Attainment of rational expectations equilibria in asset markets calls for the price system to disseminate agents’ private information to others. Markets populated by human agents are known to be capable of converging to rational expectations equilibria. This paper reports comparable market...

Using a new daily dataset for all stocks traded on the New York Stock Exchange, we study the impact of information asymmetry during the liquidity freeze and market run of October 1907 - one of the most severe financial crises of the 20th century. We estimate that the run on the market increased...

We study the value of innovation in a case study of one of the most visible innovative products in recent years, Apple’s iPhone. The value effects of news announcements, patent publications, and trademarks relating to iPhone are taken into account. Our estimate of the lower bound on the value...

We investigate the intra-day effect of interventions in both the post- global crisis and pre-crisis periods by the Bank of Japan (BOJ) in foreign exchange markets using limit order data at intra-day high frequency. First, we find that the relationship between order flow and market return in...

Our research objectives are twofold: (1) we use the Du Pont model and market ratios such as PER (price-earnings-ratio) and EPS (earnings-per-share) to explain the causes of financial perfor- mances of Romanian companies listed on the Bucharest Stock Exchange for 2002-2009 and to identify the...

In merger transactions the value of the share exchange ratio is essential, because it affects the distribution of the benefits of the merger. The aim of this study is to analyze the impact of announcements of the agreed by boards share exchange ratios on the valuation of shares of companies...

The aim of the paper is to explain the determinants of emerging market sovereign CDS spreads in the light of European debt crisis. There are two important types of factors that determined the evolution of sovereign CDS spreads: global, which equally affected all emerging markets and country-...

Purpose–This paper aims to empirically analyze the role of FDI technology spillover effects in the development patterns of ASEAN. Design/methodology/approach–The paper is based on the analytical framework of Borensztein by utilizing time-series data between 1990 and 2008 in ASEAN countries....

Purpose –This study aims to examine whether limited attention leads to the market underreaction to earnings announcement and 10-K filings. Design/methodology/approach–This is an empirical study involving statistical analysis of a large sample of data, obtained from Compustat, CRSP and...

Purpose–Due to disequilibrium between supply and demand in the option market, the option market-maker is under exposure to certain risks because of their net option positions. This paper aims to pay attention to whether the risk award affects the option price and the shape of implied...