This paper examines the relationship between idiosyncratic risk and stock returns in BRICS (Brazil, Russia, India, China, and South Africa) countries by applying parametric and nonparametric approaches. It also explores the idiosyncratic risk puzzle by dividing firms into groups based on...

In this paper, we investigate volatility spillovers between oil prices and the stock prices of the companies listed in Borsa Istanbul. We employ the dynamic conditional correlation (DCC) and Baba, Engle, Kraft, and Kroner (BEKK) GARCH models using daily data for the period between June 22, 2015,...

This study investigates the relationship between tax expense surprise and expected equity returns in emerging markets. Using a broad sample of equities from 27 emerging countries, we find a strong positive link between tax expense surprise and the cross-sectional expected stock returns....

In this paper we decompose Turkish Lira interest rates into expected short rate and term premium components, using two well-established methods. Then we focus on the impact of the share of foreign investors on bond yields by instrumenting that share with VIX and Merry Lynch option volatility...

Based on a survey of 54 published articles, we undertake a meta-analysis of 906 estimates of the effects of financial liberalization on economic growth. We conclude that the literature contains statistically significant evidence of a positive effect of financial liberalization on economic...

This paper examines the impact of firms' digital transformation on management earnings forecasts with a sample of Chinese firms. Using a deep learning model and textual analysis, we create a proxy for digital transformation based on the frequency of keywords related to digitization in firms'...

Investor sentiment is believed to play an increasingly significant role in business and economic activities. By analyzing data collected from a sample of listed nonfinancial firms in Pakistan for the period 2009-2018, we quantify investor behavior and how it affects market returns, cash flows,...

We estimate the contribution of large U.S, banks to the financial sector systemic risk by using value-at-risk (VaR ), conditional value-at-risk (CoV aR ), and two-stage least square (2SLS) methodology, Our sample is the monthly stock returns of 25 large U.S, banks from 1997 to 2021, We find that...

Using a Bayesian Vector Autoregressive Model (BVAR) analysis, this paper explores the link between financial stress, economic activity, and government debt in Turkiye from January 1992 to December 2020. First, using the equally variance weighting approach, we calculate a financial stress index...

We assemble data of non-financial stocks on the Shenzhen small and medium-sized enterprise (SME) board over the 2005-2019 sample period to explore the liquidity drivers of listed SMEs. With the complete dominance of retail investors, two competing hypotheses are derived from familiarity. The...