Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. We develop a new statistic for measuring, comparing, and testing asymmetries in conditional correlations. Conditional on the downside, correlations in the data differ from the conditional correlations implied by a normal distribution b...

This thesis consists of an introductory chapter and four self-contained essays on the value relevance of financial statement information. Essay 1 The purpose of this essay is to examine relevance of environmental information from an investor’s perspective. The study proposes that the market value of companies will reflect both financial and environmental performance. The theoretical foundation ...

We propose a method based on cointegration instead of correlation to construct financial complex network in Chinese stock market. The network is obtained starting from the matrix of p-value calculated by Engle–Granger cointegration test between all pairs of stocks. Then some tools for filtering information in complex network are implemented to prune the complete graphdescribed by the abovematri...

Concern over the U.S. electric power industry has produced proposals for massively changing the industry. These alterations are often incorrectly described as deregulation. What actually is advocated is regulator-imposed alterations in the structure of the industry. This paper argues that conventionally defined deregulation, removal of governmental controls, is preferable. The theoretic and pra...

This paper examines some cognitive biases of Vietnamese stock investors by analyzing trading records for 1,201 accounts at a brokerage firm. These investors tend to make poor trading decisions by selling good stocks and buying bad stocks. They demonstrate a significant reference to holding the losing stocks and selling the wining stocks which is known as the disposition effect. It provokes many...