Review of Financial Studies, 3 1 The case of Hong Kong. The volatility of the stock market and news. Stock market volatility and the crash of Political risk and stock price volatility: Applied Financial Economics, 18 15 Fragile States Index - Global Data.
Is political risk company-specific? A panel data analysis. Developed stock market reaction to political change: Modelling the persistence of conditional variances. The Journal of Business, 38 1 A long memory property of stock market returns and a new model.
The impact of domestic political events on an emerging stock market: Evidence from six emerging markets. Volatility spillover between Lebanese political shocks and financial market returns. Journal of Financial Economics, 22 2 The impact of news, oil prices, and global market developments on Russian financial markets.
Paper presented at the Asia Pacific Management Conference. Estimating the dimension of a model. Modelling Financial Time Series. Conditional heteroscedasticity in assets returns: A new look at the statistical model identification. Stock market reaction to good and bad political news.
The case of Taiwan. An analysis of the impact of political news on Thai stock market. Econometrica, 59 2 Annals of Statistics, 6 2Published Papers. The following papers have been published or are forthcoming.
"Risk Aversion, Uncertain Information, and Market Efficiency" (with W. V.
Harlow and S. M. Tinic), Journal of Financial Economics, Return to Keith Brown’s Home Page. Created Date: 9/4/ AM. Settlement agreement types of federal corporate prosecution in the U.S. and their impact on shareholder wealth (Brown, Harlow, & Tinic, which in our sample resolved 13 cases through PAs and 88 cases through DPAs and NPAs.
Major Price Innovations" (with W. V.
Harlow and S. M. Tinic), Journal of Financial and Quantitative Analysis, March "Default Risk and. This "against-expectation-effect" can be justi- fied by the uncertain information hypothesis suggested by Brown, Harlow, and Tinic ().Accordingly, investors react to bad news more than to good.
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