We develop a bid‐ask spread estimator from daily high and low prices. Daily high (low)
prices are almost always buy (sell) trades. Hence, the high–low ratio reflects both the stock's …

The past two decades have seen a significant shift from active to passive investment
strategies. We examined how this shift affects financial stability through its impacts on (1) …

The practice of periodically reconstituting equity indices suggests that changes to the
composition of an index can impact the performance of firms whose stocks are added to or …

This paper explores the impact of capital market internationalization on firms' ESG
performance, utilizing the event that China A-shares were officially included in the MSCI …

We provide the first simulation evidence of event-study test performance in multi-country non-
US samples. The nonparametric rank and generalized sign tests are more powerful than two …

This study uses time‐series data to examine the relation between changes in the quality of
corporate governance practices and subsequent market valuation among large listed …

This paper empirically investigates the index premium and its implications from 1990 to
2005. For additions to the S&P 500 and Russell 2000, we find that the price impact from …

The global pandemic covid-19 offer buying opportunity to buy business with discounted
price. This phenomenon attracts new type of investor around the world. This novice investor …

Traditional portfolio balance theory derives a downward slo** currency demand function
from limited international asset substitutability. Historically, this theory enjoyed little empirical …

This paper examines the dynamic connectedness between various measures of volatility
indexes (eg, Engle and Campos-Martins (2023)'s global common volatility index (COVOL) …