Available online 30 April 2015 This paper tests the relation between expected excess stock returns and illiquidity risk in G7 markets. By conducting panel regressions on monthly data for 20 years, evidence shows that excess stock returns of the G7 countries are positively correlated with market illiquidity risk, but are negatively correlated with the innovation of firm-level illiquidity. Applyi...

Article history: Received 18 March 2009 Received in revised form 26 June 2009 Accepted 25 August 2009 Available online 4 November 2009 This study investigates whether prior experience of share repurchases matters in the market reactions to the subsequent repurchase announcements. Specifically, we study the prior record on actual buybacks and post-announcement stock performance. We find that upo...

This paper describes the implied volatility function computed from options on the Italian stock market index between 1995 and 1998 and tries to find out potential explanatory variables. We find that the typical smirk observed for S&P500 stock index characterizes also Mib30 stock index. When potential determinants are investigated by a linear Granger Causality test, the important role played by ...

This paper develops and estimates a heteroskedastic variant of Campbell s [Campbell, J., 1993. Intertemporal asset pricing without consumption data. American Economic Review 83, 487–512] ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have su...

The aim of this paper is to investigate the effect of soccer performance on the clubs’ stock returns through an empirical analysis applied on Turkish case. The study is based on the data of Beşiktaş, Galatasaray and Fenerbahçe, considered “the big three” in Turkey. The sample period spans the period between 2005 to 2012. Multiple regression models are employed where the effect of performance on...

When volatility feedback is taken into account, there is strong evidence of a positive tradeoff between stock market volatility and expected returns on a market portfolio. In this paper, we ask whether this intertemporal tradeoff between risk and return is responsible for the reported evidence of mean reversion in stock prices. There are two relevant findings. First, price movements not related...

This paper explores the relationship between founding family ownership and stock market returns. Using the entire population of non-financial firms listed on the Swiss stock market for 2003–2013, we find that the stock returns of family firms are significantly higher than those of non-family firms after adjusting the returns for different risk factors and firm characteristics. Family firms gene...

The practice of executive stock option repricing is examined using a sample of firms in the gaming industry during 1994-98. The practice of repricing executive stock options is often criticized, however this paper recognizes that there may be conditions when such recontracting may be viewed as beneficial to shareholders. Specifically, given that options provide both incentives to increase risk ...

Wage Dispersion and Wage Dynamics Within and Across Firms This paper examines wage dispersion and wage dynamics in a stock-flow matching economy with on-the-job search. Under stock-flow matching, job seekers immediately become fully informed about the stock of viable vacancies. If only one option is available, monopsony wages result. With more than one firm bidding, Bertrand wages arise. The in...

This paper investigates the relation between lunar phases and stock market returns of 48 countries. The findings indicate that stock returns are lower on the days around a full moon than on the days around a new moon. The magnitude of the return difference is 3% to 5% per annum based on analyses of two global portfolios: one equal-weighted and the other value-weighted. The return difference is ...