While some prior studies document that investors overreact to information in sales growth as consistent with representativeness bias, other studies find no evidence of investor overreaction to either sales or earnings growth. Other recent studies also show that sales growth does…
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This research assessed market efficiency, volatility behaviour, asset pricing, and oil price risk exposure of the oil and gas companies quoted on the London Stock Exchange with the aim of providing fresh evidence on the pricing dynamics in this sector. In market efficiency analy…
This thesis investigates different aspects of the impact of extreme downside risk on stock returns. We first investigate the impact at market level, where the return of the stock market index is expected to be positively correlated to its tail risk. More specifically, we incorpo…
This thesis addresses asset pricing in Chinese A-share stock markets using a dataset consisting of all shares listed in Shanghai and Shenzhen stock exchanges from January 1997 to December 2007. The empirical work is carried out based on two theoretical foundations: the efficient…
This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic li…
In addition to the expanded investment opportunity set facing investors, two unique dimensions that distinguish international finance from domestic finance are foreign exchange risk and market segmentation. With the increasing globalization of financial markets, these two effect…
Do investors correctly price extreme events that they have never seen occur? To shed light on this question, I examine market responses to the risk of nuclear war during the Cuban Missile Crisis. I find evidence that investors indeed priced firms’ exposures to nuclear destructio…