• Growth Options and Firm Valuation 

      Kraft, Holger; Schwartz, Eduardo S.; Weiss, Farina (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, ...
    • Managing Excess Volatility: Design and Effectiveness of Circuit Breakers 

      Clapham, Benjamin; Gomber, Peter; Haferkorn, Martin; Panz, Sven (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 ...
    • The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification 

      Billio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana (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, ...
    • Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment 

      Gao, Can; Martin, Ian (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 ...