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The purpose of this paper is to examine the joint dynamics of volatility–volume relation in the high-yield (junk) corporate bond market during the 2007–2008 financial crisis.,The author proposes a new empirical model of three-stage equations to better estimate the volume–volatility relation that helps in alleviating three econometrical problems. In Stage 1, the author estimates the fitted values of trading volume using a censored regression model, to alleviate the truncation problems of using Tr...
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The purpose of this paper is to examine whether the investor reaction to 10-K filings has changed since the implementation of Regulation Full Disclosure (FD) and the Sarbanes–Oxley Act (SOX) and examine whether the market still underreacts to 10-K content and exhibits the continuation of filing day returns (FDRs) documented by You and Zhang (2009) after the passage of these regulations.,The sample consists of 39,270 10-K filings over the sample period of 1996 to 2012. Performance of portfolios c...
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This macroeconomic analysis chronicles the risk behavior of market-based financial intermediaries and traditional depository institutions from 1980 to 2010 and assesses the role that competition, financial innovation and regulation played in their evolving risk behaviors. The paper aims to discuss these issues.,Using a two-part CAPM framework in line with Campbell et al. (2001), risk measures are constructed through the decomposition of industry-level risk and firm-level idiosyncratic risk. Thes...
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The purpose of this paper is to find the effect of the hedonism value on the investment preference in India.,Based on the literature review, a measurement model is developed to measure hedonism. Further, the effect of hedonism on investment choices of an individual and the impact of age, gender and income level on investment choices and on hedonism are also measured through a structural equation model (SEM).,The study finds that the measurement model is reliable, and all five items, that is an e...
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