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Growth Options and Firm Valuation
(2013-11-01)
"This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. The significance mainly comes from R&D firms, ...
The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
(2016-10-01)
We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
(2017-02-02)
We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ...
Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment
(2021-03-24)
We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually ...
Compustat
Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
FRED
Federal Reserve Economic Data (FRED) is a database maintained by the Research division of the Federal Reserve Bank of St. Louisthat has more than 500,000 economic time series from 87 sources. The data can be viewed in ...
CBOE
Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
OptionMetrics
OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...
CRSP
Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ...
CCM
The CRSP/Compustat Merged Database provides CRSP and Compustat subscribers the ability to access CRSP’s stock data and Compustat’s Xpressfeed fundamental data within a single linked database. The CRSPLink® maps complex ...