All Outputs (3)

Detecting overreaction in the Bitcoin market: A quantile autoregression approach (2018)
Journal Article
Chevapatrakul, T., & Mascia, D. V. (2019). Detecting overreaction in the Bitcoin market: A quantile autoregression approach. Finance Research Letters, 30, 371-377. https://doi.org/10.1016/j.frl.2018.11.004

We examine the persistence of returns on Bitcoin at different parts on the return distributions through the use of the quantile autoregressive (QAR) models. We find lower quantiles of the daily return distribution and upper quantiles of the weekly re... Read More about Detecting overreaction in the Bitcoin market: A quantile autoregression approach.

The impact of tail risk on stock market returns: the role of market sentiment (2018)
Journal Article
Chevaptrakul, T., Xu, Z., & Yao, K. (2019). The impact of tail risk on stock market returns: the role of market sentiment. International Review of Economics and Finance, 59, 289-301. https://doi.org/10.1016/j.iref.2018.09.005

We examine the return predictability of time-varying extreme-event risk at the different points on the return distribution using quantile regression. We find evidence of strong predictive power at the lower quantiles for forecast horizons of up to on... Read More about The impact of tail risk on stock market returns: the role of market sentiment.

Customer financing, bargaining power and trade credit uptake (2018)
Journal Article
Mateut, S., & Chevapatrakul, T. (2018). Customer financing, bargaining power and trade credit uptake. International Review of Financial Analysis, 59, 147-162. https://doi.org/10.1016/j.irfa.2018.07.004

We investigate the impact of well-established trade credit theories on different parts of the distribution of trade credit taken by firms. Our results suggest that the trade credit – bank loans substitution increases at the higher trade credit quanti... Read More about Customer financing, bargaining power and trade credit uptake.