This study investigates the dynamic response of credit spread (CS) to S&P 500 dividend yield (DY) shock. Based on the analysis of monthly data from 1919M1 to 2013M8, the VAR results show that credit spread significantly rises immediately following shock to the S&P 500 dividend yield. The results...

We investigate the permanent and transitory effects of sovereign credit ratings on time-varying stock and bond market correlations with their respective regional markets for a sample of up to nineteen emerging countries over the period from 1 January 1994 to 1 July 2007. We find that stock and...

We investigate the impact of Thompson Reuters News Analytics (TRNA) news sentiment on the price dynamics of natural gas futures traded on the New York Mercantile Exchange (NYMEX). We propose a Local News Sentiment Level (LNSL) model, based on the Local Level model of Durbin and Koopman (2001),...

This study investigates how credit spread dynamically responds to the change in aggregate Tobin's q ratio. The VAR results from analyzing quarterly data from 1951 Q4 to 2012 Q4 reveal that credit spread drops significantly following the shock to the change in aggregate Tobin's q ratio. There is...

This article describes the primary uses of the VIX index in the financial literature, offering for the first time a joint view of its successes and failures in key financial areas. VIX is a model-free volatility index that measures the investor "fear" gauge due to its significant and negative...

This study examines stock market reactions to announcements of information technology investments in three transition economies: Czech Republic, Hungary, and Slovakia. Based on 95 investment announcements in the period 1998 to 2013, our study confirms some previously published results from a...

The world is still facing a financial crisis that started in mid 2007 and up to moment it is unsolved. Stock markets around the world reacted badly and the real time news has never played such an important role to investors as seen in previous crises. The impact of the media deepened the bear...

In this paper we provide empirical evidence of abnormal returns associated with credit rating changes for a sample of 264 credit ratings announcements by 43 international and US banks between 2000 and 2012. The banks in the sample have either a primary or secondary US listing. We provide...

This paper examines how culture affects information asymmetry in financial markets. We extract firms traded in the U.S. but headquartered in regions sharing Chinese culture (“Chinese firms”), and manually identify a group of U.S. analysts of Chinese ethnic origin (“Chinese analysts”). We...

This paper provides new evidence examining whether family firms were better performers during the global financial crisis (2008-2010). Using the dataset of the S&P 500 non-financial firms during the period of 2006-2010, we find that family firms outperform non-family firms during the crisis....