This paper investigates how stock markets react to the release of R&D-related news by studying stock price data for firms listed on the first section of the Tokyo Stock Exchange between 2000 and 2006. If information uncertainty is the major cause of the post-announcement drift, post-announcement...

Although stock returns of intangibles-intensive firms tend to exceed physical assets-intensive firms, risk-adjusted returns of actively managed mutual funds significantly decrease (increase) with their portfolios' exposure to intangibles-intensive (physical assets-intensive) firms. Fund managers...

Traditional U.S. industries with higher firm-specific stock return and fundamentals performance heterogeneity use information technology (IT) more intensively and post faster productivity growth in the late 20th century. We argue that this mechanically reflects a wave of Schumpeter's creative...

We propose a novel index of short-term endogeneity (or reflexivity) derived by calibrating the Hawkes self-excited conditional Poisson model on empirical time series of trades. The Hawkes model accounts simultaneously for the co-existence and interplay between the exogenous impact of news and...

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

The importance of being able to identify changepoints in financial time series has been stressed by many authors, both for econometric forecasting and for enhancing the performance of trading strategies. Strategies which work well in one type of context may lose money under different...

Gullibility is the principal cause of bubbles. Investors and the general public get snared by a "beautiful illusion" and throw caution to the wind. Attempts to identify and control bubbles are complicated by the fact that the authorities who might naturally be expected to take action have often...

The rise of Fintech in the past decade has received growing scholarly attention. This paper surveys Fintech-related articles published in leading finance, accounting, and management journals from 2010 to 2019. It aims to generate a taxonomy of Fintech and accumulate knowledge in the fields of...

This paper reviews the major finance-related causes of private under-investment in innovation and the consequent alternative choices for public policy. The focus is on (i) incentive-based arguments that address the problem of limited appropriability of new knowledge, and (ii) the lacking access...