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The adverse effects of systematic leakage ahead of official sovereign debt rating announcements
Rating agencies consult with local government officials several days prior to official announcements of sovereign debt rating changes, making information leakage likely. Using cross-country data fromExpand
What drives Bitcoin’s price crash risk?
We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association withExpand
The Impact of Terrorist Attacks in G7 Countries on International Stock Markets and the Role of Investor Sentiment
Abstract We consider terrorism acts in G7 countries over the period 1998–2017 and examine their impact on a sample of stock market indices from 66 countries. Using an event-study methodology we findExpand
Corporate Pension Plan Funding Levels and Pension Assumptions
We use a difference-in-differences approach to examine the causal impact of the funding ratios of U.S. corporate defined benefit (DB) pension plans on the assumption of expected return on pensionExpand
Sovereign Debt Rating Changes and the Stock Market
We use an event-study methodology to analyze the effect of sovereign debt rating changes on daily stock market returns around the world. We find evidence that the stock market moves before the publicExpand
What Drives Bitcoin’s Price Crash Risk?
We examine the association of the Bitcoin price crash risk with economic uncertainty and behavioral factors. We show that economic uncertainty displays a negative and significant association withExpand
Financial Firm Bankruptcies, International Stock Markets and Investor Sentiment
We consider bankruptcy announcements of large financial institutions in the United States and examine their impact on an international sample of 66 stock market indices. Employing an event‐studyExpand
The Adverse Effects of Systematic Leakage Ahead of Official Sovereign Debt Rating Announcements
Rating agencies consult with local government officials several days prior to official announcements of sovereign debt rating changes, making information leakage likely. Using cross-country data fromExpand