Various financial theories predict that the entry of a new security into an exchange-traded-fund (ETF) could impact the price of the other constituents of that ETF. We test these theories using data from Emerging Market Corporate Bonds between 2012 and 2017. We find that the entry of a new bond...

We provide evidence for a causal link between the US economy and the global financial cycle. Using intraday data, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all...

We provide the first systematic analysis of the stock return lead-lag effect among firms connected through shared analyst coverage in China’s A-share markets. We measure the shared analysts-weighted average returns of connected firms (CF) and show that CF return is a significant positive...

Using short selling data collected by FINRA, we investigate spillover effects of the GME short squeeze at the beginning of 2021 on other stocks’ short interest. Using a broad sample of stocks, we found substantial spillover effects leading to an overall reduction in short interest across US...

This paper investigates the lead-lag returns relation under different information signals. Using shared analyst coverage (Ali and Hirshleifer, 2020) as the main setting, I find connected-firm intraday return (CF Day) is positively associated with focal stocks’ future returns, whereas...

Relying on a perspective borrowed from monetary policy announcements and introducing an econometric twist in the traditional event study analysis, we document the existence of an "event risk transfer", namely a significant credit risk transmission from the sovereign to the corporate sector after...

We conduct a comprehensive study on momentum spillovers in the Chinese stock market using various types of economic linkages. We find that the news co-mention momentum spillover is significantly stronger compared to other forms of momentum spillovers. Using spanning tests and Fama-MacBeth...

This study examines the volatility spillovers between the foreign exchange rate markets of three of the USA's major trading partners and the US stock market, utilizing the forecast-error variance decomposition framework of a VAR model proposed by Diebold and Yilmaz (2009). The empirical results,...

We analyse the spillover of the turmoil in money markets in the second half of 2007 to FX swap and long-term cross-currency basis swap markets. We find that the use of swap markets to overcome US dollar funding shortages by non-US financial institutions resulted in marked deviations from covered...

In this paper, we examine the spillover effect of school ties. Analysts who have direct school ties with at least one firm in an industry make more frequent and more accurate forecasts, as well as more profitable recommendations on other firms in the same industry where they do not have direct...