U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility can be higher for reasons that contribute positively (good volatility) or negatively (bad volatility) to shareholder wealth and economic growth. We find that the volatility of U.S. firms is...

From 1991 to 2006, U.S. stocks are more volatile than stocks of similar foreign firms. A firm's stock return volatility in a country can be higher than the stock return volatility of a similar firm in another country for reasons that contribute positively (good volatility) or negatively (bad...

Movements in the stock market should reflect expectations regarding future economic conditions and lead the macroeconomy. However, evidence for stock returns providing such predictive power is mixed. We argue this arises as stock returns are noisy and consider the predictive ability of derived...

This paper provides a Bayesian test of parameter nonstationarity and an estimation procedure for the detection of change points in the time series of stock returns. The empirical results indicate that this procedure can identify the change points in the data without prior knowledge and provide...

The purpose of this paper is to examine the pre- and post-holiday returns the Dhaka Stock Exchange, leading stock exchange of Bangladesh. To conduct the study index value of two market indices have been collected, those are DSE general index (DSEX) and DSE 30 index (DS30), from the period of...

In this paper, we use event studies to estimate the effects of changes to a public firm's board of trustees on stock returns. The goal is to determine whether the gender of an incoming board member is perceived differently by investors. Scholarly findings on gender and leadership have been mixed...

We present effective momentum strategies over the liquid equity futures market in India. We evaluate and determine the persistence of the returns at various look-backs ranging from quarterly and weekly to more granular look-backs. We look at a universe of the liquid equity instruments traded...

Some common stocks display extreme positive performance. Between 1973 and 2020, 3,615 U.S.-listed stocks generated at least a 5x cumulative gross return relative to a prior low point, and also had a minimum inflation-adjusted market capitalization of $500 million. Among these, 29.8% repeated the...

With a sample of ninety events (announcement and ex-date) using the event study methodology with the market model, we provide evidence for the impacts of the corporate announcements on stock returns during the pandemic stress. We find that all the corporate announcements do not impact the stock...

Demand from emerging countries is expected to show strong growth going forward. IT sector has made significant contributions to India's economic growth in terms of GDP increase, foreign exchange earnings as well as employment generation. Its contribution to GDP has increased almost tenfold in...