In general, investors respond favorably to firms’ ongoing ESG initiatives. In three experiments, we examine whether their reactions differ across the lifecycle of ESG initiatives. In particular, we predict and find evidence of an “ESG stopping effect.” Even when investors react similarly...

I survey of how uncertainty affects stock returns. In general, the literature documents a negative relation. A few papers present the opposite evidence, although the negative effects dominates in most studies

This study examines the impact of geographically nearby major customers on suppliers’ stock price crash risk. Using a sample of Chinese A-share listed firms and their top five (major) customers during the period 2008−2019, we find a significantly negative association. This association is...

Yoon and Serafeim (2022) provide a review of the history of materiality, a brief discussion of selected research, and a discourse on measurement noise. They do not address the results of our research, our critique of their analysis, or our evidence that the main finding of Khan, Yoon, and...

The fundamental aim of this study is to examine the contagion effect of Bitcoin on the National Securities Exchange, Shanghai Stock Exchange, London Stock Exchange, and Dow Jones Industrial Average by analyzing the volatility spillover and correlation between these markets to understand the...

This paper investigates the effect of media-talk on financial markets in response to COVID-19 news published by the Wall Street Journal (WSJ). Collecting data from the United States Centers for Disease Control and Prevention Center (CDC), we investigate the effect of WSJ's coverage and stress...

Investor sentiment is an important condition for style investing in affecting asset price predictability. We find that style returns have predictive power for future stock returns in high sentiment periods, but not low sentiment periods. The correlation between style returns and stock returns...

In this paper, we extend the popular Barndorff-Nielsen Shephard stochastic volatility model to the case of a pure-jump Ornstein-Uhlenbeck equation with non-vanishing stochastic mean-reversion level. Based on this setup, we derive representations for the squared VIX process and related VIX...

We evidence that cryptocurrencies possess a significantly higher probability of crash risk than equity indices, albeit such cryptocurrency market crashes are typically of shorter duration, while possessing an increased probability of acting a source of instability through which can pass through...

This paper investigates the conditional association between betas and returns in sample of 206 firms listed on the Pakistan Stock Exchange (PSX). Results of this study show that the relationship between betas and stock returns is flat when tested unconditionally. However, when the data is split...