Results 81 to 90 of about 2,929 (231)

When attentive insider trading matters: Evidence from government investment

Journal of Financial Research, EarlyView.
Abstract We examine whether insiders can exploit public information to increase their trading profitability. By exploiting, as a quasi‐natural experiment, the Bipartisan Infrastructure Law (BIL), announced in the U.S. in March 2021 and implemented in November 2021, we provide evidence that insiders earn higher profits when government investment plans ...
Dimitris Petmezas, Etienne Redor, Shaoyi Wang, Nan Xiong   +3 more
wiley   +1 more source

Short selling ETFs and market performance

Journal of Financial Research, EarlyView.
Abstract We examine short selling activity in leveraged Exchange‐Traded Funds (ETFs) and its impact on underlying index performance. Using a novel measure of ETF short exposure, which includes long positions in inverse leveraged ETFs, we document that high short exposure is associated with positive performance in the subsequent period.
Doina C. Chichernea, Alex Petkevich, Kainan Wang   +2 more
wiley   +1 more source

The VIX Puzzle [PDF]

, 2018
The CBOE volatility index, VIX, represents the market’s expected volatility over the next 30 days, and is supposed to increase when uncertainty rises.
Rosvold, Liv Rio, Ottesen, Sara Hovda
core   +1 more source

Economic policy uncertainty and international corporate leasing

Journal of Financial Research, EarlyView.
Abstract We examine the effect of economic policy uncertainty (EPU) on the corporate lease decision using an international sample of 19 countries. The use of operating leases increases when EPU is heightened. The documented leasing increase is more pronounced for financially constrained firms, firms facing greater operating volatility, or those that ...
Goutham Abotula, Douglas (DJ) Fairhurst, Yoonsoo Nam   +2 more
wiley   +1 more source

The Relations of Oil Price Change with Fear Gauges in Global Political and Economic Environment

Energies, 2019
The oil price time series data can be affected by major global political and economic events, which would result in structural changes that could lead to biased estimations.
Jeng-Bau Lin, Wei Tsai
doaj   +1 more source

Investor sentiment and stock market returns: A comparative analysis of mood, word, and trade

Journal of Financial Research, EarlyView.
Abstract We examine and compare the return predictability of mood‐, word‐, and trade‐based sentiment measures across 18 international stock markets. Empirical results reveal that the trade‐based measure performs strongly across many settings; the word‐based measure contributes important complementary information, including in cases where the trade ...
Lan Xiang, Wenzhao Wang
wiley   +1 more source

Can ETFs affect U.S. financial stability? A quantile cointegration analysis

Financial Innovation
This study evaluates whether exchange traded funds (ETFs) threaten financial market stability by testing two hypotheses relating the growing importance of ETFs to increased market volatility and rising equity valuations.
Juan Laborda, Ricardo Laborda, Javier de la Cruz   +2 more
doaj   +1 more source

Can cryptocurrency fear influence technology firm investors?

International Review of Economics & Finance
This paper examines the dynamic spillovers between the VIX stock sentiment index, the Cryptocurrency Fear & Greed Index, and the returns of leading high-tech firms from 2018 through 2024.
Nikolaos Kyriazis, Shaen Corbet
doaj   +1 more source

Heterogeneity in Manufacturing Growth Risk

Journal of Money, Credit and Banking, EarlyView.
Abstract We analyze differences in output growth risk with respect to financial conditions across U.S. manufacturing industries. Using a multilevel quantile regression approach, we find that industries exhibit heterogeneous increases of downside risk in times of tight financial conditions, while upside potential remains stable.
DAAN OPSCHOOR, DICK VAN DIJK, PHILIP HANS FRANSES   +2 more
wiley   +1 more source

Empirical Performance of Component GARCH Models in Pricing VIX Term Structure and VIX Futures

Under the component GARCH model of Christoffersen et al. (2008), this research provides the analytical pricing formulae of the VIX term structure and VIX futures, points out the zero-risk premium feature in the fully persistent model of Christoffersen et
Hung-Wen Cheng ;Li-Han Chang ;Chien-Ling Lo;Jeffrey Tzuhao Tsai
core   +1 more source