We show that stock prices underreact when there is a political event, reflected in higher momentum returns. We conjecture that political news crowds out stock news cause investors to distract, trade more indexes and underreact to firm specific news. We analyze momentum returns following general...

This research project aimed to discover what happens to stocks when they're being admitted to the NASDAQ Regulation SHO threshold list. Does appearance on the list scare off potential buyers, driving prices lower and ushering a new bearish trend? Or, does it attract buyers, causing stocks to...

We examine whether volatility spillover between US equity and commodity markets has significantly changed with the heavy influx of index traders in commodity derivatives markets, which is a phenomenon referred to as financialization. Previous findings show that institutional traders enter...

I examine how financial markets interact with news about the COVID-19 pandemic. A twelve topic model optimizes the trade-off between number of topics and topic coherence. Using this model, I show that before mid-March 2020 markets react more to the same quantum of news when volatility is higher...

We obtain a unique dataset to examine the effect of the Shanghai-Hong Kong Stock Connect program, which allows foreign investors from Hong Kong to buy stocks listed in Shanghai (northbound) and domestic investors from mainland China to buy stocks listed in Hong Kong (southbound). There is a...

In a 2001 interview in Forbes, Warren Buffett suggested that the ratio of the market value of publicly traded stocks to economic output could identify potential equity market mispricings. This paper investigates the return-predictive characteristics of the market value of equity-to-gross...

The relation between average equity return and market exposure behaves distinctively on days on which early earnings announcements are made by firms for which the announcements have a large spillover “influence” on discount rates and expectations of earnings for related firms. On such days...

All too often, measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However, this may not capture all facets of reality. This paper studies empirical dependencies of daily stock returns by their pairwise copulas. We investigate in...

The purpose of this research is to identify how dividend payments affect the U.S. equity market at the sectoral level. A conventional stock valuation model predicts a positive response of equity price to higher dividend payment. Higher dividends convey confidence about the firm's future to the...

There has been a steady increase in institutional ownership of penny stocks over the past decades. Nevertheless, we show that penny stocks bought by institutional investors significantly underperform other penny stocks in subsequent four quarters. This poor performance is mainly driven by...