This study classifies jumps into idiosyncratic jumps and co-jumps to quantitatively identify systematic risk and idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes than the idiosyncratic risk in an individual asset,...

In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting information associated with financial market contagion. These measures are based on the decomposition (using high-frequency financial data) of the quadratic covariation between two assets...

Purpose: The purpose of this paper is to examine two channels through which accounting standard differences could affect cross-listing: compliance costs and/or comparability benefits. Design/methodology/approach: The authors use two settings to disentangle the two channels. First, financial...

This study examines the association between changes in reported financial performance resulting from mandatory adoption of International Financial Reporting Standards (IFRS) and equity issuance during the transition period leading up to IFRS adoption for listed firms in Australia and Europe. We...

This study investigates how accounting harmonization affects one particular group of financial statement users - financial analysts. We find that mandatory IFRS adoption attracts foreign analysts, particularly those from countries that are simultaneously adopting IFRS along with the covered...

Firms with higher R&D intensity subsequently experience higher stock returns in international stock markets, highlighting the role of intangible investments in international asset pricing. The R&D effect is stronger in countries where growth option risk is more likely priced, but is unrelated to...

This study explores whether meeting or beating management forecasts is indicative of managerial talent. We find that the market reacts positively when firms meet or beat their management forecasts after controlling for meeting or beating analyst forecasts and management forecast errors. Further...

We investigate whether and how an exogenous and unprecedented improvement in the quality of non-U.S. firms' financial reporting affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and the decrease is more pronounced among firms with fewer...

We investigate whether and how an exogenous and unprecedented improvement in non-U.S. firms’ financial reporting quality affects post-earnings-announcement drift (PEAD). We find that PEAD declines after the information shock, and this decrease is more pronounced for firms with fewer...