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	Provedor de dados AgEcon (5) Autor Daouk, Hazem (5) Charoenrook, Anchada (2) Bhattacharya, Utpal (1) Chang, Charles (1) Ng, David T.C. (1) Wang, Albert (1) Mais... Palavra-chave Financial Economics (4) G12 (3) Cost of capital (2) G15 (2) International finance (2) Research Methods/ Statistical Methods (2) Aggregate market returns (1) C1 (1) Conditional Volatility (1) Conditional skewness (1) Emerging markets (1) Enforcement (1) Financial leverage (1) G18 (1) Insider trading (1) Institutional and Behavioral Economics (1) International Development (1) K22 (1) K42 (1) Marketing (1) Mais... Tipo do documento Working or Discussion Paper (5) Ano 2009 (4) 2008 (1) País United States (5) Idioma Inglês (5)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 5 Primeira ... 1 ... Última When No Law is Better than a Good Law AgEcon Bhattacharya, Utpal; Daouk, Hazem. This paper argues, both theoretically and empirically, that sometimes no securities law may be better than a good securities law that is not enforced. The first part of the paper formalizes the sufficient conditions under which this happens for any law. The second part of the paper shows that a specific securities law - the law prohibiting insider trading - may satisfy these conditions. The third part of the paper takes this prediction to the data. We find that the cost of equity actually rises when some countries enact an insider trading law, but do not enforce it. Tipo: Working or Discussion Paper Palavras-chave: Insider trading; Cost of capital; Emerging markets; Securities law; Enforcement; International Development; G15; G18; K22; K42. Ano: 2009 URL: http://purl.umn.edu/51184 A Study of Market-Wide Short-Selling Restrictions AgEcon Charoenrook, Anchada; Daouk, Hazem. This paper contributes empirical evidence to the on-going debate on short sales. Our examination of how market-wide short-sale restrictions affect aggregate market returns focuses on two main questions: What is the effect of short-sale restrictions on skewness, volatility, the probability of market crashes, and liquidity? What is the effect on the market expected return or cost of capital? We report new data on the history of short-selling and put option trading regulations and practices from 111 countries, and create a short-selling feasibility indicator for the analysis of stock market indices around the world. We find that when short-selling is possible, aggregate stock returns are less volatile and there is greater liquidity. When countries start to... Tipo: Working or Discussion Paper Palavras-chave: Short-sale constraints; Stock returns; Cost of capital; International finance; Financial Economics; G15; G12. Ano: 2009 URL: http://purl.umn.edu/51180 Conditional Skewness of Aggregate Market Returns AgEcon Charoenrook, Anchada; Daouk, Hazem. The skewness of the conditional return distribution plays a significant role in financial theory and practice. This paper examines whether conditional skewness of daily aggregate market returns is predictable and investigates the economic mechanisms underlying this predictability. In both developed and emerging markets, there is strong evidence that lagged returns predict skewness; returns are more negatively skewed following an increase in stock prices and returns are more positively skewed following a decrease in stock prices. The empirical evidence shows that the traditional explanations such as the leverage effect, the volatility feedback effect, the stock bubble model (Blanchard and Watson, 1982), and the fluctuating uncertainty theory (Veronesi,... Tipo: Working or Discussion Paper Palavras-chave: Conditional skewness; Conditional Volatility; Predicting Skewness; Aggregate market returns; International finance; Financial Economics; Marketing; Research Methods/ Statistical Methods; G12; C1. Ano: 2009 URL: http://purl.umn.edu/51181 Do Investors Learn About Analyst Accuracy? AgEcon Chang, Charles; Daouk, Hazem; Wang, Albert. We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. Our test market is the crude oil futures market. Prices rise when analysts forecast a decrease (increase) in crude supplies. In the 15 minutes following supply realizations, prices rise (fall) when forecasts have been too high (low). In both the initial price action relative to forecasts and in the subsequent reaction relative to realized forecast errors, the price response is stronger for more accurate analysts. These price reactions imply that investors learn about analyst accuracy and trade accordingly. Tipo: Working or Discussion Paper Palavras-chave: Financial Economics; Institutional and Behavioral Economics; Political Economy. Ano: 2008 URL: http://purl.umn.edu/51158 Is Unlevered Firm Volatility Asymmetric? AgEcon Daouk, Hazem; Ng, David T.C.. Asymmetric volatility refers to the stylized fact that stock volatility is negatively correlated to stock returns. Traditionally, this phenomenon has been explained by the financial leverage effect. This explanation has recently been challenged in favor of a risk premium based explanation. We develop a new, unlevering approach to document how well financial leverage, rather than size, beta, book-to-market, or operating leverage, explains volatility asymmetry on a firm-by-firm basis. Our results reveal that, at the firm level, financial leverage explains much of the volatility asymmetry. This result is robust to different unlevering methodologies, samples, and measurement intervals. However, we find that financial leverage does not explain index-level... Tipo: Working or Discussion Paper Palavras-chave: Volatility asymmetry; Financial leverage; Financial Economics; Research Methods/ Statistical Methods; G12. Ano: 2009 URL: http://purl.umn.edu/51182 Registros recuperados: 5 Primeira ... 1 ... Última

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