Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in the European sovereign bond market over tranquil and crisis periods. The longer-term benchmark securities of core countries are the largest net volatility transmitters, whereas the shorter-term benchmarks of periphery countries are the leading net receivers of volatility

ABSTRACT This paper re-examines the impact of the EU Market Abuse Directive (MAD) on the market reaction around share repurchase announcements. We use a unique hand-collected dataset of firms listed on the Athens Stock Exchange, and we find evidence that contrasts with previous conclusions for large European economies. The implementation of the MAD is followed by a significant increase in announcement

The cryptocurrency market is amongst the fastest-growing of all the financial markets in the world. Unlike traditional markets, such as equities, foreign exchange and commodities, cryptocurrency market is considered to have larger volatility and illiquidity. This paper is inspired by the recent success of using machine learning for stock market prediction. In this work, we analyze and present the characteristics

Research on scaling analysis in finance is vast and still flourishing. We introduce a novel statistical procedure based on the generalized Hurst exponent, the Relative Normalized and Standardized Generalized Hurst Exponent (RNSGHE), to robustly estimate and test the multiscaling property. Furthermore, we introduce a new tool to estimate the optimal aggregation time used in our methodology which we

We use intraday data to construct measures of the realized volatility of bitcoin returns. We then construct measures that focus exclusively on relatively large realizations of returns to assess the tail shape of the return distribution, and use the heterogeneous autoregressive realized volatility (HAR-RV) model to study whether these measures help to forecast subsequent realized volatility. We find

ABSTRACT Exploiting a representative survey which overlapped with the revelation of the Harvey Weinstein scandal, we firstly discover that the scandal in the United States causally increased the preference for gender equality in Italy. Consistent with prospect theory, we then show that firms in the entertainment industry experienced excess loss in share value compared to their peers in other industries

ABSTRACT This paper examines which business choices are more likely to increase the profitability and distance to distress of banks, and whether changing business model pays off. We find that the profitability and distance to distress increase with the use of customer deposits and equity, and decrease with size; also, the top performers tend to have a high relationship banking orientation and/or operate

Compared with investing in individual stocks, ETF investment is capable of diversifying the non-systematic risk or exposure to broad market or industry sectors. The aim of this paper is to develop a jump contagion modeling framework to understand the contagion effect of market jump events of energy sector ETFs using multivariate Hawkes process modeling approach. Through analyzing intraday high-frequency

We develop a two-part high-dimensional Bayesian modelling approach to analyse the relationship between saving behaviour and health. In contrast to the existing literature, our approach allows different data-generating processes for the decision to save and the amount saved, and therefore unveils a more detailed picture of the relationship between financial behaviour and health than previous work. We

We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed market properties are consistent with various models of investor behaviour and can be captured by a simple polynomial

In this article, we empirically analyze European Collateralized Loan Obligations (CLOs) in the aftermath of the financial crisis. As Regulation introduced the so-called risk retention rule, originally designed to align interests between issuers and investors, we analyze the implications and effects of the risk retention rule on managed cash CLOs (arbitrage deals). Although the market suffered severely

A general question in finance is whether the volatility of the price of futures contracts follows any particular trend over the contract’s life. In this study, we contribute to the debate by empirically analyzing the trend of the term structure of the volatility of short-term interest rates (STIR) futures prices. Using data on the Eurodollar, Euribor, and Short-Sterling futures contracts for the period

ABSTRACT Heaping is defined as a cognitive bias to round numbers even if precise results are desired. This article targets on dividends in four key European markets (Germany, France, the UK, and Switzerland) over the 1981–2019 period. We hypothesize and report that the change of currency in Germany and France (they both adopted the Euro in January 1999) significantly influenced the characteristics

ABSTRACT Gold is often considered a safe haven asset providing negative return correlation with the stock market in times of distress, while in more calm periods the correlation is close to zero. We study the dynamic inter-linkage of gold prices and the stock market. Specifically, we model the log-prices of gold and a stock index as jump-diffusive processes, with the jumps arriving with mutually exciting

Capital adequacy has become the main regulatory tool to achieve financial stability in the last twenty years. While most papers analysed the effect of capital adequacy on risk taking, there is a lack of evidence on the relationship between deleveraging and the return on equity capital. In this paper, we examine the evolution of the banking system in Japan over the period 2000–16, where the re-capitalization

ABSTRACT We provide new evidence that local investors are peculiarly biased towards local IPO stocks. Taking the well-known investor preference for local stocks a step further, we contribute by showing that local IPOs boost stock market participation far more intensely than local listed firms. Interestingly, the effect is driven by individuals born and raised in the region, having zero effect for those

