The impact of news, oil prices, and global market developments on Russian financial markets. Econometrica, 55 2 Journal of International Money and Finance, 15 6 The case of Taiwan. Estimating time varying risk premia in the term structure: The case of Indonesia.
Stock market reaction to good and bad political news. The volatility of the stock market and news.
Evidence from six emerging markets. The case of Hong Kong. A panel data analysis. Economics of Transition, 13 2 Journal of Empirical Finance, 1 1 The Fund for Peace, International Research Journal of Finance and Economics, Brown harlow and tinic 88 11 Estimating the dimension of a model.
The Journal of Business, 36 4 Volatility spillover between Lebanese political shocks and financial market returns. Index of shares of oil and gas companies. Developed stock market reaction to political change: Political risk and stock price volatility: The Econometrics Journal, 6 1 Conditional heteroscedasticity in assets returns: Stock market volatility and the crash of Personal weblog of Michael Stastny Mahalanobis.
An analysis of the impact of political news on Thai stock market. The political uncertainty and stock market behavior in emerging democracy: The variation of certain speculative prices.
Paper presented at the Asia Pacific Management Conference. The impact of domestic political events on an emerging stock market: Journal of Financial Economics, 22 2 The pro-Russian conflict and its impact on stock returns in Russia and the Ukraine.
Econometrica, 59 2 Modelling Financial Time Series. Is political risk company-specific? Fragile States Index - Global Data. Risk aversion, uncertain information, and market efficiency.
Annals of Statistics, 6 2 The Journal of Business, 38 1 A new look at the statistical model identification. Lebanese Science Journal, 16 2 Econometric Reviews, 5 1"How Rational Investors Deal with Uncertainty (Or Reports of the Death of Efficient Markets are Greatly Exaggerated)", Keith Brown, W.
Harlow, and Seha Tinic, Journal of Applied Corporate Finance, Fall TINIC University of Texas et Austin, Austin, TXUSA Received Julyfinal version received August This paper develops and tests the uncertain information hypothesis as a means of explaining the response of rational, risk-avers` investors to the arrival of unanticipated:nfcm-atnion.
earning a Carhart 4 factor daily alpha of % (% annualized) over the post-event window, and thus implying the pos-sibility of volatility and overreaction being related.
Indeed, the cumulative return of the contrarian strategy over the post- (Brown, Harlow, & Tinic, ) or the Information Hypothesis (Baule & Tallay. K.C. Brown et al., &certain information and market eficiency lenks of its risky future 4XSh flOWS.,l Beyond this, the EMH also assumes that investors learn to make correct inferences about the impact of new information on the probability distribution of potential stock returns - that is, they form rational expectations about the future.
Published 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.Download