attention spilloverprice impactreturn predictabilityExploiting a screen display feature whereby the order of stock display is determined by the stock listing codes, we lever a novel identification strategy and stChen, XinAn, LiYu, JianfengWang, Zhengwei...
ESG uncertainty refers to the discrepancies in ratings by multiple third-party ESG rating agencies, challenging investors in assessing a company’s true ESG status. This study integrates ESG rating data from six major Chinese agencies to construct an ESG
We scrutinize the effects for 2 and 4 trading days before and after the launch days, which we refer to as “spillover days”. We find that stock return comovement with the market is smaller on spillover days than on launch days, yet it is stronger than the return comovement on non-...
The spillover effects and connectedness among green commodities, Bitcoins, and US stock markets: Evidence from the quantile VAR network 2022, Journal of Environmental Management Show abstract Climate change, risk factors and stock returns: A review of the literature ...
https://doi.org/10.1007/s10551-014-2122-y Duan X, Xiao Y, Ren X, Taghizadeh-Hesary F, Duan K (2023) Dynamic spillover between traditional energy markets and emerging green markets: Implica- tions for sustainable development. Resour Policy 82. https://doi.org/10.1016/j. resourpol....
Asset PricingLearningFluctuating AttentionCounter-CyclicalityContagionSpillover effectsContagion refers to a situation where turbulence in a given financial market spreads to other fundamentally unrelated markets. I build a general equilibrium model where contagion is exclusively generated by the investor's ...
Findings This study finds that changes in VC values have greater spillover effects on the values of financial stocks in countries which do not recognize the legitimacy of VCs than in countries which do, due to the lack of breadth and depth of the former markets. Moreover, this paper also ...
(DUVOL) in the subsequent year. We focus on the stock crash risk in the subsequent year because it is conceivable that large negative returns in some industries spill over to other industries due to economic links or geographic clusters (Pirinsky and Wang, 2006; Cohen and Frazzini, 2008). ...