We investigate if macro-level social capital, which captures the notions of trust and honesty, has any effects on corporate payout policy. We find that firms situated in U.S. states (or counties) with higher levels of social capital (SC) have higher dividend payouts (DP). These results survive a battery of robustness tests dealing with inference and various forms of endogeneity. We find that the positive

Cryptocurrencies including Bitcoin are known to be vulnerable to so-called ‘double-spending’ attacks, where the same digital currency is used to execute multiple different transactions simultaneously. Little is known, however, about the underlying reasons for this vulnerability. Here we develop an agent-based model to study how features of cryptocurrency networks contribute to their vulnerability to

We investigate the risk spillover from euro area government bond spreads (relative to a safe German government bond of similar maturity) to nonfinancial corporate bonds in France, the Netherlands (‘hard’ euro-area countries), and Italy, Portugal and Spain (‘soft’ euro-area countries). In addition to standard firm- and bond-specific determinants of corporate bonds (capturing liquidity and tax effects

ABSTRACT This study investigates the effect of news media coverage on trading activity in, and the liquidity of, target firms’ shares around acquisition announcements. We use the number of articles published in four of the UK's main newspapers as a proxy for media coverage. Our dataset includes 350 UK domestic acquisition deals between 1996 and 2014. The results of our analysis suggest that media coverage

Using a panel of 113 countries over the period from 1990 to 2013, this paper provides new empirical evidence to the intensive debate of whether financial structure is relevant for economic growth. Specifically, we evaluate the role of political risk, development stage and their interactions with the structure of the financial system. We find that on average a more market-based financial system is associated

Financial Reporting (FR) is a fundamental source of information for the correct functioning of markets. Traditionally, FR is associated with the communication activity done by firms to inform stakeholders and the general public about their financial performance. In the first and second part of this essay, I revisit some of the channels through which firm-level FR affects the macroeconomic environment

We study earnings per share (EPS) forecast revision and accuracy of banking analysts around operational risk event announcements in U.S. banks. We find that first announcements of operational risk events are more informative than their settlement announcements. Optimistic banking analysts revise their forecasts downward more aggressively around operational risk disclosures, thereby improving forecast

Financial Reporting (FR) is a fundamental source of information for the correct functioning of markets. Traditionally, FR is associated with the communication activity done by firms to inform stakeholders and the general public about their financial performance. In the first and second part of this essay, I revisit some of the channels through which firm-level FR affects the macroeconomic environment

We study earnings per share (EPS) forecast revision and accuracy of banking analysts around operational risk event announcements in U.S. banks. We find that first announcements of operational risk events are more informative than their settlement announcements. Optimistic banking analysts revise their forecasts downward more aggressively around operational risk disclosures, thereby improving forecast

A large literature has developed on the distinction between hard and soft information with much of this literature focused on displacement of soft information with hard information. We investigate whether the propensity of loan officers at local branches to incorporate soft information in the credit scoring process is affected by the geographical distance between the branch and the bank’s headquarters

This paper investigates the impact of CEO overconfidence on the probability of corporate bankruptcy. Using a large dataset of UK firms, we find that firms with overconfident CEOs face a greater risk of failure. The presence of overconfident CEOs leads to a higher risk of bankruptcy in innovative environments, while the impact is insignificant in non-innovative environments. Moreover, overconfident

We analyse the effects of announcements of changes in the Eurosystem’s balance sheet size, duration and composition on inflation expectations, the exchange rate, the 10-year euro area government bond yield and stock returns, using local projections. We explicitly take into account interaction effects between the three balance sheet dimensions. We provide evidence for the duration extraction channel

Bitcoin futures were introduced in December 2017 and this was seen by some as a sign of the most popular cryptocurrency finally being accepted by the financial community. In this paper, we examine the impact of the introduction of Bitcoin futures on the Bitcoin spot market in terms of five characteristics – returns, volatility, skewness, kurtosis and liquidity, using a Bayesian diffusion-regression

ABSTRACT We study the impacts of the use of trade credit on SME financial performance and operational distress in a sample of 74,036 SMEs across 19 EU countries between 2006 and 2015. Under the premise that trade credit acts as a substitute for bank credit, our results show that supplying trade credit improves profitability, but we show little evidence that such an investment is more profitable for

Can strong capital regulation prevent risk-taking from deposit insurance? Denmark offers a unique setting providing solid identification for testing risk incentives from deposit insurance under strong capital regulation. The Danish system is a universal system without strong risk exposure regulation. Commercial banks and savings banks have different ownership structures but are subject to the same

ABSTRACT This paper introduces time-inconsistent preferences into the standard model of capacity choice and investigates its influences on entrepreneurial firms' investment decisions and asset returns. With time-inconsistent preferences, the entrepreneurial firm's expansion decision becomes more conservative. In addition, we find the value reduction caused by time-inconsistent preferences is more substantial