform poorly suggesting that short sellers have superior information. However, it is known that stock prices can affect corporate performance due to resource allocation: that is, a low stock price can negatively...

This paper demonstrates the impact of the observed financial market persistence or long term memory on European option valuation. Many empirical researchers have observed non-Fickian degrees of persistence or long memory in the financial markets different from the Fickian neutral independence...

Using a sample of 155 IPOs that delist due to performance-related reasons shortly after going public, this paper sheds light on the motives of entrepreneurs and early investors in taking their firm public. I empirically examine the actions of insiders over the entire public life of the IPO firm...

On September 11, 2001, terrorists launched a devastating attack against the United States using commercial airliners loaded with jet fuel as weapons. Using the multivariate regression model methodology, we investigate the reaction of airline stock prices to the attack. We test whether the market...