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Arbitrage constraints and behaviour of volatility components: evidence from a natural experiment
(Indian Institute of Management Ahmedabad, 2022-10-06)
Short-selling constraints are known to impede information flow into the financial
markets, particularly that of negative information. We employ “Regulation SHO” as
a natural experiment to examine how the lowering of short ...
Risk information - normal markets and the COVID-19 pandemic period
(Indian Institute of Management Ahmedabad, 2022-10-06)
The paper investigates how the market infers changes in the firm-level discount rate
(risk information) in normal and turbulent times. The study focuses on two key sources
of risk information, earnings announcements of ...