This study examines the relation of stock returns and the announcements on verified emissions in the European Emission Trading Scheme (EU ETS). In a first step we employ event study methods to detect possibly abnormal returns on the respective announcement dates using a sample of quoted stock...

In this paper, we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purpose of our study is to explicitly quantify information asymmetries by compliance...

Efficiency in stock markets is essential for economic stability and growth. This study investigates the efficiency and herding behavior of the stock markets from the top economies of the world (known as G20 countries). We classify stock market indices using MSCI classification for the developed...

Political risk, one of the most significant uncertainty shocks, affects firms' future attitudes toward risks and plays a crucial role in their decision making. A stock price crash risk is a classical topic in financial markets; therefore, this paper probes the relationship between firm-level...

This paper relates jumps in high frequency stock prices to firm-level, industry and macroeconomic news, in the form of machine-readable releases from Thomson Reuters News Analytics. We find that most relevant news, both idiosyncratic and systematic, lead quickly to price jumps, as market...

This study investigates the determinants of trading activity in the U.S. corporate bond market, focusing on the effects of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets) Autometrics methodology, we identify distinct behavioral...

A new methodology for testing and dating economic bubbles based on a sign test with recursive median adjustment is presented. The methodology, originally proposed by Soo and Shin (2001) to detect random walks, is well-suited, theoretically, to deal with the many features of high-frequency...

El proceso de desregulación del sector eléctrico en la Unión Europea generó acciones estratégicas de parte de las empresas del sector que han llevado al reordenamiento de su mercado de energía eléctrica. Una serie de fusiones y adquisiciones ocurrieron a raíz de ese proceso. Este trabajo...

La Aplicación de Modelos EGARCH a la prueba del CAPM párr Colombia permite concluir Que Este sí da Bajo conditions de Alta volatilidad Y Que Se Puede utilizar Como Herramienta para el Análisis Financiero y las Proyecciones de Rentabilidad de Activos Financieros y reales. Igualmente, los...

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...