From 2010-2015, China liberalized margin lending, resulting in an unprecedented expansion of margin loans to financially constrained households. We implement a regression discontinuity design based on the ranking procedure used during the deregulation and estimate a large impact of this credit...

This is the first study to test for a winner's curse in a bubble market. Our hand-collected sample comprises the entire sequence of bids and the experience of the winning bidder at Irish residential real estate auctions, prior to the collapse of the bubble. Portfolios of practitioner-selected...

Using daily data on five sectoral indices from 2006 to 2014, this paper aims to investigate the possibility of fractional integration in sectoral returns (and their volatility measures) at Jordan's Amman stock exchange (ASE). Empirical analysis, using the Log-periodogram (LP) and Local Whittle...

In this notes, I argue and show that the so-called Efficient Markets Hypothesis (EMH) is no less than a false prophecy, the Black-Scholes-Merton (BSM) formula - a perfect rendition of EMH - no more than a parlor trick, and risk-neutral pricing models - generalisations of BSM - severe...

Higher bank credit growth implies that excess returns of bank stocks over the next one year are lower by nearly 3%. Credit growth tracks bank stock returns over the business cycle and explains nearly 14% of the variation in bank stock returns over a 1-year horizon. I argue that the predictive...

Upon surveying a contentious topic that has occasioned much debate, this paper offers reflections on the likelihood that asset booms, bubbles and busts continue posing a threat to financial stability despite financial markets becoming increasingly informationally-efficient, complete, and heavily...

The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high...

There has been a misleading revival of an old precept in Islamic finance - ‘no risk, no gain'- in the wake of the global financial crisis that started with the 2007 sub-prime debacle in the US. The recent proponents of the precept argue that the basic reason for the recurrence of such crises...

We analyzed power law (Pareto) distributions of one-minute oil prices through the US Oil Fund (Ticker symbol USO), from January 1 through March 31, 2011. Using the daily power law exponent, α, we determined a critical value which predicted a price trend reversal. This critical value, estimated...

The financial crisis of 2007 sparked intensive debates on its origins. The Turner Review, published on 18 March 2009, firmly places securitisation at its heart. However, even the critics admit that this type of transaction is viewed as “socially desirable”. The paper explicitly shows how the...