Abstract Using manually collected data on the number and category of critical audit matters (CAMs) in period 2016–2017, we investigate hitherto unexplored questions whether CAMs affect firm-specific crash risk, how influence risk Chinese capital market, recognize that contain incremental information. Our findings are as follows: (1) Crash decreases after implementing new standard requiring disc...

Financial options, namely stock options, are ways in which investors can manage the risk level of their portfolios and control the timing of various cash flows. Because, in most basic terms, this class of derivatives consists of agreements to buy or sell financial assets (here, shares of stock) at a prescribed time in the future, determining their fair market value requires a prediction of the ...

Recent explanations of aggregate stock market fluctuations suggest that countercyclical stock market volatility is consistent with rational asset evaluations. In this paper, I develop a framework to study the causes of countercyclical stock market volatility. I find that countercyclical risk premia do not imply countercyclical return volatility. Instead, countercyclical stock volatility occurs ...

We study the impact of foreign institutional investor (FII) flows on stock returns in India. We exploit stock-level daily trading data for FII purchases and FII sales during 2006-2011 to separate stocks into those experiencing abnormally high and low FII flow innovations. We find that stocks with high innovations are associated with a coincident price increase that is permanent, whereas stocks ...