All Outputs (15)

Reduced disclosure and default risk: analysis of smaller reporting companies (2024)
Journal Article

We examine the causal effect of reduced disclosure levels on the risk of default. Employing regression discontinuity (RD) design as our main identification strategy and the smaller reporting company rule (SRC rule) as the exogenous source of variatio... Read More about Reduced disclosure and default risk: analysis of smaller reporting companies.

Shock transmissions and business linkages among US sectors (2022)
Journal Article

This paper examines the shock spillovers between US sectors and their dependence on the intersectoral business linkages. Our forecast error variance decompositions reveal significant shock transmissions among trading sectors, especially in turbulent... Read More about Shock transmissions and business linkages among US sectors.

Default risk, macroeconomic conditions, and the market skewness risk premium (2022)
Journal Article

Previous literature finds that stocks with low market skewness risk outperform stocks with high market skewness risk. Using the portfolio sort approach, we show that this market skewness risk premium is much more pronounced among stocks with low defa... Read More about Default risk, macroeconomic conditions, and the market skewness risk premium.

The causal effect of improved readability of financial reporting on stock price crash risk: Evidence from the Plain Writing Act of 2010 (2022)
Journal Article

This paper shows that obfuscating financial reports leads to an increase in the risk of stock price crash. Exploiting the Plain Writing Act of 2010 (PWA) as the exogenous source of variation, the results of the difference-in-differences (DID) estimat... Read More about The causal effect of improved readability of financial reporting on stock price crash risk: Evidence from the Plain Writing Act of 2010.

How is price explosivity triggered in the cryptocurrency markets? (2021)
Journal Article

We shed light on how the price explosivity characterising Bitcoin and other major cryptocurrencies is triggered, by employing the Quantile Self-Exciting Threshold Autoregressive (QSETAR) model. Our results for Bitcoin, Ripple, and Stellar reveal that... Read More about How is price explosivity triggered in the cryptocurrency markets?.

Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach (2020)
Journal Article

© 2020 Elsevier B.V. We construct the complete network of tail risk spillovers among major cryptocurrencies using the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression. We capture important features of the network, including... Read More about Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach.

Do stress tests affect bank liquidity creation? (2020)
Journal Article

We examine the impact of Federal Reserve stress tests from 2009 to 2016 on U.S. bank liquidity creation. Empirical results show that regulatory stress tests have a negative effect on both on-and off-balance sheet bank liquidity creation and asset-sid... Read More about Do stress tests affect bank liquidity creation?.

Business-Linkage Volatility Spillovers Between US Industries (2019)
Journal Article

We examine the volatility transmission across industries and its dependence on the inter-industry business linkages. Our analysis reveals significant cross-industry volatility spillovers, which are clearly associated with the strength of the trade re... Read More about Business-Linkage Volatility Spillovers Between US Industries.

Return asymmetry and the cross section of stock returns (2019)
Journal Article

This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empiric... Read More about Return asymmetry and the cross section of stock returns.

Detecting overreaction in the Bitcoin market: A quantile autoregression approach (2018)
Journal Article

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

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

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.

Monetary environments and stock returns: international evidence based on the quantile regression technique (2015)
Journal Article

This paper investigates the impact of the local and the US monetary policy environments on stock returns at the different locations on the return distributions. Using data for stock returns and interest rates of 30 countries, the quantile regression... Read More about Monetary environments and stock returns: international evidence based on the quantile regression technique.

The effects of news events on market contagion: evidence from the 2007–2009 financial crisis (2014)
Journal Article

In this paper, we use the quantile regression technique together with the coexceedance, a contagion measure, to assess the extent to which news events contribute to contagion in the stock markets during the crisis period between 2007 and 2009. Studie... Read More about The effects of news events on market contagion: evidence from the 2007–2009 financial crisis.

Monetary environments and stock returns revisited: A quantile regression approach (2014)
Journal Article

We investigate the impact of monetary conditions on stock market returns at different points on the return distributions. Our results reveal no association between stock returns and monetary environments at the lower quantiles. At the upper quantiles... Read More about Monetary environments and stock returns revisited: A quantile regression approach.