We study a competitive model in which market incompleteness implies that debt-financed firms may default in some states of nature and default may lead to the sale of the firms’ assets at fire sale prices when markets are illiquid. This incompleteness is the only friction in the model and the...

This paper examines the role played by uncertainty and sunk costs on the timeseries fluctuations in industry structure as captured by the number of firms and establishments, and concentration. Using an extensive dataset covering 267 U.S. manufacturing industries over a 30-year period, our...

We show that investors acquire more public information about firms to which they are more socially proximate. On average, a standard deviation increase in the Social Connectedness Index (Bailey et al., 2018) between a firm's headquarter county and a searcher county is associated with 30% more...

In this paper we employ the news aggregator GoogleTM News to demonstrate a strong link between the volatility in the stock market and the amount of news available to market participants. The paper also highlights some other areas, in finance and elsewhere, where news aggregators could be useful.

I use Google News TM to study the relation between news volumes and stock market volatilities. More than nine million stock market-related news stories in English and (Mandarin) Chinese are collected and the dynamics of the news volume and the stock market volatility is compared in both the...

We look at the link between the volatility in the Bitcoin market and the volatility in other related traditional markets, i.e. the gold, currency and stock market. We also try to answer if the volatility in the Bitcoin market can be explained by retail investor-driven internet search volumes or,...

Der Zufall spielt in den Wirtschaftswissenschaften eine große Rolle, wobei meistens auf subjektive Wahrscheinlichkeiten abgestellt wird, also eingeschränktes Wissen der Wirtschaftsakteure. Objektiver Zufall in der Natur wird seltener modelliert, kommt aber auch vor. Beispielhaft wird die Rolle...

This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for the stock market crash risk. The empirical results show...

Using causal graphs, this paper develops a simple check to uncover the direction of the causal link between economic policy uncertainty and stock market volatility. The check is applied to monthly data for 22 countries. The results imply that uncertainty is an instantaneous cause of stock market...

We examine the impact of uncertainty on employment dynamics. Alternative measures of uncertainty are constructed based on the survey of professional forecasters, and regression-based forecasting models for GDP growth, inflation, S&P500 stock price index, and fuel prices. Our results indicate...