Annual Conference

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Investment Finance, Senior Fellows/Fellows

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May 2014

When Real Estate is the Only Game in Town

Harrison HONG, Jeffrey P. THOMPSON, Hyun-Soo CHOI, Jeffrey D. KUBIK
Using data on household portfolios and mortgage originations, we find that households residing in a city with few publicly traded firms headquartered there are more likely to own an investment home nearby. Households in these areas are also less likely to own stocks. This only-game-in-town effect is...
Keywords: Real estate, homeownership, household portfolios, mortgage originations
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Senior Fellows/Fellows

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Senior Fellows/Fellows

What Triggers Stock Market Jumps?

Scott R. BAKER, Nicholas A. BLOOM, Steven J. DAVIS, Marco SAMMON
We examine next-day newspaper accounts of large daily jumps in 19 national stock markets to assess their proximate cause, clarity as to cause, and geographic source. Our sample of over 8,000 jumps, reaching back to 1900 for the United States, yields several novel findings. First, news about monetary...
Keywords: Stock market jumps, clarity about jump reason, monetary policy, government spending shocks, Fed put, global impact of US, market volatility, text analysis, human readings
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Senior Fellows/Fellows

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Senior Fellows/Fellows

What is the impact of successful cyberattacks on target firms?

Jun-Koo KANG, Shinichi KAMIYA, Jungmin KIM, Andreas MILIDONIS, René STULZ
We examine which firms are targets of cyberattacks and how they are affected. We find that cyberattacks cause firms to reassess the risks that they are exposed to and their consequences, so that they have real effects on firm policies even when targets are not financially constrained. Cyberattacks a...
Keywords: Cyber risk, Cyberattack, Hacking, Risk management, Firm Value, Leverage, Compensation policy
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Senior Fellows/Fellows

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Senior Fellows/Fellows, Pandemic

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May 2020

What Do We Learn from SARS-CoV-1 to SARS-CoV-2: Evidence from Global Stock Markets

Hong RU, Endong YANG, Kunru ZOU
This paper studies global stock market reactions to COVID-19 outbreaks caused by the virus SARS-CoV-2. The stock markets in countries that suffered from 2003 SARS diseases caused by a similar virus (SARS-CoV-1) react more quickly and strongly to the first COVID-19 outbreak in Wuhan China during late...
Keywords: COVID-19, Underreaction, Early Experience, stock market
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Annual Conference

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International Macroeconomics, Money & Banking, Senior Fellows/Fellows

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May 2015

What Do Stock Markets Tell Us About Exchange Rates?

Gino CENEDESE, Giorgio VALENTE, Richard PAYNE, Lucio SARNO
The sign of the correlation between equity returns and exchange rate returns can be positive or negative in theory. Using data for a broad set of forty-two countries, we find that exchange rate movements are in fact unrelated to differentials in country-level equity returns. Consequently, a trading ...
Keywords: Empirical Asset Pricing, exchange rates, Uncovered Equity Parity, International Asset Allocation
